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Title: BTC pricing models update Post by: quantsig on April 12, 2013, 02:58:41 PM Hello again everyone. We somewhat threw ourselves into the fire trying to model BTC during the blowoff top of the last couple weeks. As our BTC models are new, we were particularly skeptical of performance during the final stages of the bubble. Nevertheless, we have documented model performance. Listed below are the only models we had in operation during the final stage of the bubble.
BTCUSD http://blogdotquantsigdotnet.files.wordpress.com/2013/04/picture-82.png BTCEUR http://blogdotquantsigdotnet.files.wordpress.com/2013/04/picture-102.png BTCGBP http://blogdotquantsigdotnet.files.wordpress.com/2013/04/picture-111.png During the blowoff stage, we witnessed divergence at 10-15 standard deviations, which is absolute insanity. We were convinced that the models were wrong and we would be reconfiguring. Then Wednesday happened.. |
