Data-Driven Volatile Cryptocurrency Price Forecasting via Variational Mode Decomposition and BiLSTM

被引：1

作者：

Ramakrishnan, Rohith ^{[1
]}

Vadakedath, Anirudh ^{[1
]}

Bhaskar, Anirudh ^{[1
]}

Kumar, S. Sachin ^{[1
]}

Soman, K. P. ^{[1
]}

机构：

[1] Amrita Vishwa Vidyapeetham, Amrita Sch Engn Coimbatore, Ctr Comp Engn & Networking, Coimbatore, Tamil Nadu, India

来源：

INTERNATIONAL CONFERENCE ON INNOVATIVE COMPUTING AND COMMUNICATIONS, ICICC 2022, VOL 1 | 2023年 / 473卷

关键词：

Variational mode decomposition; VMD; Signal processing; Cryptocurrency; Bitcoin; Etherium; Price forecast; BiLSTM; Volatile stocks; Time series;

D O I：

10.1007/978-981-19-2821-5_55

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Cryptocurrency is based on blockchain technology which is ideally decentralised, referring to no superior authority overlooking it. The community is maintained by numerous user machines forming a "peer-to-peer" network. With the recent skyrocket of crypto-assets in the financial markets, many view it as the quickest and riskiest way to earn. Such assets are coined as "Volatile" due to its rapidly fluctuating price, thereby making it extremely hard to forecast its course. The paper at hand explores a novel technique that establishes a relation between signal processing and volatile stock forecasting methods via variational mode decomposition (VMD). Variational mode decomposition aided with BiLSTM neural architecture, a purely data-driven model, is fine-tuned to forecast the daily or interday prices of Bitcoin and Ethereum alongside yielded RMSE of 0.0278 for Bitcoin. The results are then further compared with ARIMA, ARMA and MA to analyse the effect of VMD.

引用

页码：651 / 663

页数：13

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