Forecasting the Returns of Cryptocurrency: A Model Averaging Approach
Bibliographic record
Abstract
This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies’ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive distributed lag (ARDL) model using several popular penalized least squares estimators to explain the cryptocurrencies’ returns. We further introduce a novel model averaging approach or the shrinkage Mallows model averaging (SMMA) estimator for forecasting. First, we find that the returns for most cryptocurrencies are sensitive to volatilities from major financial markets. The returns are also prone to the changes in gold prices and the Forex market’s current and lagged information. Then, when forecasting cryptocurrencies’ returns, we further find that an ARDL(p,q) model estimated by the SMMA estimator outperforms the competing estimators and models out-of-sample.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".