Forecasting Mid-price Movement of Bitcoin Futures using Machine Learning

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

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

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.
Original languageEnglish
JournalAnnals of Operations Research
Number of pages32
ISSN0254-5330
DOIs
Publication statusPublished - 22 Jul 2021

Bibliographical note

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

Keywords

  • Cryptocurrency
  • Bitcoin futures
  • Machine learning
  • COVID-19
  • K-nearest neighbors
  • Logistic regression
  • Naive bayers
  • Random forest
  • Support vector machine
  • Extreme gradient boosting

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