Bitcoin Forecasting Performance Measurement: A Comparative Study of Econometric, Machine Learning and Artificial Intelligence-Based Models

IF 1.3 Q3 ECONOMICS

Journal of International Commerce Economics and Policy Pub Date : 2023-02-09 DOI:10.1142/s1793993323500084

Anshul Agrawal, Mukta Mani, S. Varshney

{"title":"Bitcoin Forecasting Performance Measurement: A Comparative Study of Econometric, Machine Learning and Artificial Intelligence-Based Models","authors":"Anshul Agrawal, Mukta Mani, S. Varshney","doi":"10.1142/s1793993323500084","DOIUrl":null,"url":null,"abstract":"Bitcoin is a type of Cryptocurrency that relies on Blockchain technology and its growing popularity is leading to its acceptance as an alternative investment. However, the future value of Bitcoin is difficult to predict due to its significant volatility and speculative behavior. Considering this, the key objective of this research is to assess Bitcoins’ explosive behavior during 2013–2022 including the most volatile COVID-19 pandemic and Russia–Ukraine war period and to forecast its price by comparing the predictive abilities offive different econometric, machine learning and artificial Intelligence methods namely, ARIMA, Decision Tree, Random Forest, SVM, and Artificial Intelligence Long Short-Term Memory Network (AI-LSTM). The precision of such methodologies has been assessed using root mean square error (RMSE) and mean average per cent error (MAPE) values. The findings confirmed that the AI-LSTM model performs better than other forecast models in predicting Bitcoins’ opening price on the following working day. Therefore, Bitcoin traders, policymakers, and financial institutions can use the model effectively to better forecast the next day’s opening price.","PeriodicalId":44073,"journal":{"name":"Journal of International Commerce Economics and Policy","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2023-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Commerce Economics and Policy","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s1793993323500084","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 1

Abstract

Bitcoin is a type of Cryptocurrency that relies on Blockchain technology and its growing popularity is leading to its acceptance as an alternative investment. However, the future value of Bitcoin is difficult to predict due to its significant volatility and speculative behavior. Considering this, the key objective of this research is to assess Bitcoins’ explosive behavior during 2013–2022 including the most volatile COVID-19 pandemic and Russia–Ukraine war period and to forecast its price by comparing the predictive abilities offive different econometric, machine learning and artificial Intelligence methods namely, ARIMA, Decision Tree, Random Forest, SVM, and Artificial Intelligence Long Short-Term Memory Network (AI-LSTM). The precision of such methodologies has been assessed using root mean square error (RMSE) and mean average per cent error (MAPE) values. The findings confirmed that the AI-LSTM model performs better than other forecast models in predicting Bitcoins’ opening price on the following working day. Therefore, Bitcoin traders, policymakers, and financial institutions can use the model effectively to better forecast the next day’s opening price.

查看原文本刊更多论文

比特币预测性能测量:计量经济学、机器学习和基于人工智能的模型的比较研究

比特币是一种依赖于区块链技术的加密货币，它的日益普及导致它被接受为一种另类投资。然而，由于其显著的波动性和投机行为，比特币的未来价值很难预测。考虑到这一点，本研究的主要目的是评估比特币在2013-2022年期间的爆炸性行为，包括最不稳定的COVID-19大流行和俄罗斯-乌克兰战争时期，并通过比较五种不同的计量经济学，机器学习和人工智能方法的预测能力，即ARIMA，决策树，随机森林，SVM和人工智能长短期记忆网络(AI-LSTM)来预测其价格。使用均方根误差(RMSE)和平均百分比误差(MAPE)值对这些方法的精度进行了评估。研究结果证实，AI-LSTM模型在预测比特币下一个工作日开盘价方面优于其他预测模型。因此，比特币交易者、政策制定者和金融机构可以有效地使用该模型来更好地预测第二天的开盘价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of International Commerce Economics and Policy ECONOMICS-

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： Journal of International Commerce, Economics and Policy (JICEP) is a peer-reviewed journal that seeks to publish high-quality research papers that explore important dimensions of the global economic system (including trade, finance, investment and labor flows). JICEP is particularly interested in potentially influential research that is analytical or empirical but with heavy emphasis on international dimensions of economics, business and related public policy. Papers must aim to be thought-provoking and combine rigor with readability so as to be of interest to both researchers as well as policymakers. JICEP is not region-specific and especially welcomes research exploring the growing economic interdependence between countries and regions.