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Bitcoin Price Forecasting: A Comparative Study Between Statistical and

Machine Learning Methods

Conference Paper · February 2020

DOI: 10.1109/ICCIS49240.2020.9257664

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 Bitcoin Price Forecasting: A Comparative Study
Between Statistical and Machine Learning Methods
Waddah Waheeb Habib Shah Mohammed Jabreel Domenec Puig
School of Computing Department of Computer Science IRCV - Intelligent Robotics and IRCV - Intelligent Robotics and
Asia Pacific University of College of Computer Science Computer Vision Group Computer Vision Group
Technology & Innovation King Khalid University Universitat Rovira i Virgili Universitat Rovira i Virgili
57000 Bukit Jalil, Kuala Lumpur, 62529 Abha, Saudi Arabia 43007, Tarragona, Spain 43007, Tarragona, Spain
Malaysia habibshah.uthm@gmail.com mohammed.jabreel@urv.cat domenec.puig@urv.cat
waddah.waheeb@gmail.com

Abstract— This paper presents a comparative study between statistical and machine learning methods in forecasting Bitcoin's
closing prices. Thirteen forecasting methods namely average, naive, drift, auto-regressive integrated moving-average, simple
exponential smoothing (SES), Holt, and damped exponential smoothing, the average of SES, Holt and damped methods,
exponential smoothing (ETS), bagged ETS, Theta, multilayer perceptron, and extreme learning machines (ELM) were used to
forecast the closing prices for the next 14 days. The findings of this study are three folds. First, there are seven forecasting methods
outperformed the naive method namely MLP, ELM, damped exponential smoothing, simple exponential smoothing, Theta, ETS,
and ARIMA. Second, MLP and ELM showed better forecasting accuracy on both validation and out-of-sample data among the
forecasting methods used in this study. Third, the size of the training data is essential factor that should be considered when
training forecasting methods.

Keywords— Bitcoin, Cryptocurrency, Statistical methods, Machine learning methods

I. INTRODUCTION
Bitcoin is the most popular cryptocurrency that allows doing online payment transactions without requiring a third-party
involvement [1]. There is considerable attention about Bitcoin since the significant increase in December 2017, which was
accompanied by a tremendous increase both in the number of Bitcoins in circulation and the Bitcoin market capitalization [2].
Various methods were used to forecast Bitcoin price or direction such as auto-regressive (AR), moving-average (MA),
autoregressive integrated moving average (ARIMA), neural networks, neuro-fuzzy technique, support vector machines (SVM),
and deep learning [2] – [6]. However, and according to [2], since the Bitcoin market is a memoryless system, it is impossible to
forecast Bitcoin’s prices on a daily basis. However, in this paper, we are interested in investigating the following research
questions:
 Are there forecasting methods that can outperform the naive method for forecasting the next 14 days for Bitcoin
closing prices?
 Which forecasting method can produce better forecasts among some conventional statistical and machine learning
methods?
 Does the size of training data can affect the forecasting accuracy for the forecasting methods?
The importance of this research is to determine if there is a difference in the forecasting accuracy between the naive method
and some conventional statistical and machine learning methods? This could help to suggest using some forecasting method to
produce more accurate forecasts compared to the naive method.
To achieve that, Bitcoin's closing price historical data between Nov. 24, 2013 and Nov. 24, 2019 was collected to train and
test thirteen forecasting methods. These methods are: average, naive, drift, auto-regressive integrated moving-average, simple
exponential smoothing (SES), Holt and damped exponential smoothing, the average of SES, Holt, and damped methods,
exponential smoothing (ETS), Bagged ETS, Theta, multilayer perceptron, and extreme learning machines methods.
The rest of this research work is organized as follows. The related works are described in Section II. The experimental
design is given in Section III. Section IV presents and discusses the obtained results. Finally, the conclusion is given in Section
V.
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