Related papers: A Machine Learning Approach For Bitcoin Forecastin…
With the increasing enrichment and development of the financial derivatives market, the frequency of transactions is also faster and faster. Due to human limitations, algorithms and automatic trading have recently become the focus of…
This study proposes a hybrid deep learning model for forecasting the price of Bitcoin, as the digital currency is known to exhibit frequent fluctuations. The models used are the Variational Mode Decomposition (VMD) and the Long Short-Term…
The cryptocurrency ecosystem has been the centre of discussion on many social media platforms, following its noted volatility and varied opinions. Twitter is rapidly being utilised as a news source and a medium for bitcoin discussion. Our…
This paper explores neural network-based approaches for algorithmic trading in cryptocurrency markets. Our approach combines multi-timeframe trend analysis with high-frequency direction prediction networks, achieving positive risk-adjusted…
Social media signals have been successfully used to develop large-scale predictive and anticipatory analytics. For example, forecasting stock market prices and influenza outbreaks. Recently, social data has been explored to forecast price…
The long-term dependence of Bitcoin (BTC), manifesting itself through a Hurst exponent $H>0.5$, is exploited in order to predict future BTC/USD price. A Monte Carlo simulation with $10^4$ geometric fractional Brownian motion realisations is…
In this note, we compare Bitcoin trading performance using two machine learning models-Light Gradient Boosting Machine (LightGBM) and Long Short-Term Memory (LSTM)-and two technical analysis-based strategies: Exponential Moving Average…
With increasing competition and pace in the financial markets, robust forecasting methods are becoming more and more valuable to investors. While machine learning algorithms offer a proven way of modeling non-linearities in time series,…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In…
Time series forecasting plays an increasingly important role in modern business decisions. In today's data-rich environment, people often aim to choose the optimal forecasting model for their data. However, identifying the optimal model…
Understanding the variations in trading price (volatility), and its response to exogenous information, is a well-researched topic in finance. In this study, we focus on finding stable and accurate volatility predictors for a relatively new…
Cryptocurrencies have gained popularity across various sectors, especially in finance and investment. Despite their growing popularity, cryptocurrencies can be a high-risk investment due to their price volatility. The inherent volatility in…
Time series forecasting is important across various domains for decision-making. In particular, financial time series such as stock prices can be hard to predict as it is difficult to model short-term and long-term temporal dependencies…
Cryptocurrencies are distributed systems that allow exchanges of native (and non-) tokens among participants. The complete historical bookkeeping and its wide availability opens up an unprecedented possibility, i.e. that of understanding…
Bitcoin price forecasting is characterized by extreme volatility and non-stationarity, often defying traditional univariate time-series models over long horizons. This paper addresses a critical gap by integrating Global M2 Liquidity,…
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with…
We report on the use of sentiment analysis on news and social media to analyze and predict the price of Bitcoin. Bitcoin is the leading cryptocurrency and has the highest market capitalization among digital currencies. Predicting Bitcoin…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
The goals of this paper are twofold: (1) to present a new method that is able to find linear laws governing the time evolution of Markov chains and (2) to apply this method for anomaly detection in Bitcoin prices. To accomplish these goals,…
Time series forecasting has always been a thought-provoking topic in the field of machine learning. Machine learning scientists define a time series as a set of observations recorded over consistent time steps. And, time series forecasting…