A Hybrid Ensemble Framework Combining Transformer Networks, CNN-LSTM, and Prophet for Multi-Horizon Bitcoin Price Prediction Using 1-Minute Time Series Data

Bitcoin price forecasting at one-minute frequency presents significant challenges due to rapid volatility and noise in high-frequency markets. This study proposes a hybrid ensemble framework integrating a CNN-LSTM model, a Transformer architecture, and a Prophet-based component to perform multi-horizon prediction using 500,000 one-minute BTC/USD observations. The model is evaluated across 5-minute, 15-minute, and 30-minute horizons. The results show that the ensemble achieves the best performance for the 5-minute horizon with MAE = 41.565 USD, RMSE = 60.722 USD, and MAPE = 0.156. This outperforms the CNN-LSTM model (MAE = 47.838 USD) and the Transformer model (MAE = 53.733 USD). Performance decreases at the 15-minute horizon due to Transformer instability, where the ensemble reaches MAE = 269.347 USD and the Transformer reaches MAE = 530.429 USD. At the 30-minute horizon, performance stabilizes, with the ensemble producing MAE = 84.481 USD, close to the CNN-LSTM result (MAE = 84.186 USD) and better than the Transformer (MAE = 153.887 USD). These findings indicate that the hybrid ensemble is highly effective for ultra-short-term forecasting but requires horizon-specific tuning to remain stable for medium-range intervals.