Do Machine Learning Approaches Have the Same Accuracy in Forecasting Cryptocurrencies Volatilities?

The emergence of cryptocurrencies as digital investments drives scholars to explore their predictive prices. Intriguingly, most research focuses on its price and returns prediction using various models, leaving out the importance of persistent risk for portfolio management. This is not to mention that most research focuses only on Bitcoin, neglecting other altcoins and stablecoins. Therefore, this study comprehensively examines the cryptocurrency investment’s persistent risk from the forecasting point of view. We focus on comparing the best forecasting methods because they are vital for volatility-targeting and risk-parity in portfolio strategy. Four time-series model performances will be compared to select a suitable volatility prediction model: Machine Learning-Based GARCH, Machine Learning-Based SVR-GARCH, Neural Network, and Deep Learning. Using six different cryptocurrencies proxies: Bitcoin, Ethereum, Ripple, USD Coin, Tether, and Binance Coin, we found that ML-Based SVR-GARCH outperformed the peers in volatility forecasting. However, the prediction accuracy differences among all models are not significant. Finally, our paper provides new insights into machine learning methods’ applications in cryptocurrency market volatility prediction, which is helpful for academics, policy-makers, and investors in forming portfolio strategies

A Survey of Forex and Stock Price Prediction Using Deep Learning

The prediction of stock and foreign exchange (Forex) had always been a hot and profitable area of study. Deep learning application had proven to yields better accuracy and return in the field of financial prediction and forecasting. In this survey we selected papers from the DBLP database for comparison and analysis. We classified papers according to different deep learning methods, which included: Convolutional neural network (CNN), Long Short-Term Memory (LSTM), Deep neural network (DNN), Recurrent Neural Network (RNN), Reinforcement Learning, and other deep learning methods such as HAN, NLP, and Wavenet. Furthermore, this paper reviewed the dataset, variable, model, and results of each article. The survey presented the results through the most used performance metrics: RMSE, MAPE, MAE, MSE, accuracy, Sharpe ratio, and return rate. We identified that recent models that combined LSTM with other methods, for example, DNN, are widely researched. Reinforcement learning and other deep learning method yielded great returns and performances. We conclude that in recent years the trend of using deep-learning based method for financial modeling is exponentially rising

Forex Trading Signal Extraction with Deep Learning Models

The rise of AI technology has popularized deep learning models for financial trading prediction, promising substantial profits with minimal risk. Institutions like Westpac, Commonwealth Bank of Australia, Macquarie Bank, and Bloomberg invest heavily in this transformative technology. Researchers have also explored AI's potential in the exchange rate market. This thesis focuses on developing advanced deep learning models for accurate forex market prediction and AI-powered trading strategies. Three deep learning models are introduced: an event-driven LSTM model, an Attention-based VGG16 model named MHATTN-VGG16, and a pre-trained model called TradingBERT. These models aim to enhance signal extraction and price forecasting in forex trading, offering valuable insights for decision-making. The first model, an LSTM, predicts retracement points crucial for identifying trend reversals. It outperforms baseline models like GRU and RNN, thanks to noise reduction in the training data. Experiments determine the optimal number of timesteps for trend identification, showing promise for building a robotic trading platform. The second model, MHATTN-VGG16, predicts maximum and minimum price movements in forex chart images. It combines VGG16 with multi-head attention and positional encoding to effectively classify financial chart images. The third model utilizes a pre-trained BERT architecture to transform trading price data into normalized embeddings, enabling meaningful signal extraction from financial data. This study pioneers the use of pre-trained models in financial trading and introduces a method for converting continuous price data into categorized elements, leveraging the success of BERT. This thesis contributes innovative approaches to deep learning in algorithmic trading, offering traders and investors precision and confidence in navigating financial markets

Managing extreme cryptocurrency volatility in algorithmic trading: EGARCH via genetic algorithms and neural networks.

Política de acceso abierto tomada de: https://www.aimspress.com/index/news/solo-detail/openaccesspolicyThe blockchain ecosystem has seen a huge growth since 2009, with the introduction of Bitcoin, driven by conceptual and algorithmic innovations, along with the emergence of numerous new cryptocurrencies. While significant attention has been devoted to established cryptocurrencies like Bitcoin and Ethereum, the continuous introduction of new tokens requires a nuanced examination. In this article, we contribute a comparative analysis encompassing deep learning and quantum methods within neural networks and genetic algorithms, incorporating the innovative integration of EGARCH (Exponential Generalized Autoregressive Conditional Heteroscedasticity) into these methodologies. In this study, we evaluated how well Neural Networks and Genetic Algorithms predict “buy” or “sell” decisions for different cryptocurrencies, using F1 score, Precision, and Recall as key metrics. Our findings underscored the Adaptive Genetic Algorithm with Fuzzy Logic as the most accurate and precise within genetic algorithms. Furthermore, neural network methods, particularly the Quantum Neural Network, demonstrated noteworthy accuracy. Importantly, the X2Y2 cryptocurrency consistently attained the highest accuracy levels in both methodologies, emphasizing its predictive strength. Beyond aiding in the selection of optimal trading methodologies, we introduced the potential of EGARCH integration to enhance predictive capabilities, offering valuable insights for reducing risks associated with investing in nascent cryptocurrencies amidst limited historical market data. This research provides insights for investors, regulators, and developers in the cryptocurrency market. Investors can utilize accurate predictions to optimize investment decisions, regulators may consider implementing guidelines to ensure fairness, and developers play a pivotal role in refining neural network models for enhanced analysis.This research was funded by the Universitat de Barcelona, under the grant UB-AE-AS017634