Wall Observer BTC/USD - Bitcoin price movement tracking & discussion

[Holliday]

Put "Bitcoin is dead" on the valleys and we can replace the entire speculation forum with that single picture!

[surfer43]

CCMF! 

[JorgeStolfi]

Daily volumes of BTC trade to/from USD and other national currencies (in kBTC):


               !    Fri !    Sat !    Sun !    Mon !    Tue !   Wed !   Thu !   Fri !   Sat !   Sun !                     
  EXCHANGE     !  01/24 !  01/25 !  01/26 !  01/27 !  01/28 ! 01/29 ! 01/30 ! 01/31 ! 02/01 ! 02/02 ! Currencies considered

  BTC-e        |  15.27 |   9.34 |  10.38 |  21.02 |  16.82 |  6.53 | 12.54 |  4.65 |  6.30 |  4.74 | USD,EUR,RUR         
  Bitstamp     |  15.78 |   8.70 |   9.70 |  25.19 |  20.04 |  7.04 | 13.13 |  7.73 |  8.30 |  4.07 | USD                 
  BitFinEx     |  10.99 |   4.62 |   7.88 |  15.63 |  13.62 |  3.87 |  8.18 |  3.91 |  4.54 |  3.15 | USD                 
  MtGOX        |   7.38 |   9.52 |  16.11 |  10.02 |  11.82 |  7.21 |  6.60 |  4.45 |  5.13 |  2.28 | USD,EUR,GBP,AUD,JPY 
  Bitcoin.DE   |   0.52 |   0.30 |   0.34 |   0.60 |   0.49 |  0.33 |  0.47 |  0.35 |  0.33 |  0.35 | EUR                 
  Kraken       |   0.46 |   0.19 |   0.24 |   0.63 |   0.54 |  0.24 |  0.37 |  0.20 |  0.23 |  0.15 | EUR                 
  CaVirtEx     |   0.41 |   0.33 |   0.10 |   0.40 |   0.22 |  0.21 |  0.25 |  0.24 |  0.24 |  0.20 | CAD                 
  CampBX       |   0.13 |   0.04 |   0.05 |   0.13 |   0.20 |  0.07 |  0.06 |  0.05 |  0.23 |  0.16 | USD                 
  Crypto-Trade |   0.01 |    .   |    .   |    .   |   0.01 |   .   |  0.01 |   .   |  0.01 |  0.01 | USD                 

  SUBTOTAL     |  50.95 |  33.04 |  44.80 |  73.62 |  63.76 | 25.50 | 41.61 | 21.58 | 25.31 | 15.11 |                     

  Huobi        |  89.25 |  58.16 |  91.31 |  63.13 |  92.88 | 32.14 | 29.27 | 15.26 | 28.86 | 26.27 | CNY                 
  OKCoin       |  34.01 |  26.33 |  31.40 |  35.41 |  52.37 | 29.11 | 18.56 | 17.11 | 20.38 | 20.00 | CNY                 
  BTC-China    |   6.82 |   3.04 |   5.55 |   4.43 |   6.45 |  1.94 |  1.99 |  1.17 |  2.31 |  2.21 | CNY (NOTE 1)         

  SUBTOTAL     | 130.08 |  87.53 | 128.26 | 102.97 | 151.70 | 63.19 | 49.82 | 33.54 | 51.55 | 48.48 |                     

  TOTAL        | 181.03 | 120.57 | 173.06 | 176.59 | 215.46 | 88.69 | 91.43 | 55.12 | 76.86 | 63.59 |                     



All numbers were collected by hand from the site http://bitcoinwisdom.com. Beware of possible errors.

For each exchange, the numbers include only the trade volume to/from the currencies listed in the rightmost column. The BTC-e volumes now include retroactively also exchanges to EUR and RUR (together about 1 kBTC/day or less).  Trade between BTC and other cryptocoins, such as LiteCoin, is NOT included.

Coinbase volume is not available, neither at Bitcoinwisdom nor at Bitcoincharts, but they are said to use Bitstamp for currency conversion.

Dates on the header line are UTC. Specifically, "01/15" means "from 01/15 00:00:00 UTC to 01/15 23:59:59 UTC". (Beware that Bitcoinwisdom uses your local time, so the date may appear to be off by 1 day.  For example, if you are 2 hours west of Greenwich, it may show "01/14 22:00" when the UTC time is "01/15 00:00".)

(NOTE 1) On 2014-01-30, BTC-China had a burst of extremely fast, regular and atypical transactions, all with similar amounts (a few tens of BTC) and prices (~4836 CNY), adding up to about 41,050 BTC.  The burst started suddenly around 17:00 UTC and and stopped suddenly around 19:30 UTC. Presumably those transactions were made by a faulty robot trading against itself or some other robot, and did not represent actual exchange of money and bitcoins between distinct individuals. Therefore those anomalous transactions were subtracted from the BTC-China volume for Jan/30.

