Bitcoin price prediction using machine learning: An approach to sample dimension engineering

• Published in: Journal of computational and applied mathematics Vol. 365; p. 112395
• Main Authors: Chen, Zheshi, Li, Chunhong, Sun, Wenjun
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.02.2020
• Subjects: Bitcoin price prediction; Machine learning algorithms; Occam’s Razor principle; Sample dimension engineering; Machine learning algorithms; Sample dimension engineering; Occam’s Razor principle; Bitcoin price prediction
• DOI: 10.1016/j.cam.2019.112395
• ISSN: 0377-0427

After the boom and bust of cryptocurrencies’ prices in recent years, Bitcoin has been increasingly regarded as an investment asset. Because of its highly volatile nature, there is a need for good predictions on which to base investment decisions. Although existing studies have leveraged machine learning for more accurate Bitcoin price prediction, few have focused on the feasibility of applying different modeling techniques to samples with different data structures and dimensional features. To predict Bitcoin price at different frequencies using machine learning techniques, we first classify Bitcoin price by daily price and high-frequency price. A set of high-dimension features including property and network, trading and market, attention and gold spot price are used for Bitcoin daily price prediction, while the basic trading features acquired from a cryptocurrency exchange are used for 5-minute interval price prediction. Statistical methods including Logistic Regression and Linear Discriminant Analysis for Bitcoin daily price prediction with high-dimensional features achieve an accuracy of 66%, outperforming more complicated machine learning algorithms. Compared with benchmark results for daily price prediction, we achieve a better performance, with the highest accuracies of the statistical methods and machine learning algorithms of 66% and 65.3%, respectively. Machine learning models including Random Forest, XGBoost, Quadratic Discriminant Analysis, Support Vector Machine and Long Short-term Memory for Bitcoin 5-minute interval price prediction are superior to statistical methods, with accuracy reaching 67.2%. Our investigation of Bitcoin price prediction can be considered a pilot study of the importance of the sample dimension in machine learning techniques.