A novel hybrid walk-forward ensemble optimization for time series cryptocurrency prediction

• Published in: Heliyon Vol. 8; no. 11; p. e11862
• Main Authors: Oyewola, David Opeoluwa, Dada, Emmanuel Gbenga, Ndunagu, Juliana Ngozi
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.11.2022; Elsevier
• Subjects: BlockChain; Cryptocurrency; Gated recurrent unit; Optimization; Walk-forward; Gated recurrent unit; Cryptocurrency; BlockChain; Walk-forward; Optimization
• ISSN: 2405-8440; 2405-8440
• DOI: 10.1016/j.heliyon.2022.e11862

Cryptocurrency is an advanced digital currency that is secured by encryption, making it nearly impossible to forge or duplicate. Many cryptocurrencies are blockchain-based with decentralized networks. The prediction of cryptocurrency prices is a very difficult task because of the absence of an appropriate analytical basis to substantiate their claims. Cryptocurrencies are also dependent on several variables, such as technical advancement, internal competition, market pressure, economic concerns, security, and political considerations. This paper proposed the hybrid walk-forward ensemble optimization technique and applied it to predict the daily prices of fifteen cryptocurrencies, such as Cardano (ADA-USD), Bitcoin (BTC-USD), Dogecoin (DOGE-USD), Ethereum Classic (ETC-USD), Chainlink (LINK-USD), Litecoin (LTC-USD), NEO (NEO-USD), Tron (TRX-USD), Tether (USDT-USD), NEM (XEM-USD), Stellar (XLM-USD), Ripple (XRP-USD), and Tezos (XTZ-USD). A performance comparison of these cryptocurrencies was done using classical statistical models, machine learning algorithms, and deep learning algorithms on different cryptocurrency time series. Simulation results show that our proposed model performed better in terms of cryptocurrency prediction accuracy compared to the classical statistical model and machine and deep learning algorithms used in this paper. Cryptocurrency; BlockChain, Gated recurrent unit; Walk-forward; Optimization.