Predictions of bitcoin prices through machine learning based frameworks

The high volatility of an asset in financial markets is commonly seen as a negative factor. However short-term trades may entail high profits if traders open and close the correct positions. The high volatility of cryptocurrencies, and in particular of Bitcoin, is what made cryptocurrency trading so profitable in these last years. The main goal of this work is to compare several frameworks each other to predict the daily closing Bitcoin price, investigating those that provide the best performance, after a rigorous model selection by the so-called k-fold cross validation method. We evaluated the performance of one stage frameworks, based only on one machine learning technique, such as the Bayesian Neural Network, the Feed Forward and the Long Short Term Memory Neural Networks, and that of two stages frameworks formed by the neural networks just mentioned in cascade to Support Vector Regression. Results highlight higher performance of the two stages frameworks with respect to the correspondent one stage frameworks, but for the Bayesian Neural Network. The one stage framework based on Bayesian Neural Network has the highest performance and the order of magnitude of the mean absolute percentage error computed on the predicted price by this framework is in agreement with those reported in recent literature works.