mlsanityData to 14 Oct 2026

Stacking with Neural network for Cryptocurrency investment

arXiv 1902.07855 ↗First posted 21 Feb 2019stat.ML cs.LG q-fin.GNcited by 1

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Abstract (arXiv)

Predicting the direction of assets have been an active area of study and a difficult task. Machine learning models have been used to build robust models to model the above task. Ensemble methods is one of them showing results better than a single supervised method. In this paper, we have used generative and discriminative classifiers to create the stack, particularly 3 generative and 6 discriminative classifiers and optimized over one-layer Neural Network to model the direction of price cryptocurrencies. Features used are technical indicators used are not limited to trend, momentum, volume, volatility indicators, and sentiment analysis has also been used to gain useful insight combined with the above features. For Cross-validation, Purged Walk forward cross-validation has been used. In terms of accuracy, we have done a comparative analysis of the performance of Ensemble method with Stacking and Ensemble method with blending. We have also developed a methodology for combined features importance for the stacked model. Important indicators are also identified based on feature importance.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 21 Feb 2019.

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