Bitcoin Volatility Forecasting with a Glimpse into Buy and Sell Orders
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest Bitcoin digital trading offices in 2016 and 2017 as well as order information. Experiments are performed to evaluate a variety of statistical and machine learning approaches.
Code (0)
등록된 구현이 없습니다.
Tasks
BIG-bench Machine LearningSimilar Papers 제목 키워드 기반
Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models
This paper introduces a unique and valuable research design aimed at analyzing Bitcoin price volatility. To achieve this, a range of models from the Markov Switching-GARCH and Stochastic Autoregressive Volatility (SARV) …
ManagementForecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models
The cryptocurrency market is highly volatile compared to traditional financial markets. Hence, forecasting its volatility is crucial for risk management. In this paper, we investigate CryptoQuant data (e.g. on-chain anal…
Explainable Artificial Intelligence (XAI)ManagementForecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived fr…
Multivariate Forecasting of Bitcoin Volatility with Gradient Boosting: Deterministic, Probabilistic, and Feature Importance Perspectives
This study investigates the application of the Light Gradient Boosting Machine (LGBM) model for both deterministic and probabilistic forecasting of Bitcoin realized volatility. Utilizing a comprehensive set of 69 predict…
Feature ImportancePractical Forecasting of Cryptocoins Timeseries using Correlation Patterns
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the tr…
Time SeriesTime Series Forecasting