Bitcoin and gold investment strategy based on LSTM and Markowitz portfolio investment theory

Ruiyu Zou; Feng Chen; Zhiwen Jiang

doi:10.1117/12.2648792

27 September 2022 Bitcoin and gold investment strategy based on LSTM and Markowitz portfolio investment theory

Ruiyu Zou, Feng Chen, Zhiwen Jiang

Proceedings Volume 12345, International Conference on Applied Statistics, Computational Mathematics, and Software Engineering (ASCMSE 2022); 123451M (2022) https://doi.org/10.1117/12.2648792
Event: 2022 International Conference on Applied Statistics, Computational Mathematics, and Software Engineering (ASCMSE 2022), 2022, Qingdao, China

Abstract

Bitcoin, as a new mean of circulation, has a great impact on gold market. The investment of Bitcoin and Gold has recently attracted intensive attention from financial institutions, and the capital markets. This paper proposes an investment strategy based on Title C of the 2022 Mathematical Contest. This paper establishes an LSTM time series forecasting model. After data processing and training with indicators such as MACD as features, a forecasting model and the predicted data are obtained. For the decision strategy, this paper builds a model that seeks the maximum return as well as the minimum risk based on Markowitz portfolio investment theory and Sharpe ratio. Calculated by genetic algorithm, the final return are calculated to be 207,612.96 USD.

Citation Download Citation

Ruiyu Zou, Feng Chen, and Zhiwen Jiang "Bitcoin and gold investment strategy based on LSTM and Markowitz portfolio investment theory", Proc. SPIE 12345, International Conference on Applied Statistics, Computational Mathematics, and Software Engineering (ASCMSE 2022), 123451M (27 September 2022); https://doi.org/10.1117/12.2648792

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