암호화폐 종가 예측 성능과 입력 변수 간의 연관성 분석
Understanding the Association Between Cryptocurrency Price Predictive Performance and Input Features
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초록
최근 암호화폐가 많은 주목을 받음에 따라 암호화폐의 종가 예측 연구들이 활발히 진행되고 있다. 특히 딥 러닝 모델을 적용시켜 예측 성능을높이려는 연구들이 지속되고 있다. 딥 러닝 모델 중 시계열 데이터에서 높은 예측 성능을 보이는 LSTM (Long Short-Term Memory) 모델이 다각도로응용되고 있으나 변동성이 큰 암호화폐 종가 데이터에서는 낮은 예측 성능을 보인다. 이를 해결하기 위해 새로운 입력 변수를 찾아내고, 이를사용하는 종가 예측 연구가 수행되고 있다. 그러나 딥 러닝 기반의 암호화폐 종가 예측에 사용되는 데이터들의 각 입력 변수들이 예측 성능에미치는 영향력이나 학습에 효율적인 입력 변수들의 조합에 관한 연구 사례가 부족한 실정이다. 따라서 본 논문에서는 Bitcoin과 Ethereum을 포함한6가지 암호화폐의 최근 동향 자료를 수집하였고, 통계와 딥 러닝을 통해 입력 변수들이 암호화폐 종가 예측에 미치는 영향력을 분석한다. 실험결과 모든 암호화폐의 종가 예측 성능 평가에서 종가 변동률을 제외한 개장가, 고가, 저가, 거래량, 종가를 조합했을 때 가장 우수한 성능을 보였다.
Abstract
Recently, cryptocurrency has attracted much attention, and price prediction studies of cryptocurrency have been actively conducted. Especially, efforts to improve the prediction performance by applying the deep learning model are continuing. LSTM (Long Short-TermMemory) model, which shows high performance in time series data among deep learning models, is applied in various views. However,it shows low performance in cryptocurrency price data with high volatility. Although, to solve this problem, new input features werefound and study was conducted using them, there is a lack of study on input features that drop predictive performance. Thus, in thispaper, we collect the recent trends of six cryptocurrencies including Bitcoin and Ethereum and analyze effects of input features on thecryptocurrency price predictive performance through statistics and deep learning. The results of the experiment showed that cryptocurrencyprice predictive performance the best when open price, high price, low price, volume and price were combined except for rate of closingprice fluctuation.
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