利用逻辑、判别分析和机器学习分类技术预测比特币的回报方向

Q4 Mathematics
Patrick Rakotomarolahy
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引用次数: 0

摘要

本文提出了利用逻辑分析、判别分析和机器学习分类技术对比特币收益方向进行预测。它使用外生宏观经济和金融变量扩展了比特币回报方向的预测,这些变量已被研究为比特币回报的驱动因素。我们还使用谷歌趋势来代表投资者对比特币的兴趣。我们将这些变量视为比特币回报方向的预测因子。我们进行了样本内和样本外的实证分析,样本内评估的误分类误差约为4%,样本外实证分析的误分类误差约为41%。基于集成学习树的方法在样本内和样本外分析中都优于其他方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Predicting the bitcoin return direction with logistic, discriminant analysis and machine learning classification techniques
This paper proposes prediction of the bitcoin return direction with logistic, discriminant analysis and machine learning classification techniques. It extends the prediction of the bitcoin return direction using exogenous macroeconomic and financial variables which have been investigated as drivers of bitcoin return. We also use google trends as proxy for investors interest on bitcoin. We consider those variables as predictors for bitcoin return direction. We conduct an in-sample and out-of-sample empirical analysis and achieve a misclassification error around 4% for in-sample evaluation and around 41% in out-of-sample empirical analysis. Ensemble learning trees based outperforms the other methods in both in-sample and out-of-sample analyses.
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来源期刊
Model Assisted Statistics and Applications
Model Assisted Statistics and Applications Mathematics-Applied Mathematics
CiteScore
1.00
自引率
0.00%
发文量
26
期刊介绍: Model Assisted Statistics and Applications is a peer reviewed international journal. Model Assisted Statistics means an improvement of inference and analysis by use of correlated information, or an underlying theoretical or design model. This might be the design, adjustment, estimation, or analytical phase of statistical project. This information may be survey generated or coming from an independent source. Original papers in the field of sampling theory, econometrics, time-series, design of experiments, and multivariate analysis will be preferred. Papers of both applied and theoretical topics are acceptable.
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