An optimal portfolio method based on real time prediction of gold and bitcoin prices
Aiming at the portfolio problem of gold and bitcoin with a given linear trading commission, this paper puts forward the stage implementation forecast and optimal portfolio model. In the aspect of data prediction, SMA is used to predict the initial data, LSTM is used to predict the price trend of lon...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-12-01
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| Series: | Systems Science & Control Engineering |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/21642583.2022.2096149 |
| _version_ | 1818469955850469376 |
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| author | Zhongqi Miao Wenxuan Huang |
| author_facet | Zhongqi Miao Wenxuan Huang |
| author_sort | Zhongqi Miao |
| collection | DOAJ |
| description | Aiming at the portfolio problem of gold and bitcoin with a given linear trading commission, this paper puts forward the stage implementation forecast and optimal portfolio model. In the aspect of data prediction, SMA is used to predict the initial data, LSTM is used to predict the price trend of long-term data, and daily updated real-time price data is predicted. Considering the risk aversion of investors, the heuristic algorithm is used to solve the daily trading strategy of maximizing utility from September 12th, 2016 to September 12th, 2021. The simulation analysis of the sliding window shows that the algorithm can realize reasonable prediction, which verifies the effectiveness of the algorithm. |
| first_indexed | 2024-04-13T21:31:32Z |
| format | Article |
| id | doaj.art-5a7b51ddc9474c0faade768a2a71914e |
| institution | Directory Open Access Journal |
| issn | 2164-2583 |
| language | English |
| last_indexed | 2024-04-13T21:31:32Z |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Systems Science & Control Engineering |
| spelling | doaj.art-5a7b51ddc9474c0faade768a2a71914e2022-12-22T02:29:08ZengTaylor & Francis GroupSystems Science & Control Engineering2164-25832022-12-0110165366110.1080/21642583.2022.2096149An optimal portfolio method based on real time prediction of gold and bitcoin pricesZhongqi Miao0Wenxuan Huang1College of Mathematics and Statistics, Chongqing University, Chongqing, People's Republic of ChinaSchool of Big Data & Software Engineering, Chongqing University, Chongqing, People's Republic of ChinaAiming at the portfolio problem of gold and bitcoin with a given linear trading commission, this paper puts forward the stage implementation forecast and optimal portfolio model. In the aspect of data prediction, SMA is used to predict the initial data, LSTM is used to predict the price trend of long-term data, and daily updated real-time price data is predicted. Considering the risk aversion of investors, the heuristic algorithm is used to solve the daily trading strategy of maximizing utility from September 12th, 2016 to September 12th, 2021. The simulation analysis of the sliding window shows that the algorithm can realize reasonable prediction, which verifies the effectiveness of the algorithm.https://www.tandfonline.com/doi/10.1080/21642583.2022.2096149Trend predictionportfolio investmentutility maximization |
| spellingShingle | Zhongqi Miao Wenxuan Huang An optimal portfolio method based on real time prediction of gold and bitcoin prices Systems Science & Control Engineering Trend prediction portfolio investment utility maximization |
| title | An optimal portfolio method based on real time prediction of gold and bitcoin prices |
| title_full | An optimal portfolio method based on real time prediction of gold and bitcoin prices |
| title_fullStr | An optimal portfolio method based on real time prediction of gold and bitcoin prices |
| title_full_unstemmed | An optimal portfolio method based on real time prediction of gold and bitcoin prices |
| title_short | An optimal portfolio method based on real time prediction of gold and bitcoin prices |
| title_sort | optimal portfolio method based on real time prediction of gold and bitcoin prices |
| topic | Trend prediction portfolio investment utility maximization |
| url | https://www.tandfonline.com/doi/10.1080/21642583.2022.2096149 |
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