This research aims to examine the influence of cryptocurrencies on stock market prices in Indonesia. This research uses multiple regression analysis using daily tme series data from 2020-2022 so that the number of observations in this research is 1096. The findings in this research show mixed results between cryptocurrency assets and stock market prices in Indonesia. From the research results, Bitcoin does not have a significant influence on stock market prices in Indonesia, while Ethereum and Binance Coin have a positive and significant influence, but this is different from Maker and Pax Gold. Maker and Pax Gold have a negative and significant influence on stock market prices. The findings in this research show that the nature of the influence of cryptocurrency on stock market prices in Indonesia is not the same but depends on the cryptocurrency asset itself. The findings in this research suggest that investors and market players need to consider these two assets together in their investment strategies.
Over time, cryptocurrencies like Bitcoin have attracted investor's and speculators' interest. Bitcoin's dramatic rise in value in recent years has caught the attention of many who see it as a promising investment asset. After all, Bitcoin investment is inseparable from Bitcoin price volatility that investors must mitigate. This research aims to use Lee's Fuzzy Time Series approach to forecast the price of Bitcoin. A time series analysis method called Lee's Fuzzy Time Series to get around ambiguity and uncertainty in time series data. Ching-Cheng Lee first introduced this approach in his research on time series prediction. This method is a development of several previous fuzzy time series (FTS) models, namely Song and Chissom and Cheng and Chen. According to most previous studies, Lee's model was stated to be able to convey more precise forecasting results than the classic model from the FTS. This study used first and second orders, where researchers obtained error values from the first order of 5.419% and the second order of 4.042%, which means that the forecasting results are excellent. But of both orders, only the first order can be used to predict the next period's Bitcoin price. In the second order, the resulting relations in the next period do not have groups in their fuzzy logical relationship group (FLRG), so they can not predict the price in the next period. This study contributes to considering investors and the general public as a factor in keeping, selling, or purchasing cryptocurrencies.
The accurate imputation of missing values in time series data is paramount for maintaining the integrity and reliability of analyses and predictions. This article investigates the effica-cy of various missing values imputation methods, encom-passing well-known machine learning and statistical tech-niques. Moreover, for a better understanding, they imple-mented two financial data time series: S&P 500 and Bitcoin markets spanning from 2016 to 2023 on a daily frequency. Initially utilizing complete datasets, controlled missingness was introduced by randomly removing 45 data points. Then, these methods applied multiple imputation strategies for estimating and substituting these missing values. Experi-mental evaluation yielded insightful findings regarding the performance of the different methods. The examined ma-chine learning methods, including k-Nearest Neighbors (k-NN), Random Forest, Deep Learning, and Decision Trees, consistently outperformed their statistical counterparts, such as Mean Imputation, Regression Imputation, Hot-Deck Im-putation, and Expectation-Maximization Imputation. Nota-bly, Random Forest emerged as the most effective method, showcasing superior performance in terms of accuracy and robustness. Conversely, the Mean Imputation method exhibited com-paratively inferior outcomes, suggesting its limited suitabil-ity for financial time series data. This research contributes to the ongoing discourse on data integrity within finance ana-lytics and serves as a comprehensive guide for practitioners seeking optimal missing values imputation methods. The empirical evidence provided herein advances the under-standing of imputation techniques' relative performance and their application in financial data, facilitating enhanced de-cision-making processes and yielding more reliable predic-tions.
Taicir Mezghani, Mustafa Raza Rabbani, Yousra Trichilli, Boujelbène Abbes
The study investigates the dynamic interconnections and opportunities for hedging among cryptocurrency, commodity, and Islamic stock markets using DCC-GARCH and Spillover connectedness models. Using daily data covering the Russia-Ukraine war and COVID-19 outbreak from December 1, 2019 to April 15, 2022, we document weak and frequently negative correlation between Bitcoin and Islamic stock markets. Thus, Bitcoin could be viewed as a haven from Islamic stock market losses. The results also indicate that Bitcoin's diversification benefits are normally steady and increase considerably during turbulence. Furthermore, the net return spillovers from the Bitcoin market remain above zero during most of the study period. We also find that utilizing Bitcoin as a hedge during the COVID-19 pandemic phase leads to higher expenses. The outcomes of this investigation are expected to carry substantial ramifications for Indonesian investors and portfolio managers who adhere to Shariah law since they will enable them to comprehend the advantages of diversifying portfolios across various periods of stock holding or investment horizons.
