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snowsilence
Aug 27, 2014 12:33 AM

Bitstamp–BTC-e Spread Exhibits Deep Structure 

Description

There is a recurrent and long-standing pattern within the spread between these two exchanges. A few months before every "bubble" begins, the spread funnels itself into a tidy channel, which it essentially remains in until the price peaks, though displays no other internal order. There are also clearly other structural self-similarities. As you look back in time you see that the signal become noisier but, moving forward, these characteristics are emerging and becoming amplified with each new pass/cycle. —On another note, you can also see the effects from the "Mt. Gox" section were essentially like having a mini bubble and subsequent crash, inside the crash from the main bubble.— Deep market mechanisms must account for this behavior, and there will likely be much to infer from it. Obviously, for the current cycle, there is no way for me to draw the "correct" channel without knowing the future, so the existing one is merely illustrative.
Comments
Universe
Awesome find! I've always enjoyed your thoughts and perspective.
BitcoinJesse
Cool
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