Towards a New MI-Driven Methodology for Predicting the Prices of Cryptocurrencies

Forecasting the price of cryptocurrencies is a notoriously hard and significant problem, due to the rapid market growth and high volatility. In this article, we propose a methodology for predicting future values of cryptocurrency exchange rates by developing a Non-linear Autoregressive with Exogenous Inputs (NARX) prediction model that uses the most adequate external information. The exogenous variables considered are historical values of the exchange rate and a series of technical indicators. The selection of the most relevant external inputs is based on the computation of the mutual information indicator and estimated using the k-nearest neighbor method. The methodology employs a fine-tuned Long Short-Term Memory (LSTM) neural network as the regressor. We have used quantitative and trend accuracy measures to compare the proposed method against other state-of-the-art LSTM-based models. In addition, regarding the input selection process, the proposed approach was compared against the most commonly used one, which is based on the cross-correlation coefficient. A long series of experiments and statistical analyses proved that the proposed methodology is highly accurate and the resulting model outperforms the state-of-the-art LSTM-based models.