Jana R K, Ghosh Indranil, Das Debojyoti
Operations and Quantitative Methods Area, Indian Institute of Management Raipur, Atal Nagar, Raipur, CG 493661 India.
Department of Operations Management and IT, Calcutta Business School, Kolkata, WB 743503 India.
Ann Oper Res. 2021;306(1-2):295-320. doi: 10.1007/s10479-021-04000-8. Epub 2021 Mar 1.
This research proposes a differential evolution-based regression framework for forecasting one day ahead price of Bitcoin. The maximal overlap discrete wavelet transformation first decomposes the original series into granular linear and nonlinear components. We then fit polynomial regression with interaction (PRI) and support vector regression (SVR) on linear and nonlinear components and obtain component-wise projections. The sum of these projections constitutes the final forecast. For accurate predictions, the PRI coefficients and tuning of the hyperparameters of SVR must be precisely estimated. Differential evolution, a metaheuristic optimization technique, helps to achieve these goals. We compare the forecast accuracy of the proposed regression framework with six advanced predictive modeling algorithms- multilayer perceptron neural network, random forest, adaptive neural fuzzy inference system, standalone SVR, multiple adaptive regression spline, and least absolute shrinkage and selection operator. Finally, we perform the numerical experimentation based on-(1) the daily closing prices of Bitcoin for January 10, 2013, to February 23, 2019, and (2) randomly generated surrogate time series through Monte Carlo analysis. The forecast accuracy of the proposed framework is higher than the other predictive modeling algorithms.
本研究提出了一种基于差分进化的回归框架,用于预测比特币未来一天的价格。最大重叠离散小波变换首先将原始序列分解为粒度线性和非线性成分。然后,我们对线性和非线性成分进行带交互作用的多项式回归(PRI)和支持向量回归(SVR)拟合,并获得逐成分预测。这些预测的总和构成最终预测。为了进行准确预测,必须精确估计PRI系数和SVR超参数的调整。差分进化是一种元启发式优化技术,有助于实现这些目标。我们将所提出的回归框架的预测准确性与六种先进的预测建模算法进行比较,这些算法包括多层感知器神经网络、随机森林、自适应神经模糊推理系统、独立SVR、多重自适应回归样条以及最小绝对收缩和选择算子。最后,我们基于(1)2013年1月10日至2019年2月23日比特币的每日收盘价,以及(2)通过蒙特卡洛分析随机生成的替代时间序列进行数值实验。所提出框架的预测准确性高于其他预测建模算法。