Enhancing bitcoin price fluctuation prediction using attentive LSTM and embedding network

Yang LI, Zibin ZHENG*, Hong Ning DAI

*Corresponding author for this work

Research output: Journal PublicationsJournal Article (refereed)peer-review

1 Citation (Scopus)

Abstract

Bitcoin has attracted extensive attention from investors, researchers, regulators, and the media. A well-known and unusual feature is that Bitcoin's price often fluctuates significantly, which has however received less attention. In this paper, we investigate the Bitcoin price fluctuation prediction problem, which can be described as whether Bitcoin price keeps or reversals after a large fluctuation. In this paper, three kinds of features are presented for the price fluctuation prediction, including basic features, traditional technical trading indicators, and features generated by a Denoising autoencoder. We evaluate these features using an Attentive LSTM network and an Embedding Network (ALEN). In particular, an attentive LSTM network can capture the time dependency representation of Bitcoin price and an embedding network can capture the hidden representations from related cryptocurrencies. Experimental results demonstrate that ALEN achieves superior state-of-the-art performance among all baselines. Furthermore, we investigate the impact of parameters on the Bitcoin price fluctuation prediction problem, which can be further used in a real trading environment by investors.

Original languageEnglish
Article number4872
JournalApplied Sciences (Switzerland)
Volume10
Issue number14
DOIs
Publication statusPublished - Jul 2020
Externally publishedYes

Bibliographical note

Funding Information:
The work described in this paper was supported by the National Key Research and Development Program (2016YFB1000101) , the National Natural Science Foundation of China (U1811461, 61722214) and Macao Science and Technology Development Fund under Macao Funding Scheme for Key R and D Projects (0025/2019/AKP).

Publisher Copyright:
© 2020 by the authors.

Keywords

  • Bitcoin
  • Deep learning
  • Embedding network
  • Long short term memory
  • Price fluctuation prediction

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