[JorgeStolfi]

As many must have noticed, volume was generally quite low over the last two days. 

Volume in China actually recovered a bit compared to Jan/31 (Chinese New Year), to about 50 kBTC.   Huobi's hour-by-hour volume followed an unusual pattern: low in the morning and lunchtime, growing to very high at night, and falling to near zero only after 02:00 am.   Not implausible for an extended holiday, I would say.

BTC-China seems to be still in zombie mode; the little real volume they have may be just arbitrage.

The total volume outside China, on the other hand, was a record low this Sunday Feb/02.  It was ~25% less than Friday's Jan/31 (itself 50% less than previous Friday's Jan/24) and only ~1/3 of previous Sunday's Jan/26.

The biggest drop outside China was at Mt.GOX: only 2.28 kBTC on Sunday Feb/02, which is ~1/2 of Fri Jan/31 and Sat Feb/01, and ~1/5 of previous Sunday's Jan/26.

 

[alexeft]

Daily volumes of BTC trade to/from USD and other national currencies (in kBTC):


               !    Fri !    Sat !    Sun !    Mon !    Tue !   Wed !   Thu !   Fri !   Sat !   Sun !                     
  EXCHANGE     !  01/24 !  01/25 !  01/26 !  01/27 !  01/28 ! 01/29 ! 01/30 ! 01/31 ! 02/01 ! 02/02 ! Currencies considered

  BTC-e        |  15.27 |   9.34 |  10.38 |  21.02 |  16.82 |  6.53 | 12.54 |  4.65 |  6.30 |  4.74 | USD,EUR,RUR         
  Bitstamp     |  15.78 |   8.70 |   9.70 |  25.19 |  20.04 |  7.04 | 13.13 |  7.73 |  8.30 |  4.07 | USD                 
  BitFinEx     |  10.99 |   4.62 |   7.88 |  15.63 |  13.62 |  3.87 |  8.18 |  3.91 |  4.54 |  3.15 | USD                 
  MtGOX        |   7.38 |   9.52 |  16.11 |  10.02 |  11.82 |  7.21 |  6.60 |  4.45 |  5.13 |  2.28 | USD,EUR,GBP,AUD,JPY 
  Bitcoin.DE   |   0.52 |   0.30 |   0.34 |   0.60 |   0.49 |  0.33 |  0.47 |  0.35 |  0.33 |  0.35 | EUR                 
  Kraken       |   0.46 |   0.19 |   0.24 |   0.63 |   0.54 |  0.24 |  0.37 |  0.20 |  0.23 |  0.15 | EUR                 
  CaVirtEx     |   0.41 |   0.33 |   0.10 |   0.40 |   0.22 |  0.21 |  0.25 |  0.24 |  0.24 |  0.20 | CAD                 
  CampBX       |   0.13 |   0.04 |   0.05 |   0.13 |   0.20 |  0.07 |  0.06 |  0.05 |  0.23 |  0.16 | USD                 
  Crypto-Trade |   0.01 |    .   |    .   |    .   |   0.01 |   .   |  0.01 |   .   |  0.01 |  0.01 | USD                 

  SUBTOTAL     |  50.95 |  33.04 |  44.80 |  73.62 |  63.76 | 25.50 | 41.61 | 21.58 | 25.31 | 15.11 |                     

  Huobi        |  89.25 |  58.16 |  91.31 |  63.13 |  92.88 | 32.14 | 29.27 | 15.26 | 28.86 | 26.27 | CNY                 
  OKCoin       |  34.01 |  26.33 |  31.40 |  35.41 |  52.37 | 29.11 | 18.56 | 17.11 | 20.38 | 20.00 | CNY                 
  BTC-China    |   6.82 |   3.04 |   5.55 |   4.43 |   6.45 |  1.94 |  1.99 |  1.17 |  2.31 |  2.21 | CNY (NOTE 1)         

  SUBTOTAL     | 130.08 |  87.53 | 128.26 | 102.97 | 151.70 | 63.19 | 49.82 | 33.54 | 51.55 | 48.48 |                     

  TOTAL        | 181.03 | 120.57 | 173.06 | 176.59 | 215.46 | 88.69 | 91.43 | 55.12 | 76.86 | 63.59 |                     



All numbers were collected by hand from the site http://bitcoinwisdom.com. Beware of possible errors.

For each exchange, the numbers include only the trade volume to/from the currencies listed in the rightmost column. The BTC-e volumes now include retroactively also exchanges to EUR and RUR (together about 1 kBTC/day or less).  Trade between BTC and other cryptocoins, such as LiteCoin, is NOT included.