<title>Abstract</title> The emergence of Bitcoin as a decentralized digital currency has underscored the importance of developing advanced techniques for predicting its price fluctuations. This study evaluates the predictive power of Bitcoin-related Google search volumes and Twitter sentiment analysis within short time frames. By leveraging machine learning algorithms and opinion mining, we identify correlations between online behaviors and Bitcoin price movements. Our methodology encompasses data sourcing, preprocessing, exploratory analysis, feature selection using Correlation Analysis, F-regression, Shapley values, and price prediction with a Long Short-Term Memory (LSTM) model. Findings reveal that Google search data, compared to Twitter sentiment, significantly enhances model accuracy and reduces prediction errors. The study suggests future research to investigate other search engines and online news sentiment, acknowledging limitations in data quality and accessibility of historical Twitter data.
Abstract Predictive demand forecasting plays a pivotal role in optimizing supply chain management, enabling businesses to effectively allocate resources and minimize operational inefficiencies. This paper introduces a novel approach to enhancing demand forecasting processes by leveraging the Ethereum virtual machine within a blockchain framework. The proposed system capitalizes on the inherent security, transparency, and decentralized nature of blockchain technology to create a secure and efficient platform for predictive demand forecasting. The system leverages the Ethereum virtual machine to establish a secure, decentralized, and tamperâresistant platform for demand prediction while ensuring data integrity and privacy. By utilizing the capabilities of smart contracts and decentralized applications within the Ethereum ecosystem, the proposed system offers an efficient and transparent solution for demand forecasting challenges. The current research focused on Ethereum virtual machine characteristics, features, components, and implementation details. A secured framework for the prediction of demand forecasting systems is proposed. Finally, the authors tried to validate and optimize the gas cost by using distinguished statistics and analysis.
Rodrigo Colnago Contreras, Vitor Trevelin Xavier da Silva, Igor Trevelin Xavier da Silva, Monique Simplicio Viana ¡ 8 authors
Since financial assets on stock exchanges were created, investors have sought to predict their future values. Currently, cryptocurrencies are also seen as assets. Machine learning is increasingly adopted to assist and automate investments. The main objective of this paper is to make daily predictions about the movement direction of financial time series through classification models, financial time series preprocessing methods, and feature selection with genetic algorithms. The target time series are Bitcoin, Ibovespa, and Vale. The methodology of this paper includes the following steps: collecting time series of financial assets; data preprocessing; feature selection with genetic algorithms; and the training and testing of machine learning models. The results were obtained by evaluating the models with the area under the ROC curve metric. For the best prediction models for Bitcoin, Ibovespa, and Vale, values of 0.61, 0.62, and 0.58 were obtained, respectively. In conclusion, the feature selection allowed the improvement of performance in most models, and the input series in the form of percentage variation obtained a good performance, although it was composed of fewer attributes in relation to the other sets tested.
Indri Tri Julianto, Dede Kurniadi, Ricky Rohmanto, Fathia Alisha Fauzia
Ethereum is a cryptocurrency that is now the second most popular digital asset after Bitcoin. High trading volume is the trigger for the popularity of this cryptocurrency. In addition, Ethereum is home to various decentralized applications and acts as a link for Decentralized Finance (DeFi) transactions, Non-Fungible Tokens (NFTs) and the use of smart contracts in the crypto space. This study aims to improve the performance of the forecasting algorithm by using feature extraction for Ethereum price forecasting. The algorithms used are neural networks, deep learning, and support vector machines. The research methodology used is Knowledge Discovery in Databases. The data set used comes from the yahoo.finance.com website regarding Ethereum prices. The results show that the neural network Algorithm is the best Algorithm compared to Deep Learning and support vector machine. The root mean square error value for the neural network before feature selection is 93,248 +/- 168,135 (micro average: 186,580 +/- 0,000) Linear Sampling method and 54,451 +/- 26,771 (micro average: 60,318 +/- 0,000) Shuffled Sampling method. Then after feature selection, the root mean square error value improved to 38,102 +/- 31,093 (micro average: 48,600 +/- 0,000) using the Shuffled Sampling method
The popularity of cryptocurrencies has skyrocketed in the last several years due to the introduction of blockchain technology (BCT). Herein, we are navigating the intersection of sustainable market investment and cryptocurrency predictive analysis against the backdrop of a dynamic and evolving financial landscape marked by the surge of digital assets. This study's goal is to construct the predictive analysis model (PAM) which incorporates Long Short-Term Memory (LSTM) capabilities to predict the price of Bitcoin with high accuracy the next day and to identify the variables that influence price. In constructed PAM, we are using a comprehensive methodology to study temporal correlations within minute-by-minute bitcoin data using preprocessing, sophisticated machine learning algorithms, and data exploration. Our findings demonstrate the effectiveness of the LSTM model in forecasting bitcoin behavior, offering detailed information that is essential for long-term market investing.
