Two-Stage Hybrid Machine Learning Model for High-Frequency Intraday Bitcoin Price Prediction Based on Technical Indicators, Variational Mode Decomposition, and Support Vector Regression

Samuel Asante Gyamerah and Ning Cai

Complexity, 2021, vol. 2021, 1-15

Abstract: Due to the inherent chaotic and fractal dynamics in the price series of Bitcoin, this paper proposes a two-stage Bitcoin price prediction model by combining the advantage of variational mode decomposition (VMD) and technical analysis. VMD eliminates the noise signals and stochastic volatility in the price data by decomposing the data into variational mode functions, while technical analysis uses statistical trends obtained from past trading activity and price changes to construct technical indicators. The support vector regression (SVR) accepts input from a hybrid of technical indicators (TI) and reconstructed variational mode functions (rVMF). The model is trained, validated, and tested in a period characterized by unprecedented economic turmoil due to the COVID-19 pandemic, allowing the evaluation of the model in the presence of the pandemic. The constructed hybrid model outperforms the single SVR model that uses only TI and rVMF as features. The ability to predict a minute intraday Bitcoin price has a huge propensity to reduce investors’ exposure to risk and provides better assurances of annualized returns.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:1767708

DOI: 10.1155/2021/1767708

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