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Forecasting Bitcoin closing price series using linear regression and neural networks models.

ABSTRACT: In this article we forecast daily closing price series of Bitcoin, Litecoin and Ethereum cryptocurrencies, using data on prices and volumes of prior days. Cryptocurrencies price behaviour is still largely unexplored, presenting new opportunities for researchers and economists to highlight similarities and differences with standard financial prices. We compared our results with various benchmarks: one recent work on Bitcoin prices forecasting that follows different approaches, a well-known paper that uses Intel, National Bank shares and Microsoft daily NASDAQ closing prices spanning a 3-year interval and another, more recent paper which gives quantitative results on stock market index predictions. We followed different approaches in parallel, implementing both statistical techniques and machine learning algorithms: the Simple Linear Regression (SLR) model for uni-variate series forecast using only closing prices, and the Multiple Linear Regression (MLR) model for multivariate series using both price and volume data. We used two artificial neural networks as well: Multilayer Perceptron (MLP) and Long short-term memory (LSTM). While the entire time series resulted to be indistinguishable from a random walk, the partitioning of datasets into shorter sequences, representing different price "regimes", allows to obtain precise forecast as evaluated in terms of Mean Absolute Percentage Error(MAPE) and relative Root Mean Square Error (relativeRMSE). In this case the best results are obtained using more than one previous price, thus confirming the existence of time regimes different from random walks. Our models perform well also in terms of time complexity, and provide overall results better than those obtained in the benchmark studies, improving the state-of-the-art.

SUBMITTER: Uras N

PROVIDER: S-EPMC7924725 | biostudies-literature |

REPOSITORIES: biostudies-literature

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Project description:Capacity planning of ICUs is essential for effective management of health safety, quality of patient care, and the allocation of ICU resources. Whereas ICU length of stay (LOS) may be estimated using patient information such as severity of illness scoring systems, ICU census is impacted by both patient LOS and arrival patterns. We set out to develop and evaluate an ICU census forecasting algorithm using the Multiple Organ Dysfunction Score (MODS) and the Nine Equivalents of Nursing Manpower Use Score (NEMS) for capacity planning purposes.DesignRetrospective observational study.SettingWe developed the algorithm using data from the Medical-Surgical ICU (MSICU) at University Hospital, London, Canada and validated using data from the Critical Care Trauma Centre (CCTC) at Victoria Hospital, London, Canada.PatientsAdult patient admissions (7,434) to the MSICU and (9,075) to the CCTC from 2015 to 2021.InterventionsNone.Measurements and main resultsWe developed an Autoregressive integrated moving average time series model that forecasts patients arriving in the ICU and a survival model using MODS, NEMS, and other factors to estimate patient LOS. The models were combined to create an algorithm that forecasts ICU census for planning horizons ranging from 1 to 7 days. We evaluated the algorithm quality using several fit metrics. The root mean squared error ranged from 2.055 to 2.890 beds/d and the mean absolute percentage error from 9.4% to 13.2%. We show that this forecasting algorithm provides a better fit when compared with a moving average or a time series model that directly forecasts ICU census. Additionally, we evaluated the performance of the algorithm using data during the global COVID-19 pandemic and found that the error of the forecasts increased proportionally with the number of COVID-19 patients in the ICU.ConclusionsIt is possible to develop accurate tools to forecast ICU census. This type of algorithm may be important to clinicians and managers when planning ICU capacity as well as staffing and surgical demand planning over a short time horizon.

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Forecasting Bitcoin closing price series using linear regression and neural networks models.

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