Mohd Haziq, Abdul Hadi and Nor Azuana, Ramli and Islam, Q. U. I. (2023) Predicting Bitcoin and Ethereum prices using long short-term memory and gated recurrent unit. Data Analytics and Applied Mathematics (DAAM), 4 (2). pp. 8-17. ISSN 2773-4854. (Published)
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Abstract
Predicting future prices of cryptocurrencies, including Bitcoin and Ethereum, presents a formidable challenge owing to their inherent volatility. This study applies Long Short-Term Memory (LSTM), a well-established recurrent neural network for time series forecasting, to predict Bitcoin and Ethereum values. Historical price data for both cryptocurrencies, sourced from Yahoo Finance, serves as the basis for analysis. The dataset undergoes an 80% training and 20% testing partition. Subsequently, LSTM models are developed and trained on both datasets. In parallel, the gated recurrent unit (GRU), recognized as an advanced variant of the LSTM model, is explored for comparative purposes. Performance evaluation utilizes fundamental metrics, including root mean squared error (RMSE), mean absolute error (MAE), and mean absolute percentage error (MAPE). The results reveal an intriguing trend: both models exhibit superior performance when applied to the Ethereum dataset compared to the Bitcoin dataset. This observation suggests the potential presence of Ethereum-specific features or patterns that align more effectively with deep learning model architectures. Notably, the GRU model consistently outperforms the LSTM model across RMSE, MAE, and MAPE. These outcomes underscore the GRU model’s capacity as a robust tool for cryptocurrency value prediction. In summary, this study tackles the challenge of cryptocurrency price prediction while emphasizing the promising role of advanced neural network architectures, such as GRU, in enhancing prediction accuracy, thus offering valuable insights into financial forecasting.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Bitcoin; Ethereum; Long-Short Term Memory; Cryptocurrency; Predictive Modelling |
| Subjects: | Q Science > QA Mathematics Q Science > QA Mathematics > QA75 Electronic computers. Computer science |
| Faculty/Division: | Center for Mathematical Science Institute of Postgraduate Studies |
| Depositing User: | Dr. Nor Azuana Ramli |
| Date Deposited: | 20 Jun 2024 02:07 |
| Last Modified: | 20 Jun 2024 02:07 |
| URI: | http://umpir.ump.edu.my/id/eprint/41610 |
| Download Statistic: | View Download Statistics |
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