Investment study of gold and bitcoin based on time series forecasting models

Abstract

Since investment products are subject to many influences, there is a great deal of uncertainty about their direction. Therefore, people try to predict their price trends by various methods to develop their own investment strategies. We predict the movement of gold and bitcoin by building mathematical models and develop investment strategies to profit. We build a price prediction model for bitcoin and gold. Then, based on the price prediction model, we built an investment model that considers investment commissions, returns and risks to maximize investment returns. Finally, we evaluated the model and proved that the model provides the best investment strategy. Using this model, with an initial capital of $1,000, a gold trading rate of 1%, and a bitcoin trading rate of 2%, our mathematical model achieves an annual asset appreciation of over 250% for a final return of $103,191 over a five-year period starting on September 11, 2016 and ending on September 10, 2021.