Coinbase volume is not available, neither at Bitcoinwisdom nor at Bitcoincharts, but they are said to use Bitstamp for currency conversion.

Dates on the header line are UTC. Specifically, "01/15" means "from 01/15 00:00:00 UTC to 01/15 23:59:59 UTC". (Beware that Bitcoinwisdom uses your local time, so the date may appear to be off by 1 day.  For example, if you are 2 hours west of Greenwich, it may show "01/14 22:00" when the UTC time is "01/15 00:00".)

(NOTE 1) On 2014-01-30, BTC-China had a burst of extremely fast, regular and atypical transactions, all with similar amounts (a few tens of BTC) and prices (~4836 CNY), adding up to about 41,050 BTC.  The burst started suddenly around 17:00 UTC and and stopped suddenly around 19:30 UTC. Presumably those transactions were made by a faulty robot trading against itself or some other robot, and did not represent actual exchange of money and bitcoins between distinct individuals. Therefore those anomalous transactions were subtracted from the BTC-China volume for Jan/30.

Thanks Jorge! Nice job! 

[ChartBuddy]

Explanation

[mb300sd]

As many must have noticed, volume was generally quite low over the last two days. 

Volume in China actually recovered a bit compared to Jan/31 (Chinese New Year), to about 50 kBTC.   Huobi's hour-by-hour volume followed an unusual pattern: low in the morning and lunchtime, growing to very high at night, and falling to near zero only after 02:00 am.   Not implausible for an extended holiday, I would say.

BTC-China seems to be still in zombie mode; the little real volume they have may be just arbitrage.

The total volume outside China, on the other hand, was a record low this Sunday Feb/02.  It was ~25% less than Friday's Jan/31 (itself 50% less than previous Friday's Jan/24) and only ~1/3 of previous Sunday's Jan/26.

The biggest drop outside China was at Mt.GOX: only 2.28 kBTC on Sunday Feb/02, which is ~1/2 of Fri Jan/31 and Sat Feb/01, and ~1/5 of previous Sunday's Jan/26.

 

Its SuperBowl Sunday... a de-facto national holiday here.

[Davyd05]

As many must have noticed, volume was generally quite low over the last two days.  

Volume in China actually recovered a bit compared to Jan/31 (Chinese New Year), to about 50 kBTC.   Huobi's hour-by-hour volume followed an unusual pattern: low in the morning and lunchtime, growing to very high at night, and falling to near zero only after 02:00 am.   Not implausible for an extended holiday, I would say.

BTC-China seems to be still in zombie mode; the little real volume they have may be just arbitrage.

The total volume outside China, on the other hand, was a record low this Sunday Feb/02.  It was ~25% less than Friday's Jan/31 (itself 50% less than previous Friday's Jan/24) and only ~1/3 of previous Sunday's Jan/26.

The biggest drop outside China was at Mt.GOX: only 2.28 kBTC on Sunday Feb/02, which is ~1/2 of Fri Jan/31 and Sat Feb/01, and ~1/5 of previous Sunday's Jan/26.

  

Its SuperBowl Sunday... a de-facto national holiday here.

even in Canada, most everyone is watching football. I however did bring up bitcoin during the party lol

Jan will go down as quite a month of low volatility. let's go feb launching pad.

[aminorex]

Does this make sense? 

It makes perfect sense up to the point where you draw your conclusions.  It's not clear what you mean by them.

[ScrapOfCat]

The freedom to transmit value instantly across borders, peer to peer, independent of banks and governments?  Priceless. 

For all else, there's dogecoin.

UnderDogCoin*

https://www.youtube.com/watch?v=tEVsRLhet2k

* Yes, I did spell dog correctly.  Live with it.

[threecats]

900 dump on bitstamp

[Davyd05]

900 dump on bitstamp

the recent dump was like 360 coins...what are you speaking of?

619 in the last on the 30 minute chart

[ChartBuddy]

Explanation

[threecats]

my bad, it was 5 + 2+ 2 in quick succession

[podyx]

going down?

[notme]

As the work of Mandelbrot pretty definitively shows[1], you should nearly always include a fat tail on both sides of your distribution.

I am sure that there exist better prediction methods (say, that provide "X% confidence" intervals that are narrower than those of the Brownian model but still  contain the predicted value at least X% of the time in the long run).  I am a complete amateur in this field.

