Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction

Detalhes bibliográficos
Autor(a) principal: Nolden, Jannik
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142539
Resumo: Since its inception in 2009, Bitcoin has gained popularity and importance in financial markets. The Bitcoin price is highly volatile entailing high risk and chances of high returns for traders. This work is part of a work project that defines a holistic approach to build an intraday Bitcoin trading algorithm based on predictive analysis of ML models. In this work, the results show that LSTM yields the best prediction performance for Bitcoin price prediction. GRU, LSTM and RNN demonstrate the best performance for Bitcoin trend prediction in 1h, 2h and 3h,respectively.
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spelling Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend predictionForecastingMachine learningBusiness analyticsCryptocurrencyBitcoinDeep learningPrice predictionAlgorithmic tradingTime-series forecastingDomínio/Área Científica::Ciências Sociais::Economia e GestãoSince its inception in 2009, Bitcoin has gained popularity and importance in financial markets. The Bitcoin price is highly volatile entailing high risk and chances of high returns for traders. This work is part of a work project that defines a holistic approach to build an intraday Bitcoin trading algorithm based on predictive analysis of ML models. In this work, the results show that LSTM yields the best prediction performance for Bitcoin price prediction. GRU, LSTM and RNN demonstrate the best performance for Bitcoin trend prediction in 1h, 2h and 3h,respectively.Zejnilovic, LeidRUNNolden, Jannik2022-07-28T09:21:46Z2022-01-202021-12-172022-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/142539TID:203022173enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:20:18Zoai:run.unl.pt:10362/142539Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:22.654321Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
title Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
spellingShingle Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
Nolden, Jannik
Forecasting
Machine learning
Business analytics
Cryptocurrency
Bitcoin
Deep learning
Price prediction
Algorithmic trading
Time-series forecasting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
title_full Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
title_fullStr Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
title_full_unstemmed Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
title_sort Algorithmic trading with cryptocurrencies - what is the optimal modelling design for bitcoin price and trend prediction
author Nolden, Jannik
author_facet Nolden, Jannik
author_role author
dc.contributor.none.fl_str_mv Zejnilovic, Leid
RUN
dc.contributor.author.fl_str_mv Nolden, Jannik
dc.subject.por.fl_str_mv Forecasting
Machine learning
Business analytics
Cryptocurrency
Bitcoin
Deep learning
Price prediction
Algorithmic trading
Time-series forecasting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Forecasting
Machine learning
Business analytics
Cryptocurrency
Bitcoin
Deep learning
Price prediction
Algorithmic trading
Time-series forecasting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Since its inception in 2009, Bitcoin has gained popularity and importance in financial markets. The Bitcoin price is highly volatile entailing high risk and chances of high returns for traders. This work is part of a work project that defines a holistic approach to build an intraday Bitcoin trading algorithm based on predictive analysis of ML models. In this work, the results show that LSTM yields the best prediction performance for Bitcoin price prediction. GRU, LSTM and RNN demonstrate the best performance for Bitcoin trend prediction in 1h, 2h and 3h,respectively.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-07-28T09:21:46Z
2022-01-20
2022-01-20T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/142539
TID:203022173
url http://hdl.handle.net/10362/142539
identifier_str_mv TID:203022173
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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