Crypto Currency Price Forecast: Neural Network Perspectives

Yuriy Kleban () and Tetiana Stasiuk ()
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Yuriy Kleban: National University of Ostroh Academy
Tetiana Stasiuk: National University of Ostroh Academy

Visnyk of the National Bank of Ukraine, 2022, issue 254, 29-42

Abstract: TThe study examines the problem of modeling and forecasting the price dynamics of crypto currencies. We use machine learning techniques to forecast the price of crypto currencies. The FB Prophet time series model and the LSTM recurrent neural network were selected to implement the study. Using the example of data from Binance (the most popular exchange in Ukraine) for the period from 06.07.2020 to 01.04.2023, prices for Bitcoin, Ethereum, Ripple, and Dogecoin were modeled and forecasted. The recurrent neural network of long-term memory showed significantly better results in forecasting according to the RMSE, MAE, and MAPE criteria, compared to the Naive model, the traditional ARIMA model, and the FB Prophet results.

Keywords: forecasting; neural networks; crypto currency; time series (search for similar items in EconPapers)
JEL-codes: C45 C53 G11 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:ukb:journl:y:2022:i:254:p:29-42

DOI: 10.26531/vnbu2022.254.03

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