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Is It Possible to Forecast the Price of Bitcoin?

by 1,2,*,†, 3,4,† and 5,6
IPAG Lab, IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France
Economics Department, Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint-Denis, France
Applied Mathematics Department, Université Paris 1 Panthéon-Sorbonne, LabEx ReFi, 106 Boulevard de l’Hopital, CEDEX 13, 75647 Paris, France
Department of Economics, University Ca’Foscari of Venezia, 30123 Venice, Italy
CEMOTEV, UVSQ, Paris-Saclay, 78280 Guyancourt, France
International School, Vietnam National University, Hanoi 10000, Vietnam
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Academic Editors: Georgios Sermpinis and Charalampos Stasinakis
Received: 29 April 2021 / Revised: 21 May 2021 / Accepted: 25 May 2021 / Published: 28 May 2021
This paper focuses on forecasting the price of Bitcoin, motivated by its market growth and the recent interest of market participants and academics. We deploy six machine learning algorithms (e.g., Artificial Neural Network, Support Vector Machine, Random Forest, k-Nearest Neighbours, AdaBoost, Ridge regression), without deciding a priori which one is the ‘best’ model. The main contribution is to use these data analytics techniques with great caution in the parameterization, instead of classical parametric modelings (AR), to disentangle the non-stationary behavior of the data. As soon as Bitcoin is also used for diversification in portfolios, we need to investigate its interactions with stocks, bonds, foreign exchange, and commodities. We identify that other cryptocurrencies convey enough information to explain the daily variation of Bitcoin’s spot and futures prices. Forecasting results point to the segmentation of Bitcoin concerning alternative assets. Finally, trading strategies are implemented. View Full-Text
Keywords: forecasting; Bitcoin; machine learning; trading strategies forecasting; Bitcoin; machine learning; trading strategies
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MDPI and ACS Style

Chevallier, J.; Guégan, D.; Goutte, S. Is It Possible to Forecast the Price of Bitcoin? Forecasting 2021, 3, 377-420.

AMA Style

Chevallier J, Guégan D, Goutte S. Is It Possible to Forecast the Price of Bitcoin? Forecasting. 2021; 3(2):377-420.

Chicago/Turabian Style

Chevallier, Julien, Dominique Guégan, and Stéphane Goutte. 2021. "Is It Possible to Forecast the Price of Bitcoin?" Forecasting 3, no. 2: 377-420.

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