Forecasting Mid-price Movement of Bitcoin Futures using Machine Learning

Erdinç Akyildirim*, Oguzhan Cepni, Shaen Corbet, Gazi Salah Uddin

*Corresponding author af dette arbejde

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Abstrakt

In the aftermath of the global financial crisis and ongoing COVID-19 pandemic, investors face challenges in understanding price dynamics across assets. This paper explores the performance of the various type of machine learning algorithms (MLAs) to predict mid-price movement for Bitcoin futures prices. We use high-frequency intraday data to evaluate the relative forecasting performances across various time frequencies, ranging between 5 and 60-min. Our findings show that the average classification accuracy for five out of the six MLAs is consistently above the 50% threshold, indicating that MLAs outperform benchmark models such as ARIMA and random walk in forecasting Bitcoin futures prices. This highlights the importance and relevance of MLAs to produce accurate forecasts for bitcoin futures prices during the COVID-19 turmoil.
OriginalsprogEngelsk
TidsskriftAnnals of Operations Research
Antal sider32
ISSN0254-5330
DOI
StatusUdgivet - 22 jul. 2021

Bibliografisk note

Epub ahead of print. Published online: 22 July 2021.

Emneord

  • Cryptocurrency
  • Bitcoin futures
  • Machine learning
  • Covid-19
  • K-nearest neighbors
  • Logistic regression
  • Naive bayers
  • Random forest support vector machine
  • Extrememe gradient boosting

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