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A Multi-window Bitcoin Price Prediction Framework on Blockchain Transaction Graph

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Algorithmic Aspects in Information and Management (AAIM 2021)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 13153))

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Abstract

Bitcoin, as one of the most popular cryptocurrency, has been attracting increasing attention from investors. Consequently, bitcoin price prediction is a rising academic topic. Existing bitcoin prediction works are mostly based on trivial feature engineering, that is, manually designed features or factors from multiple areas. Feature engineering not only requires tremendous human effort, but the effectiveness of the intuitively designed features can not be guaranteed. In this paper, we aim to mine the abundant patterns encoded in Bitcoin transactions, and propose k-order transaction graphs to reveal patterns under different scopes. We propose features based on a transaction graph to automatically encode the patterns. The Multi-Window Prediction Framework is proposed to train the model and make price predictions, which can take advantage of patterns from different historical periods. We further demonstrate that our proposed prediction method outperforms the state-of-art methods in the literature.

This work is partially supported by NSF 1907472.

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Notes

  1. 1.

    In this paper, the terms “Bitcoin blockchain” or “Bitcoin” refer to the whole Bitcoin blockchain system and “bitcoin” refers to the cryptocurrency.

  2. 2.

    Dataset ID is bigquery-public-data: crypto_Bitcoin at https://cloud.google.com/bigquery.

  3. 3.

    https://github.com/blockchain-etl/Bitcoin-etl.

  4. 4.

    https://www.coindesk.com/.

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Authors and Affiliations

  1. The University of Texas at Dallas, Richardson, TX, 75080, USA

    Xiao Li

  2. The University of Texas at Austin, Austin, TX, 78712, USA

    Linda Du

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  1. Xiao Li
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Correspondence to Xiao Li .

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Editors and Affiliations

  1. The University of Texas at Dallas, Richardson, TX, USA

    Weili Wu

  2. Harbin Institute of Technology, Shenzhen, China

    Hongwei Du

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Li, X., Du, L. (2021). A Multi-window Bitcoin Price Prediction Framework on Blockchain Transaction Graph. In: Wu, W., Du, H. (eds) Algorithmic Aspects in Information and Management. AAIM 2021. Lecture Notes in Computer Science(), vol 13153. Springer, Cham. https://doi.org/10.1007/978-3-030-93176-6_27

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  • DOI: https://doi.org/10.1007/978-3-030-93176-6_27

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