Research on The Comprehensive Planning Model of Gold and Bitcoin
DOI:
https://doi.org/10.54097/hset.v4i.853Keywords:
LSTM Neural Network, Sharpe Rate, Particle Swarm Optimization.Abstract
In this paper, we preprocessed the data for outliers and added the prices of gold and bitcoin to the training. At the same time, based on the price of the day, we also established a strategy model based on the Sharpe ratio and particle swarm algorithm. We established a comprehensive planning model for cash, gold, and Bitcoin through the planning process. A particle swarm algorithm simulated the optimization process, and the optimal solution was found. Finally, through the sensitivity analysis, we found that as the transaction fee increases, the number of transactions of gold and Bitcoin decreases significantly, and the value decreases.
Downloads
References
I. V. Igor, I. L. Anastasia, S. D. Alissa, A. Alain, Investment Models for Enterprise Architecture (EA) and IT Architecture Projects within the Open Innovation Concept, Journal of Open Innovation: Technology, Market, and Complexity,2021,7(1).
Wang D, Quantitative Investment Model Based on Data Mining, Revista Internacional de Métodos Numéricos para Cálculo y Diseño en Ingeniería,2020:
D. J. Fang, The current situation and development trend of deep learning in quantitative investment at home and abroad, Modern Business, 2022(01): 120-122.DOI: 10.14097/j.cnki.5392/2022.01.038.
M. O. Dra, C. H. lLcher, A probabilistically constrained extension of the integrated portfolio investment model, Energy Reports,2020,6(Supl.1):
T. Luo, N. Metawa, Intelligent algorithm of optimal investment model under stochastic interest rate and stochastic volatility, Journal of Intelligent and Fuzzy Systems,2019,37(1):
Y. W. Yi, S. L. P ing, M. B. Qi, Research on Dynamic Cointegration of Gold and Bitcoin: Based on Semiparametric MIDAS Quantile Regression Model, Systems Science and Mathematics, 2020, 40(07): 1270 -1285.
M. Kim, P. Koo. A Study on Big Data Based Investment Strategy Using Internet Search Trends, Journal of the Korean Operations Research and Management Science Society,2013,38(4):
T. Cheng, Research on quantitative investment based on Attention-LSTM deep learning method, Business News, 2021(36):155-157.
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
