bitcoin – LPPL Market Watch

Bitcoin Phase-Change Prediction Analysis

lpplmarketwatch — Sat, 03 Feb 2018 19:46:18 +0000

On December 20th, 23rd, and 29th The Bubble Index: Bitcoin/USD 52, 104, and 153 day indices, respectively, peaked. This means that the derivative reached zero and indicates that the phase-change probability would be highest in 21 days. Thus, on January 7th I predicted that we will see a phase change in 21 days from the point of those local peaks. In other words, the greatest probability for a phase change would occur between the days January 9th and 18th. There was some personal uncertainty because the longer term indices (512 – 1764 day indices) had yet to reach a local peak.

At its height, the Bitcoin/USD exchange rate was around $19700 on December 17, 2017. When the 52, 104, and 153 day indices peaked the exchange rate closed at $17340, $13174, and $14323.

Looking at the exchange rate data after January 7th, the most noticeable movement was the large draw-down which started on January 6th and still continues. If we look at the closing rate on January 9th: $14920 and compare it to $8317, the price at its low on February 2nd, we see a draw-down of 44.26%.

Based on this draw-down I would conclude that the prediction on January 7th, based solely on The Bubble Index’s quantitative output, was accurate and it remains to be seen what will happen to the Bitcoin/USD exchange rate, now that the longer term indices have peaked. My personal opinion is that the rate will continue its downward progression until it reaches significant support, perhaps at the $6000 or $4000 level.

Geometric Brownian Trajectory Contour

lpplmarketwatch — Thu, 08 Jan 2015 19:49:44 +0000

As a test case for The Bubble Index Contour, I fed it a simple geometric Brownian trajectory. You can see from the contour graph that there are many signals produced. And they are all weak signals with the peaks never exceeding more than 60 in value. It is interesting to compare these results to previous examples: such as Tesla, Bitcoin, and The Bubbles of 1720. In these examples, The Bubble Index reaches much larger magnitudes (typically in the 1,000s) and there is a visually simple structure. The structures seen in Tesla, Bitcoin, and The Bubbles of 1720 have common features. On the other hand, the Geometric Brownian Contour has somewhat irregular patterns. My hunch is that asset prices generated by networks of human traders are far from random and in fact have much in common with Prigogine’s idea of time irreversibility through correlation formation in a network.

As a side note, the range of the geometric price path is 89 to 250.

Download The Bubble Index Contour: Geometric Brownian Trajectory

The Bubble Index Contour: Geometric Brownian

Bitcoin Update: The Bubble Contour

lpplmarketwatch — Thu, 11 Sep 2014 19:42:00 +0000

Below is the output of The Bubble Contour: Bitcoin (BITSTAMPUSD).

Download The Bubble Index Contour: Bitcoin

The Bubble Contour: Bitcoin (BITSTAMPUSD)

The Bubble Index: Bitcoin – November 16, 2013

lpplmarketwatch — Sat, 16 Nov 2013 23:52:00 +0000

In this post I will respond to a request to publish an analysis on the Bitcoin/USD index (Mt. Gox). Based on these graphs, there is quantitative evidence to suggest that the recent increase in the Bitcoin/USD has been the start of a bubble. While The Bubble Index: Bitcoin has not reached its highest levels seen earlier this year, investors in the currency should be cautious.

The Bubble Index: Bitcoin – November 16, 2013