Seq2Seq RNNs and ARIMA models for cryptocurrency prediction: A comparative study

J Rebane, I Karlsson, P Papapetrou… - SIGKDD Fintech'18 …, 2018 - diva-portal.org
J Rebane, I Karlsson, P Papapetrou, S Denic
SIGKDD Fintech'18, London, UK, August 19-23, 2018, 2018diva-portal.org
Cyrptocurrency price prediction has recently become an alluring topic, attracting massive
media and investor interest. Traditional models, such as Autoregressive Integrated Moving
Average models (ARIMA) and models with more modern popularity, such as Recurrent
Neural Networks (RNN's) can be considered candidates for such financial prediction
problems, with RNN's being capable of utilizing various endogenous and exogenous input
sources. This study compares the model performance of ARIMA to that of a seq2seq …
Cyrptocurrency price prediction has recently become an alluring topic, attracting massive media and investor interest. Traditional models, such as Autoregressive Integrated Moving Average models (ARIMA) and models with more modern popularity, such as Recurrent Neural Networks (RNN’s) can be considered candidates for such financial prediction problems, with RNN’s being capable of utilizing various endogenous and exogenous input sources. This study compares the model performance of ARIMA to that of a seq2seq recurrent deep multi-layer neural network (seq2seq) utilizing a varied selection of inputs types. The results demonstrate superior performance of seq2seq over ARIMA, for models generated throughout most of bitcoin price history, with additional data sources leading to better performance during less volatile price periods.
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