Indeed, as you say, a fat tail is evident in the distribution of the one-step increments Z(i+1) - Z(i).  However, both theory and data tell me that a Gaussian distribution, with linearly increasing variance,  works well for larger steps Z(i+n) - Z(i) when n is ~20 hours or more.  See this plot:



This is a series of crude histograms of the quantity R(i,n) = (Z(i+n) - Z(i))/sqrt(n), sampled from the reference datafile (Bitstamp 2013-09-01 to 2014-01-30, 1 hour intervals) with various values of i,  tallied separately for each stride n.  The "n" axis runs across the middle of the plot, with n=1 at the upper left edge and increasing down to the right. The "R" axis is perpendicular to it, with R=0 in the middle.  The histogram for each n is normalized to unit sum.

The long fat tails and narrower peak of the distribution for small n is quite evident.  However, as n increases, the tails and sharp peak seem to disappear, as one would expect from the Law of Large Numbers.

Actually, I am not really sure about the tails because the number of samples in each histogram also gets smaller when n increases.  Perhaps the following plot is more convincing:



In this plot, the horizontal axis is the stride n (hours), and the vertical axis is the log increment D(i,n) = Z(i+n) - Z(i)  (not divided by sqrt(n)).

The light brown crosses on each vertical line are a sample of differences D(i,n) with same value of n and various values of i.  Each green dot is the mean of the sample increments D(i,n) with same n.  Each red dot is the standard deviation of those increments, computed assuming that their expected value is 0 (rather than the empirical mean shown by the green dot).  The histogram-like lines are the 2.5% and 97.5% percentiles of those samples.  

The orange curve is the deviation sigma(n) = C*sqrt(n) of D(i,n) predicted by the log-Brownian model.  The purple curves are the ±2*sigma(n) bounds above and below D=0.

According to this plot, for n ~15 hours or more, the empirical deviation (red dots) is very close to the model C*sqrt(n) (orange line).  For n ~30 hours or more, the curves ± 2*C*sqrt(n) folow the empirical 2.5%-97.5% percentiles as accurately as one could expect.  

The model clearly fails for smaller n; in particular, over the span of 5 hours, large swings occur more often than would be expected in a log-Brownian model.   Therefore, I  was too confident in my prediction for tomorrow; but with a bit of luck, I should be safe for the rest of the month.  

The slightly ascending green line means that there is a consistent increasing trend in that sample.  That trend also manifests itself in the growing gap between the empirical 2.5% percentile and the -2*sigma(n) curve.  However, if I had used only the last 2 months of data for the analysis, instead of the last 5, the trend would have been decreasing - and stronger.  That is one of the reasons why I did not include a trend term.

I have looked for correlations between successive increments (Z(i) - Z(i-1)  and Z(i+1)-Z(i)), but did not see anything clearly significant.  If there is such a correlation, it must be very subtle, and should be quickly "forgotten" after a few time steps.

Note that real stock prices are influenced by "real world" factors such as demand for the product, raw material prices, etc.  Those factors vary according to their own nature in various time scales, that range from decades to hours.  Maybe it is those factors that provide the long-term correlations characteristic of fractal signals?

In contrast, Bitcoin's price is almost entirely set by speculation; while external news may trigger changes, they do not directly determine the magnitude of those changes. ("How many billion dollars were subtracted from Bitcoin's future usage in e-commerce payments because of Shrem's arrest?")

So perhaps Bitcoin's price is indeed better described by a log-Brownian model than by a fractal process...

In my experience, markets tend to violate the normality assumption pretty severely, bitcoin included.  It will work fine the vast majority of the time, but you will find that when it fails, there is a cluster of failures before the model recovers.  Because of this clustering, in stock market data, events that should happen every 10,000 years under a Bayesian curve actually happen every 30 years.

[HairyMaclairy]

going down?

Bitstamp move back up immediately.  Huobi has not given you permission to go down.

[Davyd05]

going down?

Bitstamp move back up immediately.  Huobi has not given you permission to go down.

imagine, if the China fear takes the same length of time to die off as the Silk Road closure did

[podyx]

going down?

Bitstamp move back up immediately.  Huobi has not given you permission to go down.

nah this beast is clearly going down 

[aminorex]

In my experience, markets tend to violate the normality assumption pretty severely, bitcoin included.  It will work fine the vast majority of the time, but you will find that when it fails, there is a cluster of failures before the model recovers.  Because of this clustering, in stock market data, events that should happen every 10,000 years under a Bayesian Gaussian curve actually happen every 30 years.

+1

When stresses build up and the system has become highly interlinked, with low diversity, and hence rigid, the fracture size distribution is Zipfian.  That's when you start to see frequent 5-6 sigma events, as we have been seeing over the past few years.  Eventually there's a big crack up, and the system reorganizes with loose linkages, high diversity, and is robustly decentralized.

You won't notice the phase changes until it's basically too late if you're just looking at one species.  You have to observe the whole ecosystem, and notice when high p value events start to occur here and there, in diverse places, with increasing frequency.