Comparative Analysis of Cryptocurrency Price Prediction Using Deep Learning

Authors

Muhammad Zakhwan
Department of Electrical Engineering, Faculty of Engineering, Universiti Malaya
Mohamed Rafik
Department of Electrical Engineering, Faculty of Engineering, Universiti Malaya
Noraisyah Mohamed Shah
Department of Electrical Engineering, Faculty of Engineering, Universiti Malaya
Anis Salwa Binti Mohd Khairuddin
Department of Electrical Engineering, Faculty of Engineering, Universiti Malaya, 50603, Kuala Lumpur, Malaysia

Synopsis

Cryptocurrency is branded as a digital currency, an alternative exchange currency system with significant ramifications for the economies of rising nations and the global economy. In recent years, cryptocurrency has infiltrated almost all financial operations; hence, cryptocurrency trading is frequently recognised as one of the most popular and promising means of profitable investment. Lately, with the exponential growth of cryptocurrency in-vestments, many Alternative Coins (Altcoins) resurfaced as to mimic the fiat currency. Altcoins prediction, as the name suggests the alternative coins from the traditional cryptocurrency which is Bitcoin (BTC). There are several methods to forecast cryptocurrency prices namely Technical Analysis and Fundamental Analysis which has been widely used in forecasting fiat and stock prices. With the emergence of Artificial Intelligence (AI), Machine Learning and Deep Learning algorithms provide a different perspective on how investors can estimate the trend or the movement of prices. In this thesis, as cryptocurrency price are time-dependent, Recur-rent Neural Network (RNN) is presented due to RNN’s nature that is well suited for Time Series Analysis (TSA). The topology of proposed RNN model consists of 3 stages which are model groundwork, model development and testing and optimisation. The RNN architecture are extended to two different models specifically Long Short-Term Memory (LSTM), Gated Recurrent Unit (GRU). There are 4 hyperparameters that will affect the accuracy of the deep learning model in predicting cryptocurrency price. Hyperparameters tuning set the basis of optimising the model to improve the accuracy of cryptocurrency prediction. Hyperparameters listed in this project are limited to number of epochs, adaptive optimisation algorithm, dropout rate, and batch size. Next, the models are tested with data of different coins listed in the cryptocurrency market with different input features to find out the effect on the accuracy and robustness of the model in predicting the cryptocurrency price. This research demonstrates that GRU has the best accuracy in forecasting the cryptocurrency prices based on the values of Root Mean Square Error (RMSE), Mean Absolute Percentage Error (MAPE) and Executional Time, scoring 2.2201, 0.8076 and 200s using intra-day trading strategy Open, High, Low, Close Price (OHLC) as input features.

TechPost2022
Published
December 28, 2022
Online ISSN
2582-3922