Machine Learning the Cryptocurrency Market
20 Pages Posted: 11 Jun 2018
Date Written: May 23, 2018
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal profits. We analyse daily data for 1,681 cryptocurrencies for the period between Nov. 2015 and Apr. 2018. We show that simple trading strategies assisted by state-of-the-art machine learning algorithms outperform standard benchmarks. Our results show that non-trivial, but ultimately simple, algorithmic mechanisms can help anticipate the short-term evolution of the cryptocurrency market.
Keywords: Bitcoin, Cryptocurrency Market, Machine Learning
JEL Classification: C00, C1, E26, E42, E51, F24, J33, O17
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