EVALUATING THE PERFORMANCE OF BITCOIN PRICE FORECASTING USING MACHINE LEARNING TECHNIQUES ON HISTORICAL DATA

Author:

Ahmed MamunORCID,Suha Sayma Alam,Hossain Mahi FahamidaORCID,Uddin Ahmed ForhadORCID

Abstract

Since entering the market in 2009, Bitcoin has had a price that is extremely erratic. Its price is influenced by factors such as adoption rates, regulatory changes, geopolitical occurrences, and macroeconomic developments. Experts believe that Bitcoin's price will rise in the long run due to limited supply and rising demand. Therefore, the aim of this study is to propose an ensemble feature selection and machine learning-based approach to predict bitcoin price. For this research purpose, the cryptocurrency-based dataset has been used, visualized, and preprocessed. Five different feature selection approaches (Pearson, RFE, Embedded Random Forest, Tree-based and Light GBM) are followed by ensemble methodology, with the maximum voting approach to extract the most significant features and generate a dataset with reduced attributes. Then the dataset with or without feature selection is used for bitcoin price prediction by applying ten different machine learning regressing models, which includes six traditional, four bagging and boosting ensemble techniques. The comparative result analysis through multiple performance parameters reveals that the decreased number of features improves the performance for each of the models and the ensemble models outperform other types of models. Therefore, Random Forest regression ensemble ML model can get the best prediction accuracy with 0.036018 RMSE, 0.029470 MAE and 0.934512 R2 employing the dataset with reduced features for estimating the value of bitcoin.

Publisher

Politechnika Lubelska

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