{"title":"基于黄金和比特币价格实时预测的最优投资组合方法","authors":"Zhongqi Miao, Wenxuan Huang","doi":"10.1080/21642583.2022.2096149","DOIUrl":null,"url":null,"abstract":"Aiming at the portfolio problem of gold and bitcoin with a given linear trading commission, this paper puts forward the stage implementation forecast and optimal portfolio model. In the aspect of data prediction, SMA is used to predict the initial data, LSTM is used to predict the price trend of long-term data, and daily updated real-time price data is predicted. Considering the risk aversion of investors, the heuristic algorithm is used to solve the daily trading strategy of maximizing utility from September 12th, 2016 to September 12th, 2021. The simulation analysis of the sliding window shows that the algorithm can realize reasonable prediction, which verifies the effectiveness of the algorithm.","PeriodicalId":46282,"journal":{"name":"Systems Science & Control Engineering","volume":"10 1","pages":"653 - 661"},"PeriodicalIF":3.2000,"publicationDate":"2022-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"An optimal portfolio method based on real time prediction of gold and bitcoin prices\",\"authors\":\"Zhongqi Miao, Wenxuan Huang\",\"doi\":\"10.1080/21642583.2022.2096149\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Aiming at the portfolio problem of gold and bitcoin with a given linear trading commission, this paper puts forward the stage implementation forecast and optimal portfolio model. In the aspect of data prediction, SMA is used to predict the initial data, LSTM is used to predict the price trend of long-term data, and daily updated real-time price data is predicted. Considering the risk aversion of investors, the heuristic algorithm is used to solve the daily trading strategy of maximizing utility from September 12th, 2016 to September 12th, 2021. The simulation analysis of the sliding window shows that the algorithm can realize reasonable prediction, which verifies the effectiveness of the algorithm.\",\"PeriodicalId\":46282,\"journal\":{\"name\":\"Systems Science & Control Engineering\",\"volume\":\"10 1\",\"pages\":\"653 - 661\"},\"PeriodicalIF\":3.2000,\"publicationDate\":\"2022-07-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Systems Science & Control Engineering\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/21642583.2022.2096149\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"AUTOMATION & CONTROL SYSTEMS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Systems Science & Control Engineering","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/21642583.2022.2096149","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
An optimal portfolio method based on real time prediction of gold and bitcoin prices
Aiming at the portfolio problem of gold and bitcoin with a given linear trading commission, this paper puts forward the stage implementation forecast and optimal portfolio model. In the aspect of data prediction, SMA is used to predict the initial data, LSTM is used to predict the price trend of long-term data, and daily updated real-time price data is predicted. Considering the risk aversion of investors, the heuristic algorithm is used to solve the daily trading strategy of maximizing utility from September 12th, 2016 to September 12th, 2021. The simulation analysis of the sliding window shows that the algorithm can realize reasonable prediction, which verifies the effectiveness of the algorithm.
期刊介绍：
Systems Science & Control Engineering is a world-leading fully open access journal covering all areas of theoretical and applied systems science and control engineering. The journal encourages the submission of original articles, reviews and short communications in areas including, but not limited to: · artificial intelligence · complex systems · complex networks · control theory · control applications · cybernetics · dynamical systems theory · operations research · systems biology · systems dynamics · systems ecology · systems engineering · systems psychology · systems theory
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