The rapid development of information technology, especially the Internet, has facilitated users with a quick and easy way to seek information. With these convenience offered by internet services, many individuals who initially invested in gold and precious metals are now shifting into digital investments in form of cryptocurrencies. However, investments in crypto coins are filled with uncertainties and fluctuation in daily basis. This risk posed as significant challenges for coin investors that could result in substantial investment losses. The uncertainty of the value of these crypto coins is a critical issue in the field of coin investment. Forecasting, is one of the methods used to predict the future value of these crypto coins. By utilizing the models of Long Short Term Memory, Support Vector Machine, and Polynomial Regression algorithm for forecasting, a performance comparison is conducted to determine which algorithm model is most suitable for predicting crypto currency prices. The mean square error is employed as a benchmark for the comparison. By applying those three constructed algorithm models, the Support Vector Machine uses a linear kernel to produce the smallest mean square error compared to the Long Short Term Memory and Polynomial Regression algorithm models, with a mean square error value of 0.02. Keywords: Cryptocurrency, Forecasting, Long Short Term Memory, Mean Square Error, Polynomial Regression, Support Vector Machine
Econometrics can be used to understand and forecast price movements, assess market efficiency, and explore the factors influencing Bitcoin's value and adaptation. Econometrics is related to bitcoin in seven categories: price analysis and prediction, market efficiency, determination of Bitcoin prices, risk analysis, adaptation and network effects, causality tests, and simulation and stress. Testing these analyses can be invaluable for policymakers, investors, and financial institutions interested in the economics of digital currencies. Bitcoin price prediction in machine learning has many challenges that have deep roots in 2 main properties: cryptocurrencies and complexities in the Machine Learning models. Many problems are associated with machine learning for bitcoin price prediction, such as overfitting, data quality and availability, latent variables, model interpretability, computational complexity, dynamic adaptation, market manipulation, anomalies, data snooping bias risk, and time horizon mismatch. In the paper, we proposed an efficient framework for the prediction of bitcoin using nine different machine learning algorithms (linear Regression, random forest, adaboost, tree, KNN, gradient boosting, constant, neural network, SVM) on five different datasets. The results revealed that linear Regression emerged as the optimal model for the first data set. In the second data set, the random forest model demonstrated superior performance. The third data set exhibited the highest efficacy when the Adaboost model was employed. The fourth data set yielded the best outcomes with the random forest model, while linear Regression was the most effective choice for the final data set.
The significant increase in cryptocurrency trading on digital blockchain platforms has led to a growing interest in employing machine learning techniques for the effective prediction of highly nonlinear and nonstationary data, becoming increasingly popular among both individual and institutional market participants. The aim of this research is to deal with the challenging task of predicting the closing prices of two prominent cryptocurrencies, Binance Coin (BNB) and Ethereum (ETH), utilizing machine-learning techniques. This study evaluates the efficacy of various machine learning models in predicting cryptocurrency prices, with a particular focus on Support Vector Machines for Regression (SVR), least-squares Boosting (LSBoost), and Artificial Neural Networks and Adaptive Neuro-Fuzzy Inference System (ANFIS). These models are compared under various metrics. ANFIS models exhibited superior predictive performance on both training and testing datasets based on diverse performance metrics. Comparatively, SVR with a linear kernel demonstrated strong generalization capabilities, particularly on the testing set. LSBoost, while showing promise in training accuracy, indicated results with higher test errors. ANN models maintained a balance between training and testing. This comparison showed the modelsâ effectiveness, particularly the robustness of ANFIS in capturing the volatile cryptocurrency market trends. The experimental data suggest that certain of the above models can be utilized to predict the ETH and BNB closing price in real time with promising accuracy and experimentally proven profitability.
