Forcasting time series data using Gradient Boosted Decision Trees and ETS models

Gradient Boosted Decision Trees algorithm for time series forcasting using XGBoost library

Datasets

List of all dataset used for learning/research process:

• Coinbase - Bitcoin historical data | kaggle.com
• European markets data (hourly/daily) | cryptodatadownload.com
• CoinMetrics cryptocurrency data | coinmetrics.io

Useful resources, articles, tutorials:

• Gradient boosting - Wikipedia

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• XGBoost - why we should using it?
• Comparing Classical and ML Algorithms for Time Series Forecasting
• Short overview about using Decision Trees, Random Forest and Gradient Boosting for Time Series Prediction
• How (not) to use Machine Learning for time series forecasting

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• Hourly Time Series Forecasting using XGBoost - Kaggle
• Forecasting Markets using eXtreme Gradient Boosting (XGBoost)
• Predicting the number of London Fire Brigade Call outs using seasonal patterns

Future improvements

• Check efectivness of ARIMA models Kaggle notebook