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Bitcoin price forecasting with neuro-fuzzy techniques

Atsalakis Georgios, Atsalaki Ioanna, Pasiouras Fotios, Zopounidis Konstantinos

Απλή Εγγραφή


URIhttp://purl.tuc.gr/dl/dias/033BA519-0523-4807-9777-32D0750F83AE-
Αναγνωριστικόhttps://doi.org/10.1016/j.ejor.2019.01.040-
Αναγνωριστικόhttps://www.sciencedirect.com/science/article/pii/S037722171930075X-
Γλώσσαen-
Μέγεθος11 pagesen
ΤίτλοςBitcoin price forecasting with neuro-fuzzy techniquesen
ΔημιουργόςAtsalakis Georgiosen
ΔημιουργόςΑτσαλακης Γεωργιοςel
ΔημιουργόςAtsalaki Ioannaen
ΔημιουργόςΑτσαλακη Ιωανναel
ΔημιουργόςPasiouras Fotiosen
ΔημιουργόςΠασιουρας Φωτιοςel
ΔημιουργόςZopounidis Konstantinosen
ΔημιουργόςΖοπουνιδης Κωνσταντινοςel
ΕκδότηςElsevieren
ΠερίληψηCryptocurrencies, 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
ΤύποςPeer-Reviewed Journal Publicationen
ΤύποςΔημοσίευση σε Περιοδικό με Κριτέςel
Άδεια Χρήσηςhttp://creativecommons.org/licenses/by/4.0/en
Ημερομηνία2020-05-28-
Ημερομηνία Δημοσίευσης2019-
Θεματική ΚατηγορίαArtificial intelligenceen
Θεματική ΚατηγορίαBitcoin price forecastingen
Θεματική ΚατηγορίαFuzzy setsen
Θεματική ΚατηγορίαNeuro-fuzzy forecastingen
Βιβλιογραφική ΑναφοράG.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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