Bitcoinâs daily value fluctuations are very dynamic. Understanding its rapid and intricate price movements demands advanced techniques for processing complex data. This research aims to compare the accuracy of two machine learning methods, Random Forest (RF) and Long Short-Term Memory (LSTM), in predicting Bitcoin price. This research employs RF and LSTM algorithms to forecast Bitcoin prices using a two-year Yahoo Finance dataset. The evaluation metrics used were accuracy based on Mean Absolute Percentage Error (MAPE) and computational power (CPU-Z). As a result of this research, the LSTM model demonstrates higher accuracy compared to the RF model. MAPE reveals LSTMâs precision of 99.8% and RFâs accuracy of 90.1%. Regarding computational time and resources, RF shows slightly better performance than LSTM. The visual comparison further emphasizes LSTMâs better performance in predicting Bitcoin prices, highlighting its potential for informed decision-making in cryptocurrency trading. This research contributes valuable insights into the effectiveness, strengths, and weaknesses of LSTM and RF models in predicting cryptocurrency trends.
As Deep Learning (DL) continues to be widely adopted, the growing field of study on the robustness of DL approaches in finance is gaining steam. This paper investigates the robustness of a Recurrent Neural Network (RNN) with Long Short-Term Memory (LSTM) intended for daily closing price predictions of Bitcoin (BTC). The research entails reproducing and adjusting an LSTM design from previous research, with an emphasis on evaluating the robustness of the network. The network is trained using data that has been disturbed by Gaussian noise to assess robustness, and the effect on predictions made outside of the sample is examined. To examine the impact of adding Gaussian noise layers and noisy dense layers on training accuracy and out-of-sample predictions, further robustness tests are conducted. The results show that the LSTM network has remarkable robustness to random disturbances in the data. Nevertheless, the Root Mean Square Error (RMSE) of the prediction increases with the addition of Gaussian noise and noisy dense layers. When random noise is present in the training data, the Autoregressive Integrated Moving Average (ARIMA) model is more vulnerable to it than the LSTM, according to the robustness of the two models. These findings highlight how robustness DL techniques are overall when compared to more conventional linear methods. However, because these models are black-box, the study highlights the significance of comprehensive testing. Although the robustness of the LSTM is impressive, it is important to understand that each network may behave differently depending on the circumstances.
Cryptocurrencies have become a popular investment option and the Ethereum has become a mainstream cryptocurrency because of the additional functionality that can be accomplished with the backing of the powerful Ethereum network compared to Bitcoin. The high volatility of Ethereum offers both profits and risks, making it crucial to improve the forecasting ability for its price volatility. The results of this study could be useful for investors and policymakers who are interested in understanding and managing the risks associated with investing in Ethereum. Several studies have explored similar topics using heterogeneous autoregressive (HAR) models for cryptocurrencies, but this paper offers a more expansive approach. This paper employs five-minute high-frequency data to construct 4 HAR models to predict the volatility of Ethereum, taking into account the impact of structural breaks, Bitcoin, SP500 and VIX. The model that considers all factors outperforms other models for out-of-sample predictions for the 1-week forecasting. Due to the nature of the Ethereum price, the HAR-RV model has achieved a perfect fit in 1-day and 1-month forecasting. Therefore, other models have a very small improvement in fitness and prediction accuracy. This paper contributes to the understanding of Ethereumâs volatility and its impact on the cryptocurrency market.
Abstract: With the help of specific factors, this effort seeks to improve the present analysis of bitcoin and forecast its price. After conducting a thorough investigation, it was determined which factors all contribute to daily fluctuations in the value of bitcoin. All of the data in this work is made up of various aspects from daily records from the previous few years. The first step in this endeavour is gathering all the data necessary to forecast the price of bitcoin. All of the data was compiled during the previous few years, and it was incorporated into this work. The Recurrent neural network (RNN) algorithm is employed in this work because it provides significantly improved accuracy than earlier techniques. In order for investors to invest in bitcoin easily and for beginners to this market or business, this study forecasts signs of change in the price of the cryptocurrency.
