首页|New Machine Learning Study Findings Have Been Reported by Investigators at Czestochowa University of Technology (Forecasting Cryptocurrencies Volatility Using Statistical and Machine Learning Methods: a Comparative Study)
New Machine Learning Study Findings Have Been Reported by Investigators at Czestochowa University of Technology (Forecasting Cryptocurrencies Volatility Using Statistical and Machine Learning Methods: a Comparative Study)
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NETL
NSTL
Elsevier
Research findings on Machine Learning are discussed in a new report. According to news reporting out of Czestochowa, Poland, by NewsRx editors, research stated, “Forecasting cryptocurrency volatility can help investors make better-informed investment decisions in order to minimize risks and maximize potential profits. Accurate forecasting of cryptocurrency price fluctuations is crucial for effective portfolio management and contributes to the stability of the financial system by identifying potential threats and developing risk management strategies.” Financial supporters for this research include National Science Centre, Poland, Czestochowa University of Technology, Ministry of Science and Higher Education, Poland. Our news journalists obtained a quote from the research from the Czestochowa University of Technology, “The objective of this paper is to provide a comprehensive study of statistical and machine learning methods for predicting daily and weekly volatility of the following four cryptocurrencies: Bitcoin, Ethereum, Litecoin, i.e., HAR (heterogeneous autoregressive), ARFIMA (autoregressive fractionally integrated moving average), GARCH (generalized autoregressive conditional heteroscedasticity), LASSO (least absolute shrinkage and selection operator), RR (ridge regression), SVR (support vector regression), MLP (multilayer perceptron), FNM (fuzzy neighbourhood model), RF (random forest), and LSTM (long short-term memory). The realized variance calculated from intraday returns is used as the input variable for the models. In order to assess the predictive power of the models considered, the model confidence set (MCS) procedure is applied. Our experimental results demonstrate that there is no single best method for forecasting volatility of each cryptocurrency, and different models may perform better depending on the specific cryptocurrency, choice of the error metric and forecast horizon. For daily forecasts, the method that is always found in a set of best models is linear SVR, while for weekly forecasts, there are two such methods, namely FNM and RR. Furthermore, we show that simple linear models such as HAR and ridge regression, perform not worse than more complex models like LSTM and RF.”
CzestochowaPolandEuropeCyborgsEmerging TechnologiesMachine LearningCzestochowa University of Technology
NETL
NSTL
Elsevier
