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Forecasting Bitcoin Price During Covid-19 Pandemic Using Prophet and ARIMA: An Empirical Research

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Intelligent Systems Design and Applications (ISDA 2022)

Part of the book series: Lecture Notes in Networks and Systems ((LNNS,volume 717))

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Abstract

Bitcoin and other cryptocurrencies are the alternative and speculative digital financial assets in today's growing fintech economy. Blockchain technology is essential for ensuring ownership of bitcoin, a decentralized technology. These coins display high volatility and bubble-like behavior. The widespread acceptance of cryptocurrencies poses new challenges to the corporate community and the general public. Currency market traders and fintech researchers have classified cryptocurrencies as speculative bubbles. The study has identified the bitcoin bubble and its breaks during the COVID-19 pandemic. From 1st April 2018 to 31st March 2021, we used high-frequency data to calculate the daily closing price of bitcoin. The prophet model and Arima forecasting methods have both been taken. We also examined the explosive bubble and found structural cracks in the bitcoin using the ADF, RADF, and SADF tests. It found five multiple breaks detected from 2018 to 2021 in bitcoin prices. ARIMA(1,1,0) fitted the best model for price prediction. The ARIMA and Facebook Prophet model is applied in the forecasting, and found that the Prophet model is best in forecasting prices.

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Authors and Affiliations

  1. Department of Commerce, CHRIST (Deemed to Be University), Central Campus, Bangalore, India

    Chavan Rajkumar Dhaku

  2. Department of Professional Studies, CHRIST (Deemed to be University), Central Campus, Bangalore, India

    Senthil Kumar Arumugam

Authors
  1. Chavan Rajkumar Dhaku
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  2. Senthil Kumar Arumugam
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Corresponding author

Correspondence to Chavan Rajkumar Dhaku .

Editor information

Editors and Affiliations

  1. Faculty of Computing and Data Science, FLAME University, Pune, Maharashtra, India

    Ajith Abraham

  2. Center for Smart Computing Continuum, Burgenland, Austria

    Sabri Pllana

  3. University of Bari, Bari, Italy

    Gabriella Casalino

  4. University of Jinan, Jinan, Shandong, China

    Kun Ma

  5. Department of Computer Science and Engineering, Thapar Institute of Engineering and Technology, Patiala, Punjab, India

    Anu Bajaj

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Dhaku, C.R., Arumugam, S.K. (2023). Forecasting Bitcoin Price During Covid-19 Pandemic Using Prophet and ARIMA: An Empirical Research. In: Abraham, A., Pllana, S., Casalino, G., Ma, K., Bajaj, A. (eds) Intelligent Systems Design and Applications. ISDA 2022. Lecture Notes in Networks and Systems, vol 717. Springer, Cham. https://doi.org/10.1007/978-3-031-35510-3_46

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