Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

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Bitcoin Price Prediction Based on Machine Learning and Granger Causality Test

Authors
Mengyu Hao1, *, Feiyang Su2, Kaifei Wang3, Xiaoqi Zheng4
1School of Finance & Management, Shanghai University of International Business and Economics, Shanghai, 201620, China
2College of Sciences, Shanghai University, Shanghai, 200444, China
3School of Arts and Sciences, Johns Hopkins University, Washington, DC, 20036, USA
4School of Computing and Artificial Intelligence, Southwestern University of Finance and Economics, Chengdu, 611130, China
*Corresponding author. Email: 19063022@suibe.edu.cn
Corresponding Author
Mengyu Hao
Available Online 31 December 2022.
DOI
10.2991/978-94-6463-036-7_51How to use a DOI?
Keywords
Bitcoin prediction; Granger Test; ARMA; MSE
Abstract

Recently, more and more investors have seen the huge profits that the digital currency market can bring, and Bitcoin price predictions are becoming more valuable both academically and in terms of business value. In this paper, we use the daily price of bitcoin from September 12, 2016, to September 10, 2021. Data pre-processing includes moving average (MA) and BIAS. To find out the causality relationship between two factors, we use Granger causality test. Then we predict bitcoin price with Support Vector Machine (SVM) based on sliding window from machine learning methods and Autoregressive Integrated Moving Average (ARMA) method from statistical methods. The results show that there is causality relationship between gold and bitcoin. Besides, by comparing the Mean Squared errors (MSE) of 7-day-model, 14-day-model and ARMA model, we find that the ARMA model outperform the others, which reminds the investors to focus more on this model.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
31 December 2022
ISBN
10.2991/978-94-6463-036-7_51
ISSN
2352-5428
DOI
10.2991/978-94-6463-036-7_51How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Mengyu Hao
AU  - Feiyang Su
AU  - Kaifei Wang
AU  - Xiaoqi Zheng
PY  - 2022
DA  - 2022/12/31
TI  - Bitcoin Price Prediction Based on Machine Learning and Granger Causality Test
BT  - Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
PB  - Atlantis Press
SP  - 342
EP  - 348
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-036-7_51
DO  - 10.2991/978-94-6463-036-7_51
ID  - Hao2022
ER  -