 A random forest-based model for crypto asset forecasts in futures markets with out-of-sample predictionFrancisco Orte, José Mira, María Jesús Sánchez and Pablo Solana Research in International Business and Finance, 2023, vol. 64, issue C Abstract: In this study, a price prediction model for futures markets of crypto assets is presented. Random Forest was used to study three scenarios as a function of input variables: technical indicators, candlestick patterns and both simultaneously. In turn, the model parameters, the time intervals, and the most suitable investment horizons were studied. In addition to showing the results from the model, a one-year out-of-sample prediction was simulated. The entire year of 2020 was chosen because the three possible stock market scenarios occurred in this year: a sideways market, a bear market resulting from the global pandemic and an end-of-year bull market. Last, this out-of-sample simulation was analyzed as a real operation, that is, by retraining the model after each new collection of data, so that the model had the maximum information at all times. In conclusion, using candlestick patterns instead of technical indicators, improves the efficiency of the results. Keywords: Random Forest; Cryptocurrencies; Bitcoin; Technical indicators; Candlestick patterns (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192200215x DOI: 10.1016/j.ribaf.2022.101829 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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