Paper
Forecasting Bitcoin Price using Artificial Neural Network
Published Jan 8, 2020 · Dhruba Banjade
Capital Markets: Asset Pricing & Valuation eJournal
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Abstract
Forecasting Bitcoin prices is a big challenge today because of difficulties to exactly know the parameters upon which the Bitcoin price depends. In this paper, I forecast the price using the artificial neural network (ANN) technique. Bitcoin market capitalization, volume, dollar to euro, dollar to pound exchange rates, gold price, and S&P 500 index does not support to predict the prices. However, the Bitcoin price lags with four inputs, ten hidden layers, and two hundred iterations provide a better result with root mean square (RMSE) equals to 10.20, and coefficient of determination (R2) equals to 0.96.
The artificial neural network technique using four inputs, ten hidden layers, and 200 iterations effectively forecasts Bitcoin prices with a root mean square of 10.20 and coefficient of determination of 0.96.
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