Wavelet transform and Deep Weight Averaging model for price and illiquidity prediction cryptocurrencies using high-dimensional features

Cryptocurrencies are alternative payment methods that are created using encrypted algorithms. Encryption technologies mean that cryptocurrencies act as both a currency and a virtual accounting system. The global crypto market value is \$2.9 trillion. Hence, it requires high investment requirements. One of the challenging issues in cryptocurrencies is illiquidity. Due to behavioural chaos in the market, some currencies have severe dumps and pumps, which cause concerns for investors. This paper deals with price prediction and illiquidity prediction (converting one asset to another while maintaining its value). The proposed Wavelet Deep average model uses a combination of Wavelet transform and average deep learning models for the final prediction. This model uses the hash rate information of currencies as the main inputs. Then, it achieves the selection of a subset of features using a Random Forest(RF). The selected features are designed by a Wavelet and are considered as the input to the deep network. Four currencies, BTC, Dogecoin, Ethereum(ETH), and Bitcoin Cash(BCH), were considered for model evaluation. In Bitcoin prediction, the lowest MAE for price prediction and illiquidity was achieved, which was 1.19 and 1.49, respectively. Also, the proposed model achieved MAE of 1.99, 3.69, and 2.99 for the illiquidity of three currencies Dogecoin, ETH, and BCH. The implementation codes are available in