Date of Award

Fall 1-2021

Document Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

Department

Computational and Data Sciences

First Advisor

Dr. Cyril Rakovski

Second Advisor

Mihaela Vajiac

Third Advisor

Mohamed Allali

Abstract

This work is a comparative study of different univariate and multivariate time series predictive models as applied to Bitcoin, other cryptocurrencies, and other related financial time series data. ARIMA models, long regarded as the gold standard of univariate financial time series prediction due to both its flexibility and simplicity, are used a baseline for prediction. Given the highly correlative nature amongst different cryptocurrencies, this work aims to show the benefit of forecasting with multivariate time series models—primarily focusing on a novel parameter optimization of VARIMA models outlined in this paper.

These models are trained on 3 years of historical data, aggregated from different cryptocurrency exchanges by Coinmarketcap.com, which includes: daily average prices and trading volume. Historical time series data of traditional market data, including the stock Nvidia, the de facto leading manufacture of gaming GPU’s, is also analyzed in conjunction with cryptocurrency prices, as gaming GPU’s have played a significant role in solving the profitable SHA256 hashing problems associated with cryptocurrency mining and have seen equivalently correlated investor attention as a result. Models are trained on this historical data using moving window subsets, with window lengths of 100, 200, and 300 days and forecasting 1 day into the future. Validation of this prediction against the actually price from that day are done with following metrics: Directional Forecasting (DF), Mean Absolute Error (MAE), and Mean Squared Error (MSE).

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Data Science Commons

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