Predicting the price of Bitcoin using Machine Learning

McNally, Sean (2016) Predicting the price of Bitcoin using Machine Learning. Masters thesis, Dublin, National College of Ireland.

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This research is concerned with predicting the price of Bitcoin using machine learning. The goal is to ascertain with what accuracy can the direction of Bitcoin price in USD can be predicted. The price data is sourced from the Bitcoin Price Index . The task is achieved with varying degrees of success through the implementation of a Bayesian optimised recurrent neural network (RNN) and Long Short Term Memory (LSTM) network. The LSTM achieves the highest classification accuracy of 52% and a RMSE of 8%. The popular ARIMA model for time series forecasting is implemented as a comparison to the deep learning models. As expected, the non-linear deep learning methods outperform the ARIMA forecast which performs poorly. Wavelets are explored as part of the time series narrative but not implemented for prediction purposes. Finally, both deep learning models are benchmarked on both a GPU and a CPU with the training time on the GPU outperforming the CPU implementation by 67.7%.

Item Type: Thesis (Masters)
Subjects: Q Science > QA Mathematics > Electronic computers. Computer science
T Technology > T Technology (General) > Information Technology > Electronic computers. Computer science

H Social Sciences > HG Finance > Money > Currency
Divisions: School of Computing > Master of Science in Data Analytics
Date Deposited: 03 Dec 2016 12:43
Last Modified: 03 Dec 2016 12:43

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