4.6 Article

An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information

期刊

IEEE ACCESS
卷 6, 期 -, 页码 5427-5437

出版社

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/ACCESS.2017.2779181

关键词

Bitcoin; blockchain; Bayesian neural network; time-series analysis; predictive model

资金

  1. National Research Foundation of Korea Grant through the Korean Government (MEST) [2016R1A2B3014030]

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Bitcoin has recently attracted considerable attention in the fields of economics, cryptography, and computer science due to its inherent nature of combining encryption technology and monetary units. This paper reveals the effect of Bayesian neural networks (BNNs) by analyzing the time series of Bitcoin process. We also select the most relevant features from Blockchain information that is deeply involved in Bitcoin's supply and demand and use them to train models to improve the predictive performance of the latest Bitcoin pricing process. We conduct the empirical study that compares the Bayesian neural network with other linear and non-linear benchmark models on modeling and predicting the Bitcoin process. Our empirical studies show that BNN performs well in predicting Bitcoin price time series and explaining the high volatility of the recent Bitcoin price.

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