| Literature DB >> 35270900 |
Zeinab Shahbazi1, Yung-Cheol Byun1.
Abstract
The popularity of cryptocurrency in recent years has gained a lot of attention among researchers and in academic working areas. The uncontrollable and untraceable nature of cryptocurrency offers a lot of attractions to the people in this domain. The nature of the financial market is non-linear and disordered, which makes the prediction of exchange rates a challenging and difficult task. Predicting the price of cryptocurrency is based on the previous price inflations in research. Various machine learning algorithms have been applied to predict the digital coins' exchange rate, but in this study, we present the exchange rate of cryptocurrency based on applying the machine learning XGBoost algorithm and blockchain framework for the security and transparency of the proposed system. In this system, data mining techniques are applied for qualified data analysis. The applied machine learning algorithm is XGBoost, which performs the highest prediction output, after accuracy measurement performance. The prediction process is designed by using various filters and coefficient weights. The cross-validation method was applied for the phase of training to improve the performance of the system.Entities:
Keywords: XGBoost; blockchain; cryptocurrency; exchange rate prediction
Mesh:
Year: 2022 PMID: 35270900 PMCID: PMC8914665 DOI: 10.3390/s22051740
Source DB: PubMed Journal: Sensors (Basel) ISSN: 1424-8220 Impact factor: 3.576
Figure 1Overview of the employed model in this research.
Comparison of recent price prediction tasks of cryptocurrency.
| Author | Cryptocurrency | Labels | Transaction | Features | Applied | Performance |
|---|---|---|---|---|---|---|
| 1 [ | Bitcoin | Address exchange, | Nov 2018 | Embedding | HDDT+ | 0.91% |
| 2 [ | Bitcoin | Entities of exchange, | 0 to 561 | Network, | GBDT, | 0.99% |
| 3 [ | Bitcoin | Addresses of mining | 520.850 to | Embedding, | RF | 0.96% |
| 4 [ | Bitcoin | Faucet offering, | 2009–2017 | Network, | RF | 0.70% |
| 5 [ | Bitcoin | Address of exchange, | 2009–2018 | Network, | Light GBM | 0.86% |
| 6 [ | Bitcoin | Exchange entities, | 0–514.971 | Network, | Temporal | 0.91% |
| 7 [ | Bitcoin | Entities of exchange, | Not | Network, | Extra trees | 96% |
| 8 [ | Ethereum | Authors of smart | - | Stylometrics | RF | 91% |
| 9 [ | Litecoin | Daily price | 2009–2018 | Market | RF | Prediction |
| 10 [ | Ethereum | Daily price | 2016–2018 | Difficulty of | LR | 0.99% |
| 11 [ | Litecoin | Daily price | 2017–2019 | Difficulty of | SNN | Lowest |
| 12 [ | Bitcoin | Daily Price | 2015–2017 | Difficulty of | GASEN | 64% |
| 13 [ | Bitcoin | 5 min price direction | 2017–2019 | Difficulty of | LR, | 66% |
| 14 [ | Bitcoin | 30th, 90th, and next- | 2013–2019 | Difficulty of | LSTM | MAE, |
| 15 [ | Bitcoin | Direction and daily | 2017 | Network, | PDE | 0.82% |
Figure 2Overview of exchange rate prediction of the proposed system.
Figure 3Overview of exchange rate based on the blockchain framework.
Figure 4Transaction process function based on the blockchain framework.
Development Environment.
| Name | Components | Description |
|---|---|---|
| Machine | Operating | Windows 10 |
| Browser | IE, Firefox, Chrome | |
| Programming | Python, IDE | |
| ML Algorithm | XGBoost | |
| Blockchain | Operating | Ubuntu Linux 1804 LTS |
| Programming | Node.js | |
| CPU | Intel(R) Core(TM) i7-8700 | |
| Docker | V18.06.1-ce | |
| Docker | V1.13.0 | |
| IDE | Composer Playground | |
| Memory | 12 GB |
Statistical testing comparison.
| Algorithm | MAE | RMSE | MAPE |
|---|---|---|---|
| XGBoost | 0.608 | 0.765 | 0.005 |
| CNN | 1.720 | 2.188 | 0.014 |
| Arima | 0.1748 | 2.6812 | 0.0190 |
| MLP | 0.1748 | 0.2621 | 0.0014 |
| LSTM | 0.083 | 0.3091 | 0.0007 |
Figure 5Different factors’ importance from 2018 to 2021.
