{"title":"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","authors":"Patrick Rakotomarolahy","doi":"10.3233/mas-210530","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":35000,"journal":{"name":"Model Assisted Statistics and Applications","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Predicting the bitcoin return direction with logistic, discriminant analysis and machine learning classification techniques\",\"authors\":\"Patrick Rakotomarolahy\",\"doi\":\"10.3233/mas-210530\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":35000,\"journal\":{\"name\":\"Model Assisted Statistics and Applications\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-08-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Model Assisted Statistics and Applications\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3233/mas-210530\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Model Assisted Statistics and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3233/mas-210530","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Mathematics","Score":null,"Total":0}
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.
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.