CASISD OpenIR
A novel cryptocurrency price trend forecasting model based on LightGBM
Sun Xiaolei; Liu Mingxi; Sima Zeqian
Source PublicationFINANCE RESEARCH LETTERS
KeywordCryptocurrency Trend forecasting LightGBM Forecasting performance
Abstract

Forecasting cryptocurrency prices is crucial for investors. In this paper, we adopt a novel Gradient Boosting Decision Tree (GBDT) algorithm, Light Gradient Boosting Machine (LightGBM), to forecast the price trend (falling, or not falling) of cryptocurrency market. In order to utilize market information, we combine the daily data of 42 kinds of primary cryptocurrencies with key economic indicators. Results show that the robustness of the LightGBM model is better than the other methods, and the comprehensive strength of the cryptocurrencies impacts the forecasting performance. This can effectively guide investors in constructing an appropriate cryptocurrency portfolio and mitigate risks.

2020
Volume32Issue:101084Pages:1
DOI10.1016/j.frl.2018.12.032
Indexed BySSCI ; SSCI
Language英语
Citation statistics
Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/9774
Collection中国科学院科技战略咨询研究院
Recommended Citation
GB/T 7714
Sun Xiaolei,Liu Mingxi,Sima Zeqian. A novel cryptocurrency price trend forecasting model based on LightGBM[J]. FINANCE RESEARCH LETTERS,2020,32(101084):1.
APA Sun Xiaolei,Liu Mingxi,&Sima Zeqian.(2020).A novel cryptocurrency price trend forecasting model based on LightGBM.FINANCE RESEARCH LETTERS,32(101084),1.
MLA Sun Xiaolei,et al."A novel cryptocurrency price trend forecasting model based on LightGBM".FINANCE RESEARCH LETTERS 32.101084(2020):1.
Files in This Item:
File Name/Size DocType Version Access License
A novel cryptocurren(828KB)期刊论文作者接受稿开放获取CC BY-NC-SAView
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Sun Xiaolei]'s Articles
[Liu Mingxi]'s Articles
[Sima Zeqian]'s Articles
Baidu academic
Similar articles in Baidu academic
[Sun Xiaolei]'s Articles
[Liu Mingxi]'s Articles
[Sima Zeqian]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Sun Xiaolei]'s Articles
[Liu Mingxi]'s Articles
[Sima Zeqian]'s Articles
Terms of Use
No data!
Social Bookmark/Share
File name: A novel cryptocurrency price trend forecasting model based on LightGBM.pdf
Format: Adobe PDF
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.