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Bitcoin price forecasting with neuro-fuzzy techniques

Atsalakis Georgios, Atsalaki Ioanna, Pasiouras Fotios, Zopounidis Konstantinos

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URIhttp://purl.tuc.gr/dl/dias/033BA519-0523-4807-9777-32D0750F83AE-
Identifierhttps://doi.org/10.1016/j.ejor.2019.01.040-
Identifierhttps://www.sciencedirect.com/science/article/pii/S037722171930075X-
Languageen-
Extent11 pagesen
TitleBitcoin price forecasting with neuro-fuzzy techniquesen
CreatorAtsalakis Georgiosen
CreatorΑτσαλακης Γεωργιοςel
CreatorAtsalaki Ioannaen
CreatorΑτσαλακη Ιωανναel
CreatorPasiouras Fotiosen
CreatorΠασιουρας Φωτιοςel
CreatorZopounidis Konstantinosen
CreatorΖοπουνιδης Κωνσταντινοςel
PublisherElsevieren
Content SummaryCryptocurrencies, with Bitcoin being the most notable example, have attracted considerable attention in recent years, and they have experienced large fluctuations in their price. While a few studies employ conventional statistical and econometric approaches to reveal the driving factors of Bitcoin's prices, research on the development of forecasting models to be used as decision support tools in investment strategies is scarce. This study proposes a computational intelligence technique that uses a hybrid Neuro-Fuzzy controller, namely PATSOS, to forecast the direction in the change of the daily price of Bitcoin. The proposed methodology outperforms two other computational intelligence models, the first being developed with a simpler neuro-fuzzy approach, and the second being developed with artificial neural networks. Furthermore, the investment returns achieved by a trading simulation, based on the signals of the proposed model, are 71.21% higher than the ones achieved through a naive buy-and-hold strategy. The performance of the PATSOS system is robust to the use of other cryptocurrencies.en
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2020-05-28-
Date of Publication2019-
SubjectArtificial intelligenceen
SubjectBitcoin price forecastingen
SubjectFuzzy setsen
SubjectNeuro-fuzzy forecastingen
Bibliographic CitationG.S. Atsalakis, I.G. Atsalaki, F. Pasiouras and C. Zopounidis, "Bitcoin price forecasting with neuro-fuzzy techniques," Eur. J. Oper. Res., vol. 276, no. 2, pp. 770-780, Jul. 2019. doi: 10.1016/j.ejor.2019.01.040en

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