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Ensemble Deep Learning Models for Forecasting Cryptocurrency Time-Series

Ioannis E. Livieris · Emmanuel G. Pintelas · Stavros Stavroyiannis · Panagiotis Pintelas

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Stock Market Forecasting Methods Blockchain Technology Applications and Security Forecasting Techniques and Applications

Abstract

Nowadays, cryptocurrency has infiltrated almost all financial transactions; thus, it is generally recognized as an alternative method for paying and exchanging currency. Cryptocurrency trade constitutes a constantly increasing financial market and a promising type of profitable investment; however, it is characterized by high volatility and strong fluctuations of prices over time. Therefore, the development of an intelligent forecasting model is considered essential for portfolio optimization and decision making. The main contribution of this research is the combination of three of the most widely employed ensemble learning strategies: ensemble-averaging, bagging and stacking with advanced deep learning models for forecasting major cryptocurrency hourly prices. The proposed ensemble models were evaluated utilizing state-of-the-art deep learning models as component learners, which were comprised by combinations of long short-term memory (LSTM), Bi-directional LSTM and convolutional layers. The ensemble models were evaluated on prediction of the cryptocurrency price on the following hour (regression) and also on the prediction if the price on the following hour will increase or decrease with respect to the current price (classification). Additionally, the reliability of each forecasting model and the efficiency of its predictions is evaluated by examining for autocorrelation of the errors. Our detailed experimental analysis indicates that ensemble learning and deep learning can be efficiently beneficial to each other, for developing strong, stable, and reliable forecasting models.

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References

2002Introduction to Time Series and Forecasting 2016Introduction to Time Series and Forecasting 2020A CNN–LSTM model for gold price time-series forecasting 2018Predicting the Price of Bitcoin Using Machine Learning 1994Neural Network Time Series: Forecasting of Financial Markets 2019A Comparative Study of Bitcoin Price Prediction Using Deep Learning 2018Bitcoin technical trading with artificial neural network

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