What Drives Bitcoin? An Approach from Continuous Local Transfer Entropy and Deep Learning Classification Models.

ABSTRACT: Bitcoin has attracted attention from different market participants due to unpredictable price patterns. Sometimes, the price has exhibited big jumps. Bitcoin prices have also had extreme, unexpected crashes. We test the predictive power of a wide range of determinants on bitcoins' price direction under the continuous transfer entropy approach as a feature selection criterion. Accordingly, the statistically significant assets in the sense of permutation test on the nearest neighbour estimation of local transfer entropy are used as features or explanatory variables in a deep learning classification model to predict the price direction of bitcoin. The proposed variable selection do not find significative the explanatory power of NASDAQ and Tesla. Under different scenarios and metrics, the bes

SUBMITTER: Garcia-Medina A 

PROVIDER: S-EPMC8700167 | biostudies-literature | 2021 Nov

REPOSITORIES: biostudies-literature