How well do investor sentiment and ensemble learning predict Bitcoin prices?

【Author】 Hajek, Petr; Hikkerova, Lubica; Sahut, Jean -Michel

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】Investor sentiment is widely recognized as the major determinant of cryptocurrency prices. Although earlier research has revealed the influence of investor sentiment on cryptocurrency prices, it has not yet generated cohesive empirical findings on an important question: How effective is investor sentiment in predicting cryptocurrency prices? To address this gap, we propose a novel prediction model based on the Bitcoin Misery Index, using trading data for cryptocurrency rather than judgments from individuals who are not Bitcoin investors, as well as bagged support vector regression (BSVR), to forecast Bitcoin prices. The empirical analysis is performed for the period between March 2018 and May 2022. The results of this study suggest that the addition of the sentiment index enhances the predictive performance of BSVR signifi-cantly. Moreover, the proposed prediction system, enhanced with an automatic feature selection component, outperforms state-of-the-art methods for predicting cryptocurrency for the next 30 days.

【Keywords】Bitcoin; Price; Cryptocurrency; Sentiment; Prediction; Feature selection; Support vector regression

【发表时间】2023 JAN

【收录时间】2023-03-01

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-价格预测