A novel cryptocurrency price trend forecasting model based on LightGBM

doi:10.1016/j.frl.2018.12.032

CASISD OpenIR

	A novel cryptocurrency price trend forecasting model based on LightGBM
	Sun Xiaolei; Liu Mingxi; Sima Zeqian
发表期刊	FINANCE RESEARCH LETTERS
关键词	Cryptocurrency Trend forecasting LightGBM Forecasting performance
摘要	Forecasting cryptocurrency prices is crucial for investors. In this paper, we adopt a novel Gradient Boosting Decision Tree (GBDT) algorithm, Light Gradient Boosting Machine (LightGBM), to forecast the price trend (falling, or not falling) of cryptocurrency market. In order to utilize market information, we combine the daily data of 42 kinds of primary cryptocurrencies with key economic indicators. Results show that the robustness of the LightGBM model is better than the other methods, and the comprehensive strength of the cryptocurrencies impacts the forecasting performance. This can effectively guide investors in constructing an appropriate cryptocurrency portfolio and mitigate risks.
	2020
卷号	32 期号:101084 页码:1
DOI	10.1016/j.frl.2018.12.032
收录类别	SSCI ; SSCI
语种	英语
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/9774
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Sun Xiaolei,Liu Mingxi,Sima Zeqian. A novel cryptocurrency price trend forecasting model based on LightGBM[J]. FINANCE RESEARCH LETTERS,2020,32(101084):1.
APA	Sun Xiaolei,Liu Mingxi,&Sima Zeqian.(2020).A novel cryptocurrency price trend forecasting model based on LightGBM.FINANCE RESEARCH LETTERS,32(101084),1.
MLA	Sun Xiaolei,et al."A novel cryptocurrency price trend forecasting model based on LightGBM".FINANCE RESEARCH LETTERS 32.101084(2020):1.

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