Research on Optimal Investment Strategy Combination Based on ARIMA Model and mean-variance analysis -- Taking Gold and Bitcoin assets as examples

Benchen Liu

doi:10.54097/hbem.v10i.8111

Authors

Benchen Liu

DOI:

https://doi.org/10.54097/hbem.v10i.8111

Keywords:

ARIMA Model; Mean-variance Analysis; Investment Strategy Portfolio.

Abstract

Gold and Bitcoin are popular trading products in today's trading market. In order to build a trading portfolio that maximizes returns, the prices of two trading products need to be predicted first. This article utilizes ARIMA to deal with the non-stationarity and predict the future prices of gold and bitcoin. In this article, the choice of parameters is ARIMA (4, 1, 4) for both bitcoin and gold. To find the best timing to sell and buy the two assets, the article first rate them with well-designed rating system by three important factors: Changes in value, Moving averages, and Bias. Then based on these factors, the model further linearly composes the indicator for risk and trend. By utilizing the information, the model gets with the main factor to make trading decisions.

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