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 | - |