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Developing Cryptocurrency Trading Strategy Based on Autoencoder-CNN-GANs Algorithms

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Listed:
  • Zhuohuan Hu
  • Richard Yu
  • Zizhou Zhang
  • Haoran Zheng
  • Qianying Liu
  • Yining Zhou

Abstract

This paper leverages machine learning algorithms to forecast and analyze financial time series. The process begins with a denoising autoencoder to filter out random noise fluctuations from the main contract price data. Then, one-dimensional convolution reduces the dimensionality of the filtered data and extracts key information. The filtered and dimensionality-reduced price data is fed into a GANs network, and its output serve as input of a fully connected network. Through cross-validation, a model is trained to capture features that precede large price fluctuations. The model predicts the likelihood and direction of significant price changes in real-time price sequences, placing trades at moments of high prediction accuracy. Empirical results demonstrate that using autoencoders and convolution to filter and denoise financial data, combined with GANs, achieves a certain level of predictive performance, validating the capabilities of machine learning algorithms to discover underlying patterns in financial sequences. Keywords - CNN;GANs; Cryptocurrency; Prediction.

Suggested Citation

  • Zhuohuan Hu & Richard Yu & Zizhou Zhang & Haoran Zheng & Qianying Liu & Yining Zhou, 2024. "Developing Cryptocurrency Trading Strategy Based on Autoencoder-CNN-GANs Algorithms," Papers 2412.18202, arXiv.org, revised Jan 2025.
  • Handle: RePEc:arx:papers:2412.18202
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    File URL: http://arxiv.org/pdf/2412.18202
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