Search results for "Price prediction"
showing 2 items of 2 documents
Next-Day Bitcoin Price Forecast
2019
This study analyzes forecasts of Bitcoin price using the autoregressive integrated moving average (ARIMA) and neural network autoregression (NNAR) models. Employing the static forecast approach, we forecast next-day Bitcoin price both with and without re-estimation of the forecast model for each step. For cross-validation of forecast results, we consider two different training and test samples. In the first training-sample, NNAR performs better than ARIMA, while ARIMA outperforms NNAR in the second training-sample. Additionally, ARIMA with model re-estimation at each step outperforms NNAR in the two test-sample forecast periods. The Diebold Mariano test confirms the superiority of forecast …
The predictive power of power-laws: An empirical time-arrow based investigation
2022
The efficient market hypothesis forbids any predictability towards future, but there is no such restriction in the case of reversed-looking approaches. We analyze if this asymmetry in non-predictability is reflected in the statistical features of financial time series. Our study is based on the analysis of the length-distribution of periods with high variability, and introduces time-asymmetric modifications of the method which are capable of revealing differences of the time series in forward and reversed time. We show that the future and reversed-looking time-series possess very similar properties, with some features being distinguishable with our method. Our findings give also evidence of…