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Bitcoin price forecasting with neuro-fuzzy techniques

George S. Atsalakis, Ioanna G. Atsalaki, Fotios Pasiouras and Constantin Zopounidis

European Journal of Operational Research, 2019, vol. 276, issue 2, 770-780

Abstract: Cryptocurrencies, with Bitcoin being the most notable example, have attracted considerable attention in recent years, and they have experienced large fluctuations in their price. While a few studies employ conventional statistical and econometric approaches to reveal the driving factors of Bitcoin's prices, research on the development of forecasting models to be used as decision support tools in investment strategies is scarce. This study proposes a computational intelligence technique that uses a hybrid Neuro-Fuzzy controller, namely PATSOS, to forecast the direction in the change of the daily price of Bitcoin. The proposed methodology outperforms two other computational intelligence models, the first being developed with a simpler neuro-fuzzy approach, and the second being developed with artificial neural networks. Furthermore, the investment returns achieved by a trading simulation, based on the signals of the proposed model, are 71.21% higher than the ones achieved through a naive buy-and-hold strategy. The performance of the PATSOS system is robust to the use of other cryptocurrencies.

Keywords: Artificial intelligence; Fuzzy sets; Neuro-fuzzy forecasting; Bitcoin price forecasting (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:276:y:2019:i:2:p:770-780

DOI: 10.1016/j.ejor.2019.01.040

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European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

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