Decisions in Economics and Finance ( IF 1.4 ) Pub Date : 2021-03-13 , DOI: 10.1007/s10203-021-00324-z Paolo De Angelis , Roberto De Marchis , Mario Marino , Antonio Luciano Martire , Immacolata Oliva
In this paper, we come up with an original trading strategy on Bitcoins. The methodology we propose is profit-oriented, and it is based on buying or selling the so-called Contracts for Difference, so that the investor’s gain, assessed at a given future time t, is obtained as the difference between the predicted Bitcoin price and an apt threshold. Starting from some empirical findings, and passing through the specification of a suitable theoretical model for the Bitcoin price process, we are able to provide possible investment scenarios, thanks to the use of a Recurrent Neural Network with a Long Short-Term Memory for predicting purposes.
中文翻译:
押注比特币:定向和屏蔽策略之间的有利可图的交易
在本文中,我们提出了关于比特币的原始交易策略。我们建议的方法以利润为导向,并且基于买卖所谓的差价合约,因此,在给定的未来时间t评估了投资者的收益,作为预测的比特币价格与适当的阈值。从一些经验发现开始,并通过适用于比特币价格过程的合适理论模型的规范,我们能够提供可能的投资方案,这要归功于使用带有长短期记忆的递归神经网络进行预测的目的。