Author(s)

Meixiang Zhai ¹, Keming Chen ¹, Yana Wang ¹, Xiaojun Men ²

Affiliation(s)

¹ School of Chemical Engineering, North China University of Science and Technology, Tangshan, Hebei, 063210, China
² School of Science, North China University of Science and Technology, Tangshan, Hebei, 063210, China

Corresponding Author

ABSTRACT

This paper uses AIRMA model to make short-term price prediction. In order to avoid the error of long-term prediction, the SAM-GDBT model was established, and the trading strategy was obtained by comparing the importance values of characteristics of buying and selling behaviors at different times. Further, residual white noise test was carried out for the above models, and compared with other predictional models such as the limit tree (Extra) model. This paper adopts the way of adjusting commission to reflect the change of transaction cost. The increase of transaction cost will naturally affect the buying tendency of traders and the transaction proportion.

KEYWORDS

CITE THIS PAPER

Meixiang Zhai, Keming Chen, