BITCOIN PRICE PREDICTION USING DEEP LEARNING AND ECONOMETRIC MODEL: LSTM AND ARIMA

Öz

As the most popular cryptocurrency in the world, Bitcoin (BTC) has attracted the attention of investors and researchers in recent years. Its decentralized nature and the exposure to speculation lead to high volatility in the BTC price. Predicting the BTC price taking into account its volatility is of great importance, especially for investors. In recent years, with the development of Machine Learning (ML) methods, ML methods are frequently used in price predicting of cryptocurrencies as in many other financial areas. In contrast to traditional econometric methods, ML methods take into account the fluctuations in the data set without the making any assumptions and often give better results. In this study, the price of BTC between 01.01.2018 and 21.12.2023 is predicted using the traditional econometric method ARIMA and ML method LSTM. While comparing the methods, RMSE, MAE and MAPE criteria were used as performance criteria. According to the results of the study, LSTM method has the lowest RMSE and MAPE values.

Anahtar Kelimeler

• Bitcoin
• Deep Learning
• Machine Learning
• Long Short-Term Memory
• Financial Time Series

DERİN ÖĞRENME VE EKONOMETRİK MODEL İLE BİTCOİN FİYAT TAHMİNİ: LSTM ve ARIMA

Öz

Dünyada en çok rağbet gören kripto para birimi olması nedeniyle Bitcoin (BTC), yatırımcılar ve araştırmacılar için son yıllarda dikkat çekici hale gelmiştir. Merkezi bir para birimi olmaması ve spekülasyonlara açık olması BTC fiyatında yüksek oynaklığa sebep olmaktadır. BTC fiyatının oynaklığının dikkate alınarak tahminlenmesi özellikle yatırımcılar için büyük önem taşımaktadır. Son yıllarda Makine Öğrenmesi (ML) yöntemlerinin gelişmesiyle birlikte birçok finansal alanda olduğu gibi kripto paraların fiyat tahminlemesinde sıklıkla ML yöntemlerine başvurulmaktadır. ML yöntemleri geleneksel ekonometrik yöntemlerin aksine veri setinde meydana gelen dalgalanmaları herhangi bir varsayıma ihtiyaç duymadan dikkate almakta ve çoğu zaman daha iyi sonuçlar vermektedirler. Bu çalışmada, 01.01.2018 ile 21.12.2023 tarihleri arasında BTC fiyatı geleneksel ekonometrik yöntem olan ARIMA ile ML yöntemi olan LSTM kullanılarak tahminlenmeye çalışılmıştır. Yöntemler karşılaştırılırken performans kriterleri olarak RMSE, MAE ve MAPE kriterleri kullanılmıştır. Çalışmanın sonuçlarına göre LSTM yöntemi en düşük RMSE ve MAPE değerlerine sahip olmuştur.

Anahtar Kelimeler

• Bitcoin
• Derin Öğrenme
• Makine Öğrenmesi
• Uzun Kısa Hafızalı Bellek
• Finansal Zaman Serileri

Kaynakça

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