4.1 Article

Time Series Analysis of Cryptocurrency Prices Using Long Short-Term Memory

Journal

ALGORITHMS
Volume 15, Issue 7, Pages -

Publisher

MDPI
DOI: 10.3390/a15070230

Keywords

prediction; cryptocurrency; LSTM

Funding

  1. NSF [1829704, HRD 1201981, FAMU C-5083]
  2. NIST [60NANB21D151]
  3. Office of Advanced Cyberinfrastructure (OAC)
  4. Direct For Computer & Info Scie & Enginr [1829704] Funding Source: National Science Foundation

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This paper explores the use of deep learning in time series analysis to study and understand the volatility of cryptocurrency prices. A long short-term memory model is applied to learn patterns within cryptocurrency close prices and predict future prices. The performance of the proposed model is evaluated using root-mean-squared error and compared to an ARIMA model.
Digitization is changing our world, creating innovative finance channels and emerging technology such as cryptocurrencies, which are applications of blockchain technology. However, cryptocurrency price volatility is one of this technology's main trade-offs. In this paper, we explore a time series analysis using deep learning to study the volatility and to understand this behavior. We apply a long short-term memory model to learn the patterns within cryptocurrency close prices and to predict future prices. The proposed model learns from the close values. The performance of this model is evaluated using the root-mean-squared error and by comparing it to an ARIMA model.

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