Deep learning in predicting cryptocurrency volatility

【Author】 D'Amato, Valeria; Levantesi, Susanna; Piscopo, Gabriella

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】This paper focuses on the prediction of cryptocurrency volatility. The stock market volatility represents a very influential aspect that affects a wide range of decisions in business and finance. Recently, the volatility spillovers between the cryptocurrency market and other financial markets are detecting. Nevertheless, the cryptocurrency volatility forecasts underperform the market dynamics. This paper develops a suitable model to capture the cryptocurrency volatility dynamics. We base on deep learning techniques, which produce more reliable results than standard methods in finance by capturing complex data interactions. Specifically, we refer to a Jordan Neural Network, which is a parsimonious recurrent neural network showing more predictability power compared to other models designed for time series, the Self Exciting Threshold Autoregressive model models and the Non-Linear Autoregressive Neural Networks. Empirical evidence is provided using data from three different cryptocurrencies, Bitcoin, Ripple, and Ethereum. (C)& nbsp;2022 Elsevier B.V. All rights reserved.

【Keywords】Deep learning; Neural networks; Cryptocurrency; Volatility

【发表时间】2022 JUN 15

【收录时间】2022-05-23

【文献类型】实证性文章

【主题类别】

区块链应用-虚拟经济-虚拟货币