利用逻辑、判别分析和机器学习分类技术预测比特币的回报方向

Patrick Rakotomarolahy
{"title":"利用逻辑、判别分析和机器学习分类技术预测比特币的回报方向","authors":"Patrick Rakotomarolahy","doi":"10.3233/mas-210530","DOIUrl":null,"url":null,"abstract":"This paper proposes prediction of the bitcoin return direction with logistic, discriminant analysis and machine learning classification techniques. It extends the prediction of the bitcoin return direction using exogenous macroeconomic and financial variables which have been investigated as drivers of bitcoin return. We also use google trends as proxy for investors interest on bitcoin. We consider those variables as predictors for bitcoin return direction. We conduct an in-sample and out-of-sample empirical analysis and achieve a misclassification error around 4% for in-sample evaluation and around 41% in out-of-sample empirical analysis. Ensemble learning trees based outperforms the other methods in both in-sample and out-of-sample analyses.","PeriodicalId":35000,"journal":{"name":"Model Assisted Statistics and Applications","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Predicting the bitcoin return direction with logistic, discriminant analysis and machine learning classification techniques\",\"authors\":\"Patrick Rakotomarolahy\",\"doi\":\"10.3233/mas-210530\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper proposes prediction of the bitcoin return direction with logistic, discriminant analysis and machine learning classification techniques. It extends the prediction of the bitcoin return direction using exogenous macroeconomic and financial variables which have been investigated as drivers of bitcoin return. We also use google trends as proxy for investors interest on bitcoin. We consider those variables as predictors for bitcoin return direction. We conduct an in-sample and out-of-sample empirical analysis and achieve a misclassification error around 4% for in-sample evaluation and around 41% in out-of-sample empirical analysis. Ensemble learning trees based outperforms the other methods in both in-sample and out-of-sample analyses.\",\"PeriodicalId\":35000,\"journal\":{\"name\":\"Model Assisted Statistics and Applications\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-08-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Model Assisted Statistics and Applications\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3233/mas-210530\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Model Assisted Statistics and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3233/mas-210530","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 0

摘要

本文提出了利用逻辑分析、判别分析和机器学习分类技术对比特币收益方向进行预测。它使用外生宏观经济和金融变量扩展了比特币回报方向的预测,这些变量已被研究为比特币回报的驱动因素。我们还使用谷歌趋势来代表投资者对比特币的兴趣。我们将这些变量视为比特币回报方向的预测因子。我们进行了样本内和样本外的实证分析,样本内评估的误分类误差约为4%,样本外实证分析的误分类误差约为41%。基于集成学习树的方法在样本内和样本外分析中都优于其他方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Predicting the bitcoin return direction with logistic, discriminant analysis and machine learning classification techniques
This paper proposes prediction of the bitcoin return direction with logistic, discriminant analysis and machine learning classification techniques. It extends the prediction of the bitcoin return direction using exogenous macroeconomic and financial variables which have been investigated as drivers of bitcoin return. We also use google trends as proxy for investors interest on bitcoin. We consider those variables as predictors for bitcoin return direction. We conduct an in-sample and out-of-sample empirical analysis and achieve a misclassification error around 4% for in-sample evaluation and around 41% in out-of-sample empirical analysis. Ensemble learning trees based outperforms the other methods in both in-sample and out-of-sample analyses.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Model Assisted Statistics and Applications
Model Assisted Statistics and Applications Mathematics-Applied Mathematics
CiteScore
1.00
自引率
0.00%
发文量
26
期刊介绍: Model Assisted Statistics and Applications is a peer reviewed international journal. Model Assisted Statistics means an improvement of inference and analysis by use of correlated information, or an underlying theoretical or design model. This might be the design, adjustment, estimation, or analytical phase of statistical project. This information may be survey generated or coming from an independent source. Original papers in the field of sampling theory, econometrics, time-series, design of experiments, and multivariate analysis will be preferred. Papers of both applied and theoretical topics are acceptable.
期刊最新文献
Limitations of the propensity scores approach: A simulation study INAR(1) process with Poisson-transmuted record type exponential innovations Estimation of three-parameter Fréchet distribution for the number of days from drug administration to remission in small sample sizes Analysis of kidney infection data using correlated compound poisson frailty models Parametric analysis and model selection for economic evaluation of survival data
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1