Please use this identifier to cite or link to this item:https://hdl.handle.net/20.500.12259/102058
Type of publication: Straipsnis konferencijos medžiagoje kitose duomenų bazėse / Article in conference proceedings in other databases (P1c)
Field of Science: Informatika / Informatics (N009)
Author(s): Kuizinienė, Dovilė;Mackutė-Varoneckienė, Aušra;Krilavičius, Tomas
Title: Cryptocurrencies short-term forecast: application of ARIMA, GARCH and SVR models
Is part of: CEUR Workshop proceedings [electronic resource]: IVUS 2019, International conference on information technologies, Kaunas, Lithuania, 25 April, 2019. Aachen : CEUR-WS, 2019, Vol. 2470
Extent: p. 70-73
Date: 2019
Keywords: Cryptocurrency;Bitcoin;ARIMA;GARCH;SVR;Value forecast
Abstract: Cryptocurrency are difficult to forecast due to it’s globality and availability to everyone and every time. There is no Friday or Holidays effect, seasonality, market news and other aspects, which influence the course direction. It is the phenomena of the market and it is useful to spread forecast methods research to find out the best fitting model for this phenomenon. In this paper is presented short-term forecast of five different cryptocurrencies (Bitcoin, BitcoinCash, Ethereum, Litecoin, Ripple). Forecast methods split in two groups: 1) real value (ARIMA and SVR models) 2) volatility (GARCH and SVR models). The model’s suitability is evaluated by RMSE and MAE. The best results for real value forecast were achieved using ARIMA, for volatility forecast - SVR. In further research it would be useful to analyze methods variety of Artificial Neural Networks and others connected models’ modifications
Internet: https://www.vdu.lt/cris/bitstream/20.500.12259/102058/2/ISSN1613-0073_2019_V_2470.PG_70-73.pdf
https://hdl.handle.net/20.500.12259/102058
Affiliation(s): Baltijos pažangių technologijų institutas, Vilnius
Informatikos fakultetas
Taikomosios informatikos katedra
Vytauto Didžiojo universitetas
Appears in Collections:Universiteto mokslo publikacijos / University Research Publications

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