Ascertaining price formation in cryptocurrency markets with DeepLearning
- URL: http://arxiv.org/abs/2003.00803v1
- Date: Sun, 9 Feb 2020 20:23:08 GMT
- Title: Ascertaining price formation in cryptocurrency markets with DeepLearning
- Authors: Fan Fang, Waichung Chung, Carmine Ventre, Michail Basios, Leslie
Kanthan, Lingbo Li, Fan Wu
- Abstract summary: This paper is inspired by the recent success of using deep learning for stock market prediction.
We analyze and present the characteristics of the cryptocurrency market in a high-frequency setting.
We achieve a consistent $78%$ accuracy on the prediction of the mid-price movement on live exchange rate of Bitcoins vs US dollars.
- Score: 8.413339060443878
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: The cryptocurrency market is amongst the fastest-growing of all the financial
markets in the world. Unlike traditional markets, such as equities, foreign
exchange and commodities, cryptocurrency market is considered to have larger
volatility and illiquidity. This paper is inspired by the recent success of
using deep learning for stock market prediction. In this work, we analyze and
present the characteristics of the cryptocurrency market in a high-frequency
setting. In particular, we applied a deep learning approach to predict the
direction of the mid-price changes on the upcoming tick. We monitored live
tick-level data from $8$ cryptocurrency pairs and applied both statistical and
machine learning techniques to provide a live prediction. We reveal that
promising results are possible for cryptocurrencies, and in particular, we
achieve a consistent $78\%$ accuracy on the prediction of the mid-price
movement on live exchange rate of Bitcoins vs US dollars.
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