Prediction of Significant Bitcoin Price Changes Based on Deep Learning

Abstract

Bitcoin is one of the most famous cryptocurrencies in the world and its price has changed frequently in recent years. Different from the traditional stock market, the changes of bitcoin's price are even more dramatic. Huge price movements have attracted not only investors but also more researchers to find different methods to predict bitcoin's price. In this research, we consider using change rate over previous a few days to predict the significant bitcoin price changes, which are defined as a three-category problem. Besides, we compare the predictive results using two deep learning models - LSTM and GRU, and then find LSTM perform better than GRU with the highest AUC value of 0.701 in most cases.