Empirical Evaluation of Machine Learning Performance in Forecasting Cryptocurrencies

Abstract

—Cryptocurrencies like Bitcoin are one of today's financial system’s most contentious and difficult technological advances. This study aims to evaluate the performance of three different Machine Learning (ML) algorithms, namely, the Support Vector Machines (SVM), the K Nearest Neighbor (KNN), and the Light Gradient Boosted Machine (LGBM), which seeks to accurately estimate the price movement of Bitcoin, Ethereum, and Litecoin. To test these algorithms, we used an existing continuous dataset extracted from Kaggle and coinmarketcap.com. We implemented models using the Knime platform. We used auto biner for volume and market capital. Sensitivity analysis was performed to match different parameters. The F and accuracy statistics were used for the evaluation of algorithm performances. Empirical findings reveal that the KNN has the highest forecasting performance for the overall dataset in our first investigation phase. On the other hand, the SVM has the highest for forecasting Bitcoin and the LGBM for Ethereum and Litecoin in the individual dataset in the second investigation phase.