Bitcoin Return Dynamics Volatility and Time Series Forecasting
Bibliographic record
Abstract
Bitcoin and other cryptocurrency returns show higher volatility than equity, bond, and other asset classes. Increasingly, researchers rely on machine learning techniques to forecast returns, where different machine learning algorithms reduce the forecasting errors in a high-volatility regime. We show that conventional time series modeling using ARMA and ARMA GARCH run on a rolling basis produces better or comparable forecasting errors than those that machine learning techniques produce. The key to achieving a good forecast is to fit the correct AR and MA orders for each window. When we optimize the correct AR and MA orders for each window using ARMA, we achieve an MAE of 0.024 and an RMSE of 0.037. The RMSE is approximately 11.27% better, and the MAE is 10.7% better compared to those in the literature and is similar to or better than those of the machine learning techniques. The ARMA-GARCH model also has an MAE and an RMSE which are similar to those of ARMA.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.008 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.002 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 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 source (direct Gemma or distilled Codex), 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".