Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume

DOI10.1007/S10203-021-00344-9MaRDI QIDQ2064616zbMATH OpenOpenAlexFDO

Authors Nino Antulov-Fantulin, Tian Guo, Fabrizio Lillo

Publication date 6 January 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10203-021-00344-9

zbMATH Keywords

cryptocurrency marketseconometricsmachine learningtemporal mixture ensemble

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Actuarial science and mathematical finance (91G99)

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Cites work

• Direct multiperiod forecasting for algorithmic trading
• Estimation in the Three-Parameter Lognormal Distribution
• Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
• Generalized autoregressive conditional heteroscedasticity
• Greedy function approximation: A gradient boosting machine.
• scientific article; zbMATH DE number 2061729 (Why is no real title available?)
• scientific article; zbMATH DE number 6860839 (Why is no real title available?)
• Limit order books
• Optimal execution of a VWAP order: a stochastic control approach
• Randomized Gradient Boosting Machine
• Scikit-learn: machine learning in Python
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• The role of volume in order book dynamics: a multivariate Hawkes process analysis
• Volatility estimation for Bitcoin: a comparison of GARCH models

Describes a project that uses

Uses Software

• Rugarch
• XGBoost
• Scikit
• Adam

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