LSTM和ARIMA对比特币价格短期预测的比较表现

IF 1.6 Q3 BUSINESS, FINANCE Australasian Accounting Business and Finance Journal Pub Date : 2023-01-01 DOI:10.14453/aabfj.v17i1.15
Navmeen Latif, Joseph Durai Selvam, Manohar Kapse, Vinod Sharma, Vaishali Mahajan
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引用次数: 5

摘要

本研究使用自回归综合移动平均(ARIMA)和长短期记忆(LSTM)模型评估了比特币价格的预测。我们使用静态预测方法预测第二天的比特币价格,每一步都对预测模型进行重新估计和不重新估计。我们考虑了两个不同的训练和测试样本来交叉验证预测结果。在第一个训练样本中,ARIMA优于LSTM,而在第二个训练样本中,LSTM优于ARIMA。此外,在两个测试样本预测周期中,每一步都进行模型重估计的LSTM优于ARIMA。将LSTM与ARIMA进行比较,预测结果更接近实际历史价格。与ARIMA只能跟踪比特币价格的趋势不同,LSTM模型能够预测指定时间段内的方向和价值。尽管ARIMA很复杂,但本研究显示LSTM对比特币价格波动的持续预测能力。
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Comparative Performance of LSTM and ARIMA for the Short-Term Prediction of Bitcoin Prices
This research assesses the prediction of Bitcoin prices using the autoregressive integrated moving average (ARIMA) and long-short-term memory (LSTM) models. We forecast the price of Bitcoin for the following day using the static forecast method, with and without re-estimating the forecast model at each step. We take two different training and test samples into consideration for the cross-validation of forecast findings. In the first training sample, ARIMA outperforms LSTM, but in the second training sample, LSTM exceeds ARIMA. Additionally, in the two test-sample forecast periods, LSTM with model re-estimation at each step surpasses ARIMA. Comparing LSTM to ARIMA, the forecasts were much closer to the actual historical prices. As opposed to ARIMA, which could only track the trend of Bitcoin prices, the LSTM model was able to predict both the direction and the value during the specified time period. This research exhibits LSTM's persistent capacity for fluctuating Bitcoin price prediction despite the sophistication of ARIMA.
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来源期刊
CiteScore
3.90
自引率
15.80%
发文量
22
审稿时长
24 weeks
期刊介绍: The Australasian Accounting, Business and Finance Journal is a double blind peer reviewed academic journal. The main focus of our journal is to encourage research from areas of social and environmental critique, exploration and innovation as well as from more traditional areas of accounting, finance, financial planning and banking research. There are no fees or charges associated with submitting to or publishing in this journal.
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