arXiv:2411.13615q-fin.STcs.CV2024-11

用深度学习提前预测加密货币价格暴跌,帮投资者避险

A Deep Learning Approach to Predict the Fall [of Price] of Cryptocurrency Long Before its Actual Fall

  • 结合多种机器学习模型分析20个市场参数预测波动率
  • 新模型最低RMSE达0.0089,显著优于现有模型最高14.5092的误差
  • 适合关注比特币、以太坊等高波动资产的交易者参考

现代加密货币市场是全球增长最快的金融领域之一,其波动性与流动性远超传统股市、汇市和大宗商品市场。本文旨在预测该市场的风险因子(即波动率),以帮助投资者应对不确定性。研究从20个市场要素中提取风险参数,应用CNN、LSTM、BiLSTM和GRU等机器学习模型进行建模,并提出一种新型预测模型。实验结果显示,该模型最高RMSE为1.3229,最低仅为0.0089;而现有模型最高RMSE达14.5092,最低为0.02769,表现明显更优。该方法可有效辅助投资者在比特币、以太坊、狗狗币等复杂资产上进行决策。

原文摘要 · Abstract (English)

In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and commodities. The risk of this market creates an uncertain condition among the investors. The purpose of this research is to predict the magnitude of the risk factor of the cryptocurrency market. Risk factor is also called volatility. Our approach will assist people who invest in the cryptocurrency market by overcoming the problems and difficulties they experience. Our approach starts with calculating the risk factor of the cryptocurrency market from the existing parameters. In twenty elements of the cryptocurrency market, the risk factor has been predicted using different machine learning algorithms such as CNN, LSTM, BiLSTM, and GRU. All of the models have been applied to the calculated risk factor parameter. A new model has been developed to predict better than the existing models. Our proposed model gives the highest RMSE value of 1.3229 and the lowest RMSE value of 0.0089. Following our model, it will be easier for investors to trade in complicated and challenging financial assets like bitcoin, Ethereum, dogecoin, etc. Where the other existing models, the highest RMSE was 14.5092, and the lower was 0.02769. So, the proposed model performs much better than models with proper generalization. Using our approach, it will be easier for investors to trade in complicated and challenging financial assets like Bitcoin, Ethereum, and Dogecoin.

加密货币波动率预测深度学习风险管理

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