Show simple item record

dc.contributor.author
Antulov-Fantulin, Nino
dc.contributor.author
Guo, Tian
dc.contributor.author
Lillo, Fabrizio
dc.date.accessioned
2020-10-28T14:03:51Z
dc.date.available
2020-10-26T11:42:57Z
dc.date.available
2020-10-28T14:03:51Z
dc.date.issued
2020
dc.identifier.uri
http://hdl.handle.net/20.500.11850/447897
dc.description.abstract
We study the problem of the intraday short-term volume forecasting in cryptocurrency exchange markets. The predictions are built by using transaction and order book data from different markets where the exchange takes place. Methodologically, we propose a temporal mixture ensemble model, capable of adaptively exploiting, for the forecasting, different sources of data and providing a volume point estimate, as well as its uncertainty. We provide evidence of the outperformance of our model by comparing its outcomes with those obtained with different time series and machine learning methods. Finally, we discuss the difficulty of volume forecasting when large quantities are abruptly traded.
en_US
dc.language.iso
en
en_US
dc.publisher
Cornell University
en_US
dc.title
Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets
en_US
dc.type
Working Paper
dc.date.published
2020-05-19
ethz.journal.title
arXiv
ethz.pages.start
2005.09356
en_US
ethz.size
26 p.
en_US
ethz.identifier.arxiv
2005.09356
ethz.publication.place
Ithaca, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02045 - Dep. Geistes-, Sozial- u. Staatswiss. / Dep. of Humanities, Social and Pol.Sc.::03784 - Helbing, Dirk / Helbing, Dirk
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02045 - Dep. Geistes-, Sozial- u. Staatswiss. / Dep. of Humanities, Social and Pol.Sc.::03784 - Helbing, Dirk / Helbing, Dirk
en_US
ethz.date.deposited
2020-10-26T11:43:23Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2020-10-28T14:04:03Z
ethz.rosetta.lastUpdated
2020-10-28T14:04:03Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Temporal%20mixture%20ensemble%20models%20for%20intraday%20volume%20forecasting%20in%20cryptocurrency%20exchange%20markets&rft.jtitle=arXiv&rft.date=2020&rft.spage=2005.09356&rft.au=Antulov-Fantulin,%20Nino&Guo,%20Tian&Lillo,%20Fabrizio&rft.genre=preprint&
 Search print copy at ETH Library

Files in this item

FilesSizeFormatOpen in viewer

There are no files associated with this item.

Publication type

Show simple item record