CASISD OpenIR
A novel cryptocurrency price trend forecasting model based on LightGBM
Sun Xiaolei; Liu Mingxi; Sima Zeqian
发表期刊FINANCE RESEARCH LETTERS
关键词Cryptocurrency Trend forecasting LightGBM Forecasting performance
摘要

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
卷号32期号:101084页码:1
DOI10.1016/j.frl.2018.12.032
收录类别SSCI ; SSCI
语种英语
引用统计
文献类型期刊论文
条目标识符http://ir.casisd.cn/handle/190111/9774
专题中国科学院科技战略咨询研究院
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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.
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