Time-series forecasting of Bitcoin prices using high-dimensional features: a machine learning approach.

Time-series forecasting of Bitcoin prices using high-dimensional features: a machine learning approach.

Mudassir, Mohammed;Bennbaia, Shada;Unal, Devrim;Hammoudeh, Mohammad;
neural computing & applications 2020 pp. 1-15
241
mudassir2020timeseriesneural

Abstract

Bitcoin is a decentralized cryptocurrency, which is a type of digital asset that provides the basis for peer-to-peer financial transactions based on blockchain technology. One of the main problems with decentralized cryptocurrencies is price volatility, which indicates the need for studying the underlying price model. Moreover, Bitcoin prices exhibit non-stationary behavior, where the statistical distribution of data changes over time. This paper demonstrates high-performance machine learning-based classification and regression models for predicting Bitcoin price movements and prices in short and medium terms. In previous works, machine learning-based classification has been studied for an only one-day time frame, while this work goes beyond that by using machine learning-based models for one, seven, thirty and ninety days. The developed models are feasible and have high performance, with the classification models scoring up to 65% accuracy for next-day forecast and scoring from 62 to 64% accuracy for seventh-ninetieth-day forecast. For daily price forecast, the error percentage is as low as 1.44%, while it varies from 2.88 to 4.10% for horizons of seven to ninety days. These results indicate that the presented models outperform the existing models in the literature.

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124110
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