Optimal Investment Strategies for Gold Bitcoin Portfolio Based on the LSTM and AHP Models

Zihao Zhu, Bozhong Zheng, Ruoxi Li

2022

Abstract

Bitcoin is the most innovative digital cryptocurrency, but its price is highly volatile and cannot maintain price stability in the event of market shocks. It is regarded as a long-term safe haven from the natural value of gold. Therefore, this research selects gold and bitcoin as a portfolio investment product to explore the optimal portfolio investment problem with given investment period, initial assets and transaction costs. This research uses the hierarchical analysis process (AHP) model to solve for the optimal investment ratio. After obtaining the investment ratio, a gold bitcoin investment decision model is established to determine the daily trading operation. And using the simulated ups and downs analysis, it is concluded that the investment proportion solved by AHP model has better investment efficiency. Later, the long-short-term memory (LSTM) model is constructed to predict the rise and fall , and the annualized interest rate is 158.85%. Finally, the sensitivity analysis of the transaction cost to the model is also carried out, and the results show that the investment ratio derived from the AHP method has some value in practical applications. The research in this paper provides some guidence for the optimal investment strategies for gold bitcoin portfolio.

Paper Citation

in Harvard Style

Zhu Z., Zheng B. and Li R. (2022). Optimal Investment Strategies for Gold Bitcoin Portfolio Based on the LSTM and AHP Models. In Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME; ISBN 978-989-758-636-1, SciTePress, pages 328-337. DOI: 10.5220/0012030300003620

in Bibtex Style

@conference{icemme22,
author={Zihao Zhu and Bozhong Zheng and Ruoxi Li},
title={Optimal Investment Strategies for Gold Bitcoin Portfolio Based on the LSTM and AHP Models},
booktitle={Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME},
year={2022},
pages={328-337},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012030300003620},
isbn={978-989-758-636-1},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME
TI - Optimal Investment Strategies for Gold Bitcoin Portfolio Based on the LSTM and AHP Models
SN - 978-989-758-636-1
AU - Zhu Z.
AU - Zheng B.
AU - Li R.
PY - 2022
SP - 328
EP - 337
DO - 10.5220/0012030300003620
PB - SciTePress