EconPapers    
Economics at your fingertips  
 

Is It Possible to Forecast the Price of Bitcoin?

Julien Chevallier, Dominique Guégan and Stéphane Goutte
Additional contact information
Dominique Guégan: Applied Mathematics Department, Université Paris 1 Panthéon-Sorbonne, LabEx ReFi, 106 Boulevard de l’Hopital, CEDEX 13, 75647 Paris, France

Forecasting, 2021, vol. 3, issue 2, 1-44

Abstract: This paper focuses on forecasting the price of Bitcoin, motivated by its market growth and the recent interest of market participants and academics. We deploy six machine learning algorithms (e.g., Artificial Neural Network, Support Vector Machine, Random Forest, k -Nearest Neighbours, AdaBoost, Ridge regression), without deciding a priori which one is the ‘best’ model. The main contribution is to use these data analytics techniques with great caution in the parameterization, instead of classical parametric modelings (AR), to disentangle the non-stationary behavior of the data. As soon as Bitcoin is also used for diversification in portfolios, we need to investigate its interactions with stocks, bonds, foreign exchange, and commodities. We identify that other cryptocurrencies convey enough information to explain the daily variation of Bitcoin’s spot and futures prices. Forecasting results point to the segmentation of Bitcoin concerning alternative assets. Finally, trading strategies are implemented.

Keywords: forecasting; Bitcoin; machine learning; trading strategies (search for similar items in EconPapers)
JEL-codes: A1 B4 C0 C1 C2 C3 C4 C5 C8 M0 Q2 Q3 Q4 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/2571-9394/3/2/24/pdf (application/pdf)
https://www.mdpi.com/2571-9394/3/2/24/ (text/html)

Related works:
Working Paper: Is It Possible to Forecast the Price of Bitcoin? (2021) Downloads
Working Paper: Is It Possible to Forecast the Price of Bitcoin? (2021) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101

Access Statistics for this article

Forecasting is currently edited by Ms. Joss Chen

More articles in Forecasting from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager (indexing@mdpi.com).

 
Page updated 2024-12-28
Handle: RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101