Technical indicators’ raw features.
| Features | Description |
|---|---|
| Block Size | Transaction information |
| Transaction | Payment records which |
| Difficulty | Average of daily mining |
| Sent Records | Distinct digital coin addresses |
| Average Transaction Value | Digital coins’ transactional |
| Mining Profitability | Every terahash profit per day |
| Reward Ratio Fee | The transactions sent ratio for |
| Median Transaction Fee | Digital coins’ median transaction |
| Average Transaction Fee | The received transaction fee |
| Block Time | Required time for block mining |
| Median Transaction Value | Digital coins’ median transaction |
| Hashrate | Digital coins’ daily computational |
| Active Addresses | The participating addresses in |
Statistic prediction accuracy records of cryptocurrency.
| # | Mean | Median | Var | Min | Max | |
|---|---|---|---|---|---|---|
| Ether | XGBoost | 0.6988 | 0.7011 | <0.002 | 0.6963 | 0.7049 |
| CNN | 0.6898 | 0.6898 | <0.002 | 0.6849 | 0.6966 | |
| Arima | 0.676 | 0.6776 | <0.002 | 0.6754 | 0.6950 | |
| MLP | 0.6623 | 0.6623 | <0.002 | 0.6539 | 0.6625 | |
| LSTM | 0.6389 | 0.6587 | <0.002 | 0.6339 | 0.6625 | |
| Baseline | 0.6578 | |||||
| Litecoin | XGBoost | 0.7874 | 0.7879 | <0.002 | 0.7835 | 0.7916 |
| CNN | 0.7676 | 0.7674 | <0.002 | 0.7616 | 0.7717 | |
| Arima | 0.7598 | 0.7587 | <0.002 | 0.7415 | 0.7518 | |
| MLP | 0.7195 | 0.7197 | <0.002 | 0.7158 | 0.7235 | |
| LSTM | 0.7198 | 0.7194 | <0.002 | 0.7079 | 0.7248 | |
| Baseline | 0.7199 | |||||
| Monero | XGBoost | 0.8995 | 0.8995 | <0.002 | 0.8967 | 0.9139 |
| CNN | 0.8698 | 0.8611 | <0.002 | 0.8649 | 0.8744 | |
| Arima | 0.8650 | 0.8644 | <0.002 | 0.8632 | 0.8720 | |
| MLP | 0.8594 | 0.8591 | <0.002 | 0.8659 | 0.8558 | |
| LSTM | 0.8585 | 0.8587 | <0.002 | 0.8614 | 0.8562 | |
| Baseline | 0.8579 | |||||
Prediction results of ten-day exchange rate changes.
| Date | Actual Rate | Predicted Rate | Error (%) |
|---|---|---|---|
| 1 Feb 2021 | 14,942 | 14,920.74 | 0.10 |
| 2 Feb 2021 | 14,974 | 14,915.26 | 0.42 |
| 3 Feb 2021 | 14,952 | 14,881.75 | 0.40 |
| 4 Feb 2021 | 14,952 | 14,881.75 | 0.40 |
| 5 Feb 2021 | 14,952 | 14,881.75 | 0.40 |
| 6 Feb 2021 | 14,992 | 14,998.68 | 0.78 |
| 7 Feb 2021 | 14,960 | 14,998.18 | 0.56 |
| 8 Feb 2021 | 14,975 | 14,985.69 | 0.76 |
| 9 Feb 2021 | 14,892 | 14,874.19 | 0.31 |
| 10 Feb 2021 | 14,954 | 14,962.69 | 0.07 |
Three cryptocurrency breakdown pattern records.
| # | Ether | Litecoin | Monero | |
|---|---|---|---|---|
| Train | 0 | 65.79% | 71.58% | 85.55% |
| Test | 0 | 65.78% | 71.99% | 85.79% |
Figure 6Actual and predicted value of Ether using XGBoost for 30 days.
Figure 7Actual and predicted value of Ether using XGBoost for 90 days.
Figure 8Actual and predicted value of Litecoin using XGBoost for 30 days.
Figure 9Actual and predicted value of Litecoin using XGBoost for 90 days.
Figure 10Actual and predicted value of Monero using XGBoost for 30 days.
Figure 11Actual and predicted value of Monero using XGBoost for 90 days.
Figure 12MAPE of the classification model.
Figure 13Accuracy of the classification model.