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Zeqian Sima
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Published on Dec 1, 2018in Finance Research Letters 1.71
Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences),
Mingxi Liu1
Estimated H-index: 1
(CAS: Chinese Academy of Sciences),
Zeqian Sima1
Estimated H-index: 1
Abstract Forecasting cryptocurrency prices is crucial for investors. In this paper, we adopt a novel Gradient Boosting Decision Tree (GBDT) algorithm, Light Gradient Boosting Machine (LightGBM), to forecast the price trend (falling, or not falling) of cryptocurrency market. In order to utilize market information, we combine the daily data of 42 kinds of primary cryptocurrencies with key economic indicators. Results show that the robustness of the LightGBM model is better than the other methods, ...
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