Bitcoin has increased in popularity as a speculative asset. Since 2013, eventually becoming the most recognizable cryptocurrency. But it's worth noting that the price of Bitcoin has a very high degree of volatility and diversity, which means the ability to estimate prices accurately is crucial for making wise financial decisions. Although recent research has implemented machine learning to predict Bitcoin prices with greater precision, such as Long short-term memory (LSTM), few have focused on traditional machine learning methods. In this article, the author chose a data set including nearly eight years of daily bitcoin price data for closing price prediction. Four different machine learning algorithms were used simultaneously: the Linear Regression (LR), the Decision Tree (DT) and the Random Forest (RF). An artificial neural network, the Multilayer Perceptron (MLP) was also used in this study. The author altered parameter values using the cross-validation method before creating the models in order to get more precise predictions. Finally, Root Mean Square Error (RMSE), Mean Absolute Error (MAE) and R-squared are used as indicators to assess the outcomes from each model. The study's findings demonstrated that all three metrics of Linear Regression outperformed the performance of the other three models. Perhaps future research could focus more on traditional machine learning algorithms instead of going after complex models.
Salman Bahoo, Marco Cucculelli, Xhoana Goga, Jasmine Mondolo
Abstract Over the past two decades, artificial intelligence (AI) has experienced rapid development and is being used in a wide range of sectors and activities, including finance. In the meantime, a growing and heterogeneous strand of literature has explored the use of AI in finance. The aim of this study is to provide a comprehensive overview of the existing research on this topic and to identify which research directions need further investigation. Accordingly, using the tools of bibliometric analysis and content analysis, we examined a large number of articles published between 1992 and March 2021. We find that the literature on this topic has expanded considerably since the beginning of the XXI century, covering a variety of countries and different AI applications in finance, amongst which Predictive/forecasting systems, Classification/detection/early warning systems and Big data Analytics/Data mining /Text mining stand out. Furthermore, we show that the selected articles fall into ten main research streams, in which AI is applied to the stock market, trading models, volatility forecasting, portfolio management, performance, risk and default evaluation, cryptocurrencies, derivatives, credit risk in banks, investor sentiment analysis and foreign exchange management, respectively. Future research should seek to address the partially unanswered research questions and improve our understanding of the impact of recent disruptive technological developments on finance.
Fatih Ecer, Tolga Murat, Hasan DĹnçer, Serhat Yßksel
Abstract Crypto assets have become increasingly popular in recent years due to their many advantages, such as low transaction costs and investment opportunities. The performance of crypto exchanges is an essential factor in developing crypto assets. Therefore, it is necessary to take adequate measures regarding the reliability, speed, user-friendliness, regulation, and supervision of crypto exchanges. However, each measure to be taken creates extra costs for businesses. Studies are needed to determine the factors that most affect the performance of crypto exchanges. This study develops an integrated framework, i.e., fuzzy bestâworst method with the Heronian functionâthe fuzzy measurement of alternatives and ranking according to compromise solution with the Heronian function (FBWMâHâFMARCOSâH), to evaluate cryptocurrency exchanges. In this framework, the fuzzy bestâworst method (FBWM) is used to decide the criteriaâs importance, fuzzy measurement of alternatives and ranking according to compromise solution (FMARCOS) is used to prioritize the alternatives, and the Heronian function is used to aggregate the results. Integrating a modified FBWM and FMARCOS with Heronian functions is particularly appealing for group decision-making under vagueness. Through case studies, some well-known cryptocurrency exchanges operating in TĂźrkiye are assessed based on seven critical factors in the cryptocurrency exchange evaluation process. The main contribution of this study is generating new priority strategies to increase the performance of crypto exchanges with a novel decision-making methodology. âPerception of security,â âreputation,â and âcommission rateâ are found as the foremost factors in choosing an appropriate cryptocurrency exchange for investment. Further, the best score is achieved by Coinbase, followed by Binance. The solidity and flexibility of the methodology are also supported by sensitivity and comparative analyses. The findings may pave the way for investors to take appropriate actions without incurring high costs.
