An Elitist Artificial Electric Field Algorithm Based Random Vector Functional Link Network for Cryptocurrency Prices Forecasting

【Author】 Nayak, Sarat Chandra; Das, Subhranginee; Dehuri, Satchidananda; Cho, Sung-Bae

【Source】IEEE ACCESS

【影响因子】3.476

【Abstract】Cryptocurrencies have carved out a significant presence in financial transactions during the past few years. Cryptocurrency market performs similarly to other financial markets with considerable nonlinearity and volatility and its prediction is a growing research area. It is challenging to capture the inherent uncertainties connected with cryptocurrency using the currently used conventional methodologies. The popularity of random vector functional link networks (RVFLN) is attributed to its simple structural layout, quick rate of learning, and enhanced generalization ability. It computes the output layer weights using non-iterative techniques like least square methods or iterative techniques like gradient methods, and assigns hidden neuron parameters at random. Random initialization of non-optimal hidden neuron settings, however, degrades the performance. Population-based metaheuristics are a superior option to random initialization for determining the ideal parameters and avoiding the problem of local optima stagnation. In the current article, an elitist artificial electric field algorithm (eAEFA) for training RVFLN is proposed. Here, eAEFA is utilized to create an ideal RVFLN by determining the weights and biases of the hidden layer connections. The elitism method is used by AEFA to maximize its strength. Here, the most suitable entities are directly inserted to create the population of the following generation. By predicting the closing values of six widely used cryptocurrencies, including Bitcoin, Litecoin, Ethereum, ZEC, XLM, and Ripple, one may determine how well the eAEFA+RVFLN model is performing. For comparison study, models including ARIMA, multi-layer perceptron (MLP), basic RVFLN, support vector regression (SVR), LSTM, GA trained RVFLN, and AEFA trained RVFLN are also constructed concurrently. In terms of performance and statistical significance testing, the suggested eAEFA+RVFLN findings outperform the comparator models. On an average, it achieves a MAPE (mean absolute percentage of error) value of 0.0573, R-2 (coefficient of determination) of 0.9589, POCID (prediction of change in direction) of 0.9676, RMSE (root mean squared error) of 0.0685, MAE (mean absolute error) of 0.0727 and an average rank of 1.346; as a result, it is possible to recommend it as a useful financial forecasting tool.

【Keywords】Computational efficiency; Cryptocurrency; bitcoin; random vector functional link network; financial time series forecasting; artificial neural network; AEFA

【发表时间】2023

【收录时间】2023-07-10

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