Is It Possible to Forecast the Price of Bitcoin?

Forecasting

Dominique Guégan¹  Stéphane Goutte²  Julien Chevallier³ 

[1]Applied Mathematics Department, Université Paris 1 Panthéon-Sorbonne, LabEx ReFi, 106 Boulevard de l’Hopital, CEDEX 13, 75647 Paris, France

[2]CEMOTEV, UVSQ, Paris-Saclay, 78280 Guyancourt, France

[3]IPAG Lab, IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France

关键词: forecasting;    Bitcoin;    machine learning;    trading strategies;   

DOI  :  10.3390/forecast3020024

来源: DOAJ

【 摘 要 】

This paper focuses on forecasting the price of Bitcoin, motivated by its market growth and the recent interest of market participants and academics. We deploy six machine learning algorithms (e.g., Artificial Neural Network, Support Vector Machine, Random Forest, k-Nearest Neighbours, AdaBoost, Ridge regression), without deciding a priori which one is the ‘best’ model. The main contribution is to use these data analytics techniques with great caution in the parameterization, instead of classical parametric modelings (AR), to disentangle the non-stationary behavior of the data. As soon as Bitcoin is also used for diversification in portfolios, we need to investigate its interactions with stocks, bonds, foreign exchange, and commodities. We identify that other cryptocurrencies convey enough information to explain the daily variation of Bitcoin’s spot and futures prices. Forecasting results point to the segmentation of Bitcoin concerning alternative assets. Finally, trading strategies are implemented.

【 授权许可】

Unknown