A price prediction model for gold and Bitcoin based on Long Short-Term Memory

Conghong He; Tao Zhong; Yan Wang

doi:10.54097/hbem.v4i.3546

Authors

Conghong He
Tao Zhong
Yan Wang

DOI:

https://doi.org/10.54097/hbem.v4i.3546

Keywords:

LSTM, dynamic-linear programming, Entropy weight method

Abstract

We built a price prediction model for gold and Bitcoin based on LSTM. For the first 30 days, we adopted a wait-and-see strategy without any transactions. Starting from the 31st day, we first trained the model with the data of all past trading days. Then use the trading data of the past 30 days to forecast the market price for the next 6 days. Then, we established a trading strategy model based on linear programming and made this week's trading decisions based on the predicted value of the market price in the next 6 days. Finally, we plotted the yield curve based on asset value.

Downloads

Download data is not yet available.

References

Zhang Mengyuan. Robust optimization-based portfolio model for insurance funds [J]. Journal of Capital Normal University (Natural Science Edition), 2022,43(05):1-7. DOI:10.19789/j.1004-9398.2022.05.001.

Wang Han, Shi Guoping, Dong Jianwei. A study on the impact of indirect linkage of dual competitors and threshold revenue on firm innovation [J/OL]. Journal of Management:1-11 [2022-10-16]. http://kns.cnki.net/kcms/detail/42.1725.c.20221010.1835.004.html

Luo Last night. An empirical study of multi-factor stock selection model and investment effect based on industry rotation strategy [J]. Science and Technology Information, 2022, 20(20): 148-152. DOI: 10.16661/j.cnki.1672-3791.2204-5042-6602.

Jiao S, Huang S-G. Portfolio research based on financial index PCA[J]. China Price,2022(10):97-99+103.

Liu Minyue. A value analysis of optimal portfolio based on a single index model[J]. China Price, 2022(10): 93-96.

Wang Xiao. With gold assets in hand, hyperinflation and deflation can be resisted [N]. China Gold News, 2022-09-30(005). DOI: 10.38298/n.cnki.nzghj.2022.001488.

Yang S. B. High-dimensional covariance estimation based on factor shrinkage methods [J/OL]. The practice and understanding of mathematics: 1-10 [2022-10-16]. http://kns.cnki.net/kcms/detail/ 11.2018.O1.20220927.1243.006.html

Xiang, Yuangao, Luo, Jinhui. Governance effects of common shareholders: a review of the literature and research outlook [J/OL]. Foreign Economics and Management:1-16 [2022-10-16]. DOI: 10.16538/j.cnki. fem.20220905.202.

Liu G.Y., Bao Y. Y., Lin J. K.. LASSO-CDRD covariance matrix prediction model based on financial high-frequency data[J]. Statistical Research, 2022, 39(09): 145-160. DOI: 10.19343/j.cnki.11-1302/c. 2022.09. 011.

S. Y. Huang. Reconstructing the path of investor appropriateness system under the smart investment care model[J]. Fujian Finance,2022(09):61-66.

Li Yanni, Han Jing, Huang Long. A review of research on environmental climate risk assessment methods[J]. Contemporary Financial Studies,2022,5(09):83-92.

Tang J. Sui, Fang W. L. A multi-period empirical study of bond portfolio performance attribution[J]. Operations Research and Management,2022,31(09):183-188.

Cui X, Wang CHF, Fang ZM, Yao SHOUYU. What kind of market information does the turnover rate carry? --An analysis based on limited arbitrage perspective[J]. Operations Research and Management,2022,31(09):169-175+182.

Fan Zhijing. Courier giants' performance warns of global recession Holding currency may be the optimal short-term choice [N]. First Financial Daily, 2022-09-21(A05). DOI: 10.28207/n.cnki.ndycj.2022.003728.