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Don't work with closing prices for statistical analysis. Work with returns (really log returns). This would have simplified some of the code, and made the plots
by hendzen 9y ago
Don't work with closing prices for statistical analysis. Work with returns (really log returns). This would have simplified some of the code, and made the plots in the same units rather than requiring separate axes.
More detail: https://quantivity.wordpress.com/2011/02/21/why-log-returns/ https://quantivity.wordpress.com/2011/02/21/why-log-returns/
- HIP_HOP 9y agoThx... I intend to use it next time. This is going to be a series of blog posts about cryptocurrency analysis.
- turnersr 9y agoWhat do you mean by those plots currently have different units? Don't they consider the price in dollars as the unit?
- HIP_HOP 9y agoThey have the dollar as a unit, just y-axis scale is different. For BTC is from $4000 to $20000 and for LTC is from $50 to $350. This is a useful technique to check if curves move together or not.