Designing a model for predicting bitcoin returns (with emphasis on hybrid models of convolutional and recursive neural networks and models with long-term memory)

Subject Areas : Financial engineering

Mohammad Javad Bakhtiaran ¹ , Mehdi Zolfaghari ²

1 - Department of Economics, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran
2 - Department of Economics, Faculty of Management and Economics, Tarbiat Modares University,Tehran, Iran

Received: 2020-11-08 Accepted : 2021-01-13 Published : 2021-06-22

Keywords: Prediction, GARCH Family, Bitcoin, RNN-CNN, the hybrid model,

Abstract :

Finding the best way to optimize the portfolio is one of the concerns of activists in the investment management industry. In recent years, the introduction of economic and mathematical models in the prediction of Bitcoin has helped many investors to optimize portfolios. Therefore, in this study, we introduce models of GARCH family composition and recurrent and convolutional neural network to predict the daily yield of Bitcoin will be paid during the period of 1398-1392. In this study, the Bitcoin is examined using GARCH and EGARCH short-term memory models. Of the two variables, the price of crude oil and the Gold as factors that their shocks and fluctuations have a major impact on Bitcoin are used as control variables. In addition to using long-term memory models, considering the better performance of combined models (compared to individual models) In anticipation In this study, all models of the GARCH family (both short and long run) with the recurrent and convolutional neural network were combined and using the combined models, the efficiency of the Bitcoin for the next 10 days were predicted step by step and its accuracy Based on the evaluation criteria.