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Forecasting mid-price movement of Bitcoin futures using machine learning

Author

Listed:
  • Erdinc Akyildirim

    (Burdur Mehmet Akif Ersoy University
    University of Zurich)

  • Oguzhan Cepni

    (Copenhagen Business School
    Central Bank of the Republic of Turkey)

  • Shaen Corbet

    (Dublin City University
    University of Waikato)

  • Gazi Salah Uddin

    (Linköping University)

Abstract

In the aftermath of the global financial crisis and ongoing COVID-19 pandemic, investors face challenges in understanding price dynamics across assets. This paper explores the performance of the various type of machine learning algorithms (MLAs) to predict mid-price movement for Bitcoin futures prices. We use high-frequency intraday data to evaluate the relative forecasting performances across various time frequencies, ranging between 5 and 60-min. Our findings show that the average classification accuracy for five out of the six MLAs is consistently above the 50% threshold, indicating that MLAs outperform benchmark models such as ARIMA and random walk in forecasting Bitcoin futures prices. This highlights the importance and relevance of MLAs to produce accurate forecasts for bitcoin futures prices during the COVID-19 turmoil.

Suggested Citation

  • Erdinc Akyildirim & Oguzhan Cepni & Shaen Corbet & Gazi Salah Uddin, 2023. "Forecasting mid-price movement of Bitcoin futures using machine learning," Annals of Operations Research, Springer, vol. 330(1), pages 553-584, November.
  • Handle: RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-021-04205-x
    DOI: 10.1007/s10479-021-04205-x
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    More about this item

    Keywords

    Cryptocurrency; Bitcoin futures; Machine learning; Covid-19; k-Nearest neighbours; Logistic regression; Naive Bayes; Random forest; Support vector machine; Extreme gradient boosting;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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