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DOI: 10.14569/IJACSA.2021.0121264

Adaptive Deep Learning based Cryptocurrency Price Fluctuation Classification

Author 1: Ahmed Saied El-Berawi
Author 2: Mohamed Abdel Fattah Belal
Author 3: Mahmoud Mahmoud Abd Ellatif

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International Journal of Advanced Computer Science and Applications(IJACSA), Volume 12 Issue 12, 2021.

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Abstract: This paper proposes a deep learning based predictive model for forecasting and classifying the price of cryptocurrency and the direction of its movement. These two tasks are challenging to address since cryptocurrencies prices fluctuate with extremely high volatile behavior. However, it has been proven that cryptocurrency trading market doesn’t show a perfect market property, i.e., price is not totally a random walk phenomenon. Based upon this, this study proves that the price value forecast and price movement direction classification is both predictable. A recurrent neural networks based predictive model is built to regress and classify prices. With adaptive dynamic features selection and the use of external dependable factors with a potential degree of predictability, the proposed model achieves unprecedented performance in terms of movement classification. A naïve simulation of a trading scenario is developed and it shows a 69% profitability score a cross a six months trading period for bitcoin.

Keywords: Computer intelligence; cryptocurrency; deep learning; market movement; recurrent neural network; timeseries forecasting

Ahmed Saied El-Berawi, Mohamed Abdel Fattah Belal and Mahmoud Mahmoud Abd Ellatif, “Adaptive Deep Learning based Cryptocurrency Price Fluctuation Classification” International Journal of Advanced Computer Science and Applications(IJACSA), 12(12), 2021. http://dx.doi.org/10.14569/IJACSA.2021.0121264

@article{El-Berawi2021,
title = {Adaptive Deep Learning based Cryptocurrency Price Fluctuation Classification},
journal = {International Journal of Advanced Computer Science and Applications},
doi = {10.14569/IJACSA.2021.0121264},
url = {http://dx.doi.org/10.14569/IJACSA.2021.0121264},
year = {2021},
publisher = {The Science and Information Organization},
volume = {12},
number = {12},
author = {Ahmed Saied El-Berawi and Mohamed Abdel Fattah Belal and Mahmoud Mahmoud Abd Ellatif}
}



Copyright Statement: This is an open access article licensed under a Creative Commons Attribution 4.0 International License, which permits unrestricted use, distribution, and reproduction in any medium, even commercially as long as the original work is properly cited.

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