Bitcoin has drawn a lot of interest recently as a possible high-earning investment. There are significant financial risks associated with its erratic price volatility. Therefore, investors and decision-makers place great significance on being able to precisely foresee and capture shifting patterns in the Bitcoin market. However, empirical studies on the systems that support Bitcoin trading and forecasting are still in their infancy. The suggested method will predict the prices of all key cryptocurrencies with accuracy. A number of factors are going to be taken into account in order to precisely predict the pricing. By leveraging encryption technology, cryptocurrencies may serve as an online accounting framework and a medium of exchange. The main goal of this work is to predict Bitcoin price. To address the drawbacks of traditional forecasting techniques, we use a variety of machine learning, deep learning, and ensemble learning algorithms. We conduct a performance analysis of Auto-Regressive Integrated Moving Averages (ARIMA), Long-Short-Term Memory (LSTM), FB-Prophet, XGBoost, and a pair of hybrid formulations, LSTM-GRU and LSTM-1D_CNN. Utilizing historical Bitcoin data from 2012 to 2020, we compared the models with their Mean Absolute Error (MAE) and Root Mean Squared Error (RMSE). The hybrid LSTM-GRU model outperforms the rest with a Mean Absolute Error (MAE) of 0.464 and a Root Mean Squared Error (RMSE) of 0.323. The finding has significant ramifications for market analysts and investors in digital currencies.
This research explores a relatively unexplored area of predicting cryptocurrency staking rewards, offering potential insights to researchers and investors. We investigate two predictive methodologies: a) a straightforward sliding-window average, and b) linear regression models predicated on historical data. The findings reveal that ETH staking rewards can be forecasted with an RMSE within 0.7% and 1.1% of the mean value for 1-day and 7-day look-aheads respectively, using a 7-day sliding-window average approach. Additionally, we discern diverse prediction accuracies across various cryptocurrencies, including SOL, XTZ, ATOM, and MATIC. Linear regression is identified as superior to the moving-window average for perdicting in the short term for XTZ and ATOM. The results underscore the generally stable and predictable nature of staking rewards for most assets, with MATIC presenting a noteworthy exception.
The research delves into the capabilities of a transformer-based neural network for Ethereum cryptocurrency price forecasting. The experiment runs around the hypothesis that cryptocurrency prices are strongly correlated with other cryptocurrencies and the sentiments around the cryptocurrency. The model employs a transformer architecture for several setups from single-feature scenarios to complex configurations incorporating volume, sentiment, and correlated cryptocurrency prices. Despite a smaller dataset and less complex architecture, the transformer model surpasses ANN and MLP counterparts on some parameters. The conclusion presents a hypothesis on the illusion of causality in cryptocurrency price movements driven by sentiments.
Automated Machine Learning (AutoML) tools are revolutionizing the field of machine learning by significantly reducing the need for deep computer science expertise. Designed to make ML more accessible, they enable users to build high-performing models without extensive technical knowledge. This study delves into these tools in the context of time series analysis, which is essential for forecasting future trends from historical data. We evaluate three prominent AutoML toolsâAutoGluon, Auto-Sklearn, and PyCaretâacross various metrics, employing diverse datasets that include Bitcoin and COVID-19 data. The results reveal that the performance of each tool is highly dependent on the specific dataset and its ability to manage the complexities of time series data. This thorough investigation not only demonstrates the strengths and limitations of each AutoML tool but also highlights the criticality of dataset-specific considerations in time series analysis. Offering valuable insights for both practitioners and researchers, this study emphasizes the ongoing need for research and development in this specialized area. It aims to serve as a reference for organizations dealing with time series datasets and a guiding framework for future academic research in enhancing the application of AutoML tools for time series forecasting and analysis.
Liquidity is the ease of converting an asset (physical/digital) into cash or another asset without loss and is shown by the relationship between the time scale and the price scale of an investment. This article examines the illiquidity of Bitcoin (BTC). Bitcoin hash rate information was collected at three different time intervals; parallel to these data, textual information related to these intervals was collected from Twitter for each day. Due to the regression nature of illiquidity prediction, approaches based on recurrent networks were suggested. Seven approaches: ANN, SVM, SANN, LSTM, Simple RNN, GRU, and IndRNN, were tested on these data. To evaluate these approaches, three evaluation methods were used: random split (paper), random split (run) and linear split (run). The research results indicate that the IndRNN approach provided better results.