Predicting bitcoin returns using high-dimensional technical indicators

Jing-Zhi Huang , William Huang , Jun Ni
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引用次数: 94

Abstract

There has been much debate about whether returns on financial assets, such as stock returns or commodity returns, are predictable; however, few studies have investigated cryptocurrency return predictability. In this article we examine whether bitcoin returns are predictable by a large set of bitcoin price-based technical indicators. Specifically, we construct a classification tree-based model for return prediction using 124 technical indicators. We provide evidence that the proposed model has strong out-of-sample predictive power for narrow ranges of daily returns on bitcoin. This finding indicates that using big data and technical analysis can help predict bitcoin returns that are hardly driven by fundamentals.

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利用高维技术指标预测比特币收益
关于金融资产的回报(如股票回报或大宗商品回报)是否可预测,一直存在很多争论;然而,很少有研究调查加密货币回报的可预测性。在本文中,我们研究了比特币的回报是否可以通过一组基于比特币价格的技术指标来预测。具体而言,我们利用124个技术指标构建了基于分类树的收益预测模型。我们提供的证据表明,所提出的模型对比特币的日收益的窄范围具有很强的样本外预测能力。这一发现表明,使用大数据和技术分析可以帮助预测几乎不受基本面驱动的比特币回报。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Finance and Data Science
Journal of Finance and Data Science Mathematics-Statistics and Probability
CiteScore
3.90
自引率
0.00%
发文量
15
审稿时长
30 days
期刊最新文献
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