Bitcoin Volatility Forecasting with a Glimpse into Buy and Sell Orders

In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest Bitcoin digital trading offices in 2016 and 2017 as well as order information. Experiments are performed to evaluate a variety of statistical and machine learning approaches.