# Last edited on 2016-02-04 18:31:41 by stolfilocal

CREATING FAKE TRADE DATA
  
  # Also created a fake trade data file with "brownian" prices and random volume:
  
    datadir="../00-DATA/series/fix"
    
    fake_brownian_data.gawk \
        -v "seed=4615000317" \
        -v "P0=840" \
        -v "dev=0.00488" \
      < ${datadir}/2014-01-05--2014-01-13-BSTP-USD-01h.txt \
      > ${datadir}/2014-01-05--2014-01-13-BRWN-USD-01h.txt
      
    ../plot_prices_old.sh \
      "2014-01-05 to 2014-01-13 (hourly)" \
      '(1.00/24.0)' '(+5.0)' 4 \
      730 1010 \
      ${datadir}/2014-01-05--2014-01-13-BRWN-USD-01h.txt "Brownian" 1.000 \
      ${datadir}/2014-01-05--2014-01-13-BSTP-USD-01h.txt "Bitstamp" 1.000 \
      > out/2014-01-05--2014-01-13-BRWN-BSTP-01h.png
      
    fake_brownian_data.gawk \
        -v "seed=4615000107" \
        -v "P0=1070" \
        -v "dev=0.0116" \
      < ${datadir}/2013-11-28--2013-12-19-MGOX-USD-01h.txt \
      > ${datadir}/2013-11-28--2013-12-19-BRWN-USD-01h.txt

    ../plot_prices_old.sh \
      "2013-11-28 to 2013-12-19 (hourly)" \
      '(1.00/24.0)' '(+28.0)' 4 \
      460 1280 \
      ${datadir}/2013-11-28--2013-12-19-MGOX-USD-01h.txt "MtGOX"    1.000 \
      ${datadir}/2013-11-28--2013-12-19-BRWN-USD-01h.txt "Brownian" 1.000 \
      > out/2013-11-28--2013-12-19-MGOX-BRWN-01h.png
      
  # Plotting with hidden titles:
      
    datadir="../00-DATA/series/fix"
    
    ../plot_prices_old.sh \
      "weighted mean prices (hourly)" \
      '(1.00/24.0)' '(00.0)' 4 \
      730 1010 \
      ${datadir}/2014-01-05--2014-01-13-BRWN-USD-01h.txt "X" 1.000 \
      ${datadir}/2014-01-05--2014-01-13-BSTP-USD-01h.txt "Y" 1.000 \
      > out/2014-01-05--2014-01-13-BRWN-BSTP-01h-compare.png
  
CONVERTING TIME SERIES TO VOLUME SERIES

  # Test of extracting a time-based or volume-based series from time-based summaries:
  
    datadir="../00-DATA/series/fix"
    
    extract_time_or_volume_series.gawk \
        -v which="time" -v ustep=3600 \
      < ${datadir}/2014-01-18--2014-01-30-BSTP-USD-01h.txt \
      > .time.txt
  
    extract_time_or_volume_series.gawk \
        -v which="vbtc" -v ustep=2500 \
      < ${datadir}/2014-01-18--2014-01-30-BSTP-USD-01h.txt \
      > .vbtc.txt
  
    extract_time_or_volume_series.gawk \
        -v which="vnat" -v ustep=2000000 \
      < ${datadir}/2014-01-18--2014-01-30-BSTP-USD-01h.txt \
      > .vnat.txt
      
    for ff in time vbtc vnat ; do 
      gnuplot <<EOF
      plot ".${ff}.txt" using 2:10 with linespoints pt 7 ps 0.5
      pause mouse
      quit
      
EOF
    done
  
UNCERTAINTY OF FUTURE PRICE

  # Trying to see how the variance of the price increment changes with separation:
  # First, with hourly data:
  
    analyze_future_uncertainty.sh 48 0.08 0.95 \
      "Bitstamp 2014-01-05 to 2014-01-13 (hours)" \
      2014-01-05--2014-01-13-BSTP-USD-01h
      
    analyze_future_uncertainty.sh 250 0.08 0.90  \
      "Bitstamp 2013-09-01 to 2014-01-17 (hours)" \
      2013-09-01--2014-01-17-BSTP-USD-01h
      
    analyze_future_uncertainty.sh 50 0.08 0.80 \
      "MtGOX 2013-11-28 to 2013-12-19 (hours)" \
      2013-11-28--2013-12-19-MGOX-USD-01h
      
    analyze_future_uncertainty.sh 300 0.05 0.80 \
      "MtGOX 2013-12-20 to 2014-01-17 (hours)" \
      2013-12-20--2014-01-17-MGOX-USD-01h
      
    analyze_future_uncertainty.sh 300 0.05 0.80 \
      "Brownian 2013-11-28 to 2013-12-19 (hours)" \
      2013-11-28--2013-12-19-BRWN-USD-01h
      
    analyze_future_uncertainty.sh 250 0.08 0.80 \
      "Bitstamp 2013-11-01 to 2014-01-17 (hours)" \
      2013-11-01--2014-01-17-BSTP-USD-01h
      
    analyze_future_uncertainty.sh 250 0.08 0.80 \
      "Bitstamp 2013-11-28 to 2014-01-17 (hours)" \
      2013-11-28--2014-01-17-BSTP-USD-01h
      
    analyze_future_uncertainty.sh 250 0.08 0.95 \
      "Bitstamp 2013-09-01 to 2014-01-30 (hours)" \
      2013-09-01--2014-01-30-BSTP-USD-01h
      
    analyze_future_uncertainty.sh 250 0.08 0.95 \
      "Bitstamp 2014-01-01 to 2014-09-30 (hours)" \
      2014-01-01--2014-09-30-BSTP-USD-01h

  # Now with minute-by-minute data:

    analyze_future_uncertainty.sh 300 0.02 0.80 \
      "MtGOX 2013-12-08 (minutes)" \
      2013-12-08-MGOX-USD-01m
      
    analyze_future_uncertainty.sh 250 0.02 0.80 \
      "Bitstamp 2013-12-17 (minutes)" \
      2013-12-17-BSTP-USD-01m

PLOTTING PREDICTED RANGES

    datadir="../00-DATA/series/fix"
    
    plot_predicted_price_range.sh SHOW \
      0.000092932 2 '(60*60)' \
      '2013-11-01 00:00:00' '2014-03-01 00:00:00' \
      '2014-01-31 00:00:00' 801.77 \
      'Base data from Bitstamp 2013-09-01 to 2014-01-30 (hourly)' \
      ${datadir}/2013-09-01--2014-01-30-BSTP-USD-01h \
      out/2013-09-01--2014-01-30-BSTP-USD-01h

    plot_predicted_price_range.sh SHOW \
      0.000092932 2 '(60*60)' \
      '2013-11-01 00:00:00' '2014-01-18 00:00:00' \
      '2013-12-16 00:00:00' 856.37 \
      'Base data from Bitstamp 2013-09-01 to 2014-01-17 (hourly)' \
      ${datadir}/2013-09-01--2014-01-17-BSTP-USD-01h \
      out/2013-09-01--2014-01-17-BSTP-USD-01h

    plot_predicted_price_range.sh SHOW \
      0.000015154 2 '(60*60)' \
      '2014-01-01 00:00:00' '2014-09-30 00:00:00' \
      '2014-04-01 00:00:00' 457.33 \
      'Base data from Bitstamp 2014-01-01 to 2014-09-30 (hourly)' \
      ${datadir}/2014-01-01--2014-09-30-BSTP-USD-01h\
      out/2014-01-01--2014-09-30-BSTP-USD-01h

ANALYZING PRICE CHANGE X VOLUME CORRELATION

  # Plotting log-price increments versus volume.
  # 
  # This analysis should be done with Huobi+OKCoin (volume = 95 kBTC on
  # 2014-01-15) rather than Bitstamp (8.2 kBTC). But unfortunately we do
  # not have the data for the Chinese exchanges.