C2P2: A collective cryptocurrency up/down price prediction engine

Chongyang Bai, Thomas White, Linda Xiao, Venkatramanan Siva Subrahmanian, Ziheng Zhou

Research output: Chapter in Book/Report/Conference proceedingConference contribution

9 Scopus citations

Abstract

We study the problem of predicting whether the price of the 21 most popular cryptocurrencies (according to coinmarketcap.com) will go up or down on day d, using data up to day d-1. Our C2P2 algorithm is the first algorithm to consider the fact that the price of a cryptocurrency c might depend not only on historical prices, sentiments, global stock indices, but also on the prices and predicted prices of other cryptocurrencies. C2P2 therefore does not predict cryptocurrency prices one coin at a time - rather it uses similarity metrics in conjunction with collective classification to compare multiple cryptocurrency features to jointly predict the cryptocurrency prices for all 21 coins considered. We show that our C2P2 algorithm beats out a recent competing 2017 paper by margins varying from 5.1-83% and another Bitcoin-specific prediction paper from 2018 by 16%. In both cases, C2P2 is the winner on all cryptocurrencies considered. Moreover, we experimentally show that the use of similarity metrics within our C2P2 algorithm leads to a direct improvement for 20 out of 21 cryptocurrencies ranging from 0.4% to 17.8%. Without the similarity component, C2P2 still beats competitors on 20 out of 21 cryptocurrencies considered. We show that all these results are statistically significant via a Student's t-test with p < 10^-5.

Original languageEnglish (US)
Title of host publicationProceedings - 2019 2nd IEEE International Conference on Blockchain, Blockchain 2019
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages425-430
Number of pages6
ISBN (Electronic)9781728146935
DOIs
StatePublished - Jul 2019
Event2nd IEEE International Conference on Blockchain, Blockchain 2019 - Atlanta, United States
Duration: Jul 14 2019Jul 17 2019

Publication series

NameProceedings - 2019 2nd IEEE International Conference on Blockchain, Blockchain 2019

Conference

Conference2nd IEEE International Conference on Blockchain, Blockchain 2019
Country/TerritoryUnited States
CityAtlanta
Period7/14/197/17/19

Keywords

  • Bitcoin
  • Cryptocurrency
  • Machine learning
  • Predictive modeling

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Hardware and Architecture
  • Information Systems
  • Information Systems and Management

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