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Bitcoin price forecasting with neuro-fuzzy techniques

Author

Listed:
  • George S. Atsalakis

    (TUC - Technical University of Crete [Chania])

  • Ioanna G. Atsalaki

    (TUC - Technical University of Crete [Chania])

  • Fotios Pasiouras

    (Montpellier Business School)

  • Constantin Zopounidis

    (TUC - Technical University of Crete [Chania], Audencia Business School)

Abstract

Cryptocurrencies, 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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • George S. Atsalakis & Ioanna G. Atsalaki & Fotios Pasiouras & Constantin Zopounidis, 2019. "Bitcoin price forecasting with neuro-fuzzy techniques," Post-Print hal-02879928, HAL.
    • Handle: RePEc:hal:journl:hal-02879928
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