Crypto Trend Prediction Based on Wavelet Transform and Deep Learning Algorithm

Abstract

Crypto currency price prediction is one of the biggest challenges for any prediction system owing to its volatility and dependence on many factors. Artificial intelligence powered by the development of sophisticated computing technology and developments in research has opened up a wide variety of applications and new possibilities to solve complicated problems. Extraction of appropriate features and input with features affecting the output is equally important in time series prediction problems. Wavelet transform is considered an effective method to split a non-stationary signal into uncorrelated components. This work attempts to extract the advantage of wavelets to extract features from an available data set and to predict the trend of the crypto price for next 16 days using the Bi-LSTM network. Historic data of crypto currencies available in Yahoo finance through the yFinance API with the python code is used as the primary data for this work. Due to the gaining importance of SHIB crypto due to its multiplication of value from its start, we have taken SHIB trend analysis as a case study with the use of a data set provided by Yahoo Finance API. The novelty of the proposed system lies largely on the combination of wavelet and deep learning system to improve the performance measures. The proposed systems evaluates the wavelet transform coefficients of the historic data available from the Yahoo Finance API and feed the wavelet transform values to the input of Bi-LSTM network to predict the wavelet transform coefficients for the next 16 days. Finally an inverse wavelet transform is used to get the price of the crypto currency for next 16 days. The results obtained shows that the model was able to estimate the trend in crypto price. The trend analysis shows whether there is an increase or decrease of prices in upcoming days and this could be useful to invest or to withdraw the funds to improve the returns. The proposed scheme resulted in lower Mean Square Error (MSE), Mean Average Error (MAE) and Root Mean Square Error (RMSE) compared with the currently available methods. The method could be useful for trend analysis of other crypto currencies as well. Though it is practically impossible to get the trend analysis from the price and volume history alone, the proposed scheme gives a reasonable estimate of the trend of the crypto price. The work may be extended in future to applications like prediction of agricultural product price, variation in climatic conditions, and availability of certain agricultural products like Onion in the market.