Updated on 2022/05/21

写真a

 
YOON, Jaehyun
 
Affiliation
Faculty of Political Science and Economics, School of Political Science and Economics
Job title
Assistant Professor(without tenure)

Concurrent Post

  • Faculty of International Research and Education   School of International Liberal Studies

Education

  • 2016.04
    -
    2020.11

    Waseda University   Graduate School of Economics  

  • 2012.02
    -
    2014.08

    KDI School of Public Policy and Management  

  • 2003.09
    -
    2009.06

    University of Chicago  

Degree

  • 2020.11   早稲田大学   博士

  • 2014.08   KDI School of Public Policy and Management   修士

  • 2009.06   シカゴ大学   学士

 

Research Areas

  • Economic statistics

  • Economic policy

Research Interests

  • 機械学習

  • マクロ経済

  • 経済予測

Specific Research

  • Forecasting cryptocurrency market by machine learning models

    2021  

     View Summary

    In this research, the prediction power ofthe two popular machine learning models, random forest model and gradientboosting model is compared in the case of forecasting of cryptocurrency price. Therandom forest model and gradient boosting model are well known for accurate predictionon structure data. For this research, the data of XBTUSD, which is XBT/USDperpetual contract listed on BITMEX, one of the largest cryptocurrencyexchanges in the world; XBTUSD is a derivative product that closely followsBitcoin price in the spot market. In order to compare the prediction power, thetwo models are designed to be trained with the daily data of XBTUSD price from January1, 2017 to December 31, 2021 for the first prediction. The training processincludes cross validation and grid search. The data used for the trainingincludes open, close, low, close, trading volume, and RSI (relative strengthindex) data. After the training, the two models make predictions on the next-dayprice of XBTUSD for the period from January 1, 2022 to March 31, 2022. RMSE (RootMean Square Error) and MAPE (Mean Absolute Percentage Error) are used to testthe accuracy of the two models. For the period from January 1, 2022 to March31, 2022, RMSE and MAPE for the random forest model are 2348.46 and 4.19%, andthose for the gradient boosting model are 2136.78 and 3.95%. RMSE and MAPE fromthis research suggest that the gradient boosting model has higher predictionpower than the random forest model in the case of prediction of price in cryptocurrencymarket.

 

Syllabus