Cross Cryptocurrency Relationship Mining for Bitcoin Price Prediction
- URL: http://arxiv.org/abs/2205.00974v1
- Date: Thu, 28 Apr 2022 02:39:42 GMT
- Title: Cross Cryptocurrency Relationship Mining for Bitcoin Price Prediction
- Authors: Panpan Li, Shengbo Gong, Shaocong Xu, Jiajun Zhou, Yu Shanqing, Qi
Xuan
- Abstract summary: We propose a generic Cross-Cryptocurrency Relationship Mining module, named C2RM.
C2RM can effectively capture the synchronous and asynchronous impact factors between Bitcoin and related Altcoins.
Comprehensive experimental results demonstrate that our C2RM can help existing price prediction methods achieve significant performance improvement.
- Score: 2.6032596415721945
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: Blockchain finance has become a part of the world financial system, most
typically manifested in the attention to the price of Bitcoin. However, a great
deal of work is still limited to using technical indicators to capture Bitcoin
price fluctuation, with little consideration of historical relationships and
interactions between related cryptocurrencies. In this work, we propose a
generic Cross-Cryptocurrency Relationship Mining module, named C2RM, which can
effectively capture the synchronous and asynchronous impact factors between
Bitcoin and related Altcoins. Specifically, we utilize the Dynamic Time Warping
algorithm to extract the lead-lag relationship, yielding Lead-lag Variance
Kernel, which will be used for aggregating the information of Altcoins to form
relational impact factors. Comprehensive experimental results demonstrate that
our C2RM can help existing price prediction methods achieve significant
performance improvement, suggesting the effectiveness of Cross-Cryptocurrency
interactions on benefitting Bitcoin price prediction.
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