Tripathi Bhaskar, Sharma Rakesh Kumar
School of Humanities and Social Sciences, Thapar Institute of Engineering and Technology, Patiala, 147004 India.
Comput Econ. 2022 Oct 28:1-27. doi: 10.1007/s10614-022-10325-8.
Bitcoin is a volatile financial asset that runs on a decentralized peer-to-peer Blockchain network. Investors need accurate price forecasts to minimize losses and maximize profits. Extreme volatility, speculative nature, and dependence on intrinsic and external factors make Bitcoin price forecast challenging. This research proposes a reliable forecasting framework by reducing the inherent noise in Bitcoin time series and by examining the predictive power of three distinct types of predictors, namely fundamental indicators, technical indicators, and univariate lagged prices. We begin with a three-step hybrid feature selection procedure to identify the variables with the highest predictive ability, then use Hampel and Savitzky-Golay filters to impute outliers and remove signal noise from the Bitcoin time series. Next, we use several deep neural networks tuned by Bayesian Optimization to forecast short-term prices for the next day, three days, five days, and seven days ahead intervals. We found that the Deep Artificial Neural Network model created using technical indicators as input data outperformed other benchmark models like Long Short Term Memory, Bi-directional LSTM (BiLSTM), and Convolutional Neural Network (CNN)-BiLSTM. The presented results record a high accuracy and outperform all existing models available in the past literature with an absolute percentage error as low as 0.28% for the next day forecast and 2.25% for the seventh day for the latest out of sample period ranging from Jan 1, 2021, to Nov 1, 2021. With contributions in feature selection, data-preprocessing, and hybridizing deep learning models, this work contributes to researchers and traders in fundamental and technical domains.
比特币是一种运行在去中心化对等区块链网络上的波动性金融资产。投资者需要准确的价格预测以将损失降至最低并实现利润最大化。极端的波动性、投机性质以及对内在和外部因素的依赖使得比特币价格预测具有挑战性。本研究通过减少比特币时间序列中的固有噪声,并通过检验三种不同类型预测指标(即基本面指标、技术指标和单变量滞后价格)的预测能力,提出了一个可靠的预测框架。我们首先采用三步混合特征选择程序来识别具有最高预测能力的变量,然后使用汉佩尔滤波器和萨维茨基-戈莱滤波器来插补异常值并去除比特币时间序列中的信号噪声。接下来,我们使用通过贝叶斯优化调整的几个深度神经网络来预测未来一天、三天、五天和七天的短期价格。我们发现,以技术指标作为输入数据创建的深度人工神经网络模型优于其他基准模型,如长短期记忆模型、双向长短期记忆模型(BiLSTM)和卷积神经网络(CNN)-BiLSTM。对于2021年1月1日至2021年11月1日的最新样本外时期,所呈现的结果记录了高精度,并且优于过去文献中所有现有的模型,次日预测的绝对百分比误差低至0.28%,第七天预测的绝对百分比误差为2.25%。通过在特征选择、数据预处理和深度学习模型混合方面的贡献,这项工作对基础和技术领域的研究人员和交易员有所帮助。