On forecasting the intraday Bitcoin price using ensemble of variational mode decomposition and generalized additive model
High frequency Bitcoin price series are often non-linear and non-stationary and hence forecasting the price of Bitcoin directly or by transformation using statistical models is subject to large errors. This paper presents an ensemble model using variational mode decomposition (VMD) and Generalized a...
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| Format: | Article |
| Language: | English |
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Springer
2022-03-01
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| Series: | Journal of King Saud University: Computer and Information Sciences |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S131915781931314X |
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| _version_ | 1849315801297846272 |
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| author | Samuel Asante Gyamerah |
| author_facet | Samuel Asante Gyamerah |
| author_sort | Samuel Asante Gyamerah |
| collection | DOAJ |
| description | High frequency Bitcoin price series are often non-linear and non-stationary and hence forecasting the price of Bitcoin directly or by transformation using statistical models is subject to large errors. This paper presents an ensemble model using variational mode decomposition (VMD) and Generalized additive model (GAM) to forecast intraday Bitcoin price. To evaluate the performance of the constructed model, it is compared with an ensemble of empirical mode decomposition (EMD) and GAM. The results showed that VMD-GAM model performed better than the EMD-GAM ensemble model in terms of three evaluation metrics (root mean square error, mean absolute percentage error, and bias) used. |
| format | Article |
| id | doaj-art-06e15ad8a0bd4e4fa7513714f7a9b641 |
| institution | Kabale University |
| issn | 1319-1578 |
| language | English |
| publishDate | 2022-03-01 |
| publisher | Springer |
| record_format | Article |
| series | Journal of King Saud University: Computer and Information Sciences |
| spelling | doaj-art-06e15ad8a0bd4e4fa7513714f7a9b6412025-08-20T03:52:03ZengSpringerJournal of King Saud University: Computer and Information Sciences1319-15782022-03-013431003100910.1016/j.jksuci.2020.01.006On forecasting the intraday Bitcoin price using ensemble of variational mode decomposition and generalized additive modelSamuel Asante Gyamerah0Pan African University, Institute for Basic Sciences, Technology, and Innovation, KenyaHigh frequency Bitcoin price series are often non-linear and non-stationary and hence forecasting the price of Bitcoin directly or by transformation using statistical models is subject to large errors. This paper presents an ensemble model using variational mode decomposition (VMD) and Generalized additive model (GAM) to forecast intraday Bitcoin price. To evaluate the performance of the constructed model, it is compared with an ensemble of empirical mode decomposition (EMD) and GAM. The results showed that VMD-GAM model performed better than the EMD-GAM ensemble model in terms of three evaluation metrics (root mean square error, mean absolute percentage error, and bias) used.http://www.sciencedirect.com/science/article/pii/S131915781931314XBitcoin price forecastingEmpirical mode decompositionVariational mode decompositionGeneralized additive modelEnsemble forecast |
| spellingShingle | Samuel Asante Gyamerah On forecasting the intraday Bitcoin price using ensemble of variational mode decomposition and generalized additive model Journal of King Saud University: Computer and Information Sciences Bitcoin price forecasting Empirical mode decomposition Variational mode decomposition Generalized additive model Ensemble forecast |
| title | On forecasting the intraday Bitcoin price using ensemble of variational mode decomposition and generalized additive model |
| title_full | On forecasting the intraday Bitcoin price using ensemble of variational mode decomposition and generalized additive model |
| title_fullStr | On forecasting the intraday Bitcoin price using ensemble of variational mode decomposition and generalized additive model |
| title_full_unstemmed | On forecasting the intraday Bitcoin price using ensemble of variational mode decomposition and generalized additive model |
| title_short | On forecasting the intraday Bitcoin price using ensemble of variational mode decomposition and generalized additive model |
| title_sort | on forecasting the intraday bitcoin price using ensemble of variational mode decomposition and generalized additive model |
| topic | Bitcoin price forecasting Empirical mode decomposition Variational mode decomposition Generalized additive model Ensemble forecast |
| url | http://www.sciencedirect.com/science/article/pii/S131915781931314X |
| work_keys_str_mv | AT samuelasantegyamerah onforecastingtheintradaybitcoinpriceusingensembleofvariationalmodedecompositionandgeneralizedadditivemodel |