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Table 2 Initial input set for each cryptocurrency

From: Forecasting and trading cryptocurrencies with machine learning under changing market conditions

Variable Description Diff. Lags
Exchange trading information
Returns Logarithmic returns of bitcoin, ethereum and litecoin computed using closing prices in USD. These prices are volume weighted average prices (VWAP) considering the most important online exchanges No 1–7
Volume Trading volume, denominated in USD, in the most important online exchanges No 1
Capitalization Market capitalization, denominated in USD, computed as the multiplication of the reference price by a rough estimation of the number of circulating units of each cryptocurrency Yes 1
Relative price change Proxy for daily volatility, computed using daily high and low prices in USD (Eq. 1) No 1
Parkinson’s volatility Proxy for daily volatility, computed using daily high and low prices in USD (Eq. 2) No 1–7
Blockchain information
On-chain volume Total value of outputs on the blockchain, denominated in USD No 1
Adjusted on-chain volume On-chain transaction volume after heuristically filtering the non-meaningful economic transactions No 1
Median value Median value in USD per transaction No 1
Number of transactions Number of transactions on the public blockchain Yes 1
New coins Number of new coins created No 1
Total fees Total fees payed to use the network in native currency No 1
Median fees Median fee in native currency per transaction No 1
Active addresses Number of unique active addresses in the network Yes 1
Average difficulty Mean difficulty of finding a hash that meets the protocol-designated requirement, i.e., the difficulty of finding a new block Yes 1
Number of blocks Number of new blocks that were included in the main chain Yes 1
Block size Mean size in bytes of all blocks Yes 1
Number of payments Number of recipients of the transactions, which can be more than one per transaction given the possibility of payment batching Yes 1
Deterministic variables
Daily dummies Seven daily dummies. One for each day-of-the-week No -
  1. This table lists the input set for each cryptocurrency, composed of 50 variables: 31 obtained from exchange trading information, 12 obtained from blockchain information, and 7 day-of-the-week dummies. All these variables have a daily frequency time-stamped at 00:00:00 UTC of the next day. The column “Diff” indicates if the variable was used in levels or was differentiated