Ah... yeah that's kind of what I was thinking.
Thanks for the reply
Thanks for the reply
You're welcome.
Topic: What is the relationship between volume of microtraders and net price variation? (Read 1229 times)
November 03, 2011, 09:50:50 AM
You're welcome.
November 03, 2011, 08:25:09 AM
Ah... yeah that's kind of what I was thinking.
Thanks for the reply
Thanks for the reply
November 03, 2011, 06:55:55 AM
No idea what these exceedingly unfriendly comments are about. ElectricMucus, BitMagic, I don't think the forum's population should act as the "we know more than you so get lost" kind of elitists. It's not nice.
@Topic:
I'm not into micro-trading, but generally, there is an inverse relationship between volume and the price fluctuation size from which micro-trading becomes profitable. Real micro-trading is probably small in Bitcoin, simply because most volume is on Mtgox where, even with high volume, you don't get far below 0.3% fees on the side of the day-trader. This reduces volume and thus profits for micro-trading and arbitrage.
You didn't offer a time-scale for the volatility prediction. Bitcoin is generally volatile, and we might have an ending bust phase after the June bubble right now, so roughly predicting variance is not all that astonishing a feat. Another large-scale movement might happen, dwarfing any of the small fluctuations.
To answer the question in the topic: high short-time volatility*volume increases high-speed trading of bots. Similarly, high daily volatility*volume increases day-trader volume. Both kinds of traders ultimately reduce volatility again, creating a negative-feedback loop.
So, on long time-scales, day- and micro-trader volume is inversely proportional to the average absolute deviation of price minus the fee paid by one side.
@Topic:
I'm not into micro-trading, but generally, there is an inverse relationship between volume and the price fluctuation size from which micro-trading becomes profitable. Real micro-trading is probably small in Bitcoin, simply because most volume is on Mtgox where, even with high volume, you don't get far below 0.3% fees on the side of the day-trader. This reduces volume and thus profits for micro-trading and arbitrage.
You didn't offer a time-scale for the volatility prediction. Bitcoin is generally volatile, and we might have an ending bust phase after the June bubble right now, so roughly predicting variance is not all that astonishing a feat. Another large-scale movement might happen, dwarfing any of the small fluctuations.
To answer the question in the topic: high short-time volatility*volume increases high-speed trading of bots. Similarly, high daily volatility*volume increases day-trader volume. Both kinds of traders ultimately reduce volatility again, creating a negative-feedback loop.
So, on long time-scales, day- and micro-trader volume is inversely proportional to the average absolute deviation of price minus the fee paid by one side.
November 03, 2011, 01:32:57 AM
You have been awarded as the future past president of the being rich club.
As I have said to someone of the other side of the coin: We don't need your kind here.
As I have said to someone of the other side of the coin: We don't need your kind here.
Oohhhhhkay. Care to explain?
November 02, 2011, 11:26:14 PM
You have been awarded as the future past president of the being rich club.
As I have said to someone of the other side of the coin: We don't need your kind here.
As I have said to someone of the other side of the coin: We don't need your kind here.
+1
November 02, 2011, 07:12:07 PM
You have been awarded as the future past president of the being rich club.
As I have said to someone of the other side of the coin: We don't need your kind here.
As I have said to someone of the other side of the coin: We don't need your kind here.
November 02, 2011, 10:52:44 AM
I've just been thinking about things, since it seems like I've been pretty reliably able to predict price variation on the top and bottom price side (+/- 20% of net variance).
What I was thinking is that there would seem to be a limitation on the total volume in microtrading by way of % of profit per transaction. Basically, the amount of profit it is possible to net per transaction by providing liquidity to the market is inversely proportional to the total volume of all microtrading taking place (because everyone is competing with one another).
IE: price variance is reduced to the level of those microtrading at the slimest margins whose margins are reduced when they are competing with other microtraders.
So... if this were true... what would anyone suppose the volume per unit of time's relationship to average % of profit per transaction to be?
OR, would variance continue to be the same or be exaggerated based upon bets being placed on bets and trends being exaggerated up and down?
What I was thinking is that there would seem to be a limitation on the total volume in microtrading by way of % of profit per transaction. Basically, the amount of profit it is possible to net per transaction by providing liquidity to the market is inversely proportional to the total volume of all microtrading taking place (because everyone is competing with one another).
IE: price variance is reduced to the level of those microtrading at the slimest margins whose margins are reduced when they are competing with other microtraders.
So... if this were true... what would anyone suppose the volume per unit of time's relationship to average % of profit per transaction to be?
OR, would variance continue to be the same or be exaggerated based upon bets being placed on bets and trends being exaggerated up and down?
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