Betting on bitcoin: a profitable trading between directional and shielding strategies
| Autor: | Antonio Luciano Martire, Roberto De Marchis, Mario Marino, Paolo De Angelis, Immacolata Oliva |
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| Přispěvatelé: | De Angelis, Paolo, De Marchis, Roberto, Mario, Marino, Martire, Antonio Luciano, Oliva, Immacolata, Marino, Mario, Martire Antonio, Luciano |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Cryptocurrencies
050208 finance Process (engineering) 05 social sciences Bitcoin Contract for difference Long short-term memory Trading strategy Cryptocurrencie Investment (macroeconomics) 01 natural sciences 010305 fluids & plasmas Microeconomics Recurrent neural network 0502 economics and business 0103 physical sciences Economics General Economics Econometrics and Finance Finance Public finance |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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