Deep Learning Forecasting in Cryptocurrency High-Frequency Trading

Like common stocks, Bitcoin price fluctuations are non-stationary and highly noisy. Due to attractiveness of Bitcoin in terms of returns and risk, Bitcoin price prediction is attracting a growing attention from both investors and researchers. Indeed, with the development of machine learning and especially deep learning, forecasting Bitcoin is receiving a particular interest. We implement and apply deep forward neural network (DFFNN) for the analysis and forecasting Bitcoin high-frequency price data. Importantly, we seek to investigate the effect of standard numerical training algorithms on the accuracy obtained by DFFNN; namely, the conjugate gradient with Powell-Beale restarts, the resilient algorithm, and Levenberg-Marquardt algorithm. The DFFNN was applied to a big dataset composed of 65,535 samples. In terms of root mean of squared errors (RMSEs), the simulation results show that the DFFNN trained with the Levenberg-Marquardt algorithm outperforms DFFNN trained with Powell-Beale restarts algorithm and DFFNN trained with resilient algorithm. In addition, the resilient algorithm is fast which suggests that it could be promising in online training and trading. The DFFNN trained with Levenberg-Marquardt algorithm is effective and easy to implement for Bitcoin high-frequency price data forecasting.