Publicação
Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
| Resumo: | Since its inception in 2009, Bitcoin has gained popularity and importance in financial markets. The Bitcoin price is highly volatile entailing high risk and chances of high returns for traders. This work is part of a work project that defines a holistic approach to build an intraday Bitcoin trading algorithm based on predictive analysis of ML models. In this work, the results show that LSTM yields the best prediction performance for Bitcoin price prediction. GRU, LSTM and RNN demonstrate the best performance for Bitcoin trend prediction in 1h, 2h and 3h,respectively. |
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| Autores principais: | Nolden, Jannik |
| Assunto: | Forecasting Machine learning Business analytics Cryptocurrency Bitcoin Deep learning Price prediction Algorithmic trading Time-series forecasting |
| Ano: | 2022 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | Since its inception in 2009, Bitcoin has gained popularity and importance in financial markets. The Bitcoin price is highly volatile entailing high risk and chances of high returns for traders. This work is part of a work project that defines a holistic approach to build an intraday Bitcoin trading algorithm based on predictive analysis of ML models. In this work, the results show that LSTM yields the best prediction performance for Bitcoin price prediction. GRU, LSTM and RNN demonstrate the best performance for Bitcoin trend prediction in 1h, 2h and 3h,respectively. |
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