Bitcoin price forecasting with neuro-fuzzy techniquesBitcoin price forecasting with neuro-fuzzy techniques
Peer-Reviewed Journal Publication
Δημοσίευση σε Περιοδικό με Κριτές
2020-05-282019enCryptocurrencies, with Bitcoin being the most notable example, have attracted considerable attention in recent years, and they have experienced large fluctuations in their price. While a few studies employ conventional statistical and econometric approaches to reveal the driving factors of Bitcoin's prices, research on the development of forecasting models to be used as decision support tools in investment strategies is scarce. This study proposes a computational intelligence technique that uses a hybrid Neuro-Fuzzy controller, namely PATSOS, to forecast the direction in the change of the daily price of Bitcoin. The proposed methodology outperforms two other computational intelligence models, the first being developed with a simpler neuro-fuzzy approach, and the second being developed with artificial neural networks. Furthermore, the investment returns achieved by a trading simulation, based on the signals of the proposed model, are 71.21% higher than the ones achieved through a naive buy-and-hold strategy. The performance of the PATSOS system is robust to the use of other cryptocurrencies.http://creativecommons.org/licenses/by/4.0/European Journal of Operational Research2762770-780
Atsalakis Georgios
Ατσαλακης Γεωργιος
Atsalaki Ioanna
Ατσαλακη Ιωαννα
Pasiouras Fotios
Πασιουρας Φωτιος
Zopounidis Konstantinos
Ζοπουνιδης Κωνσταντινος
Elsevier
Artificial intelligence
Bitcoin price forecasting
Fuzzy sets
Neuro-fuzzy forecasting