Cryptocurrency Market Trends: A Machine Learning-Driven Time Series Forecasting with Twitter Sentiment Integration

Mubariz Khan; Hafeez Ur Rehman Siddiqui; Adil Ali Saleem; Muhammad Amjad Raza; Lázaro Javier Hernández Rodríguez; Pablo Herrero García; Isabel de la Torre Díez

Resumen:

Accurate forecasting of cryptocurrency prices remains an open challenge because classical statistical models cannot capture the non-linear, sentiment-driven dynamics of these markets. This study compares three hybrid deep learning architectures—VAR-LSTM, XGBoost-LSTM, and CNN-LSTM—to determine which best forecasts Bitcoin (BTC), Ethereum (ETH), and Dogecoin (DOGE) closing prices, and to quantify the marginal predictive value of Twitter sentiment integration. Six years of hourly OHLCV data (2017–2023) are augmented with VADER-scored Twitter sentiment polarity. Each model is formulated mathematically, implemented with documented hyperparameters (epochs, dropout, units;), and trained for one-step-ahead next-hour price prediction. Performance is measured by RMSE, MAE, MAPE, R 2 , and Directional Accuracy (DA) across five random seeds, with paired Wilcoxon significance tests. XGBoost-LSTM achieves the best performance (RMSE = 81.547, R 2 = 0.9254, DA = 80.0%), outperforming all nine literature baselines. Removing Twitter sentiment degrades DA by 14.3 percentage points ( p < 0.01 ), confirming that social media signals carry independent predictive information. Hybrid architectures consistently outperform single-model baselines; XGBoost-LSTM offers the best accuracy-to-compute ratio. VADER-enriched Twitter sentiment is a significant predictor beyond price history. Limitations include reliance on a single sentiment platform and a training window that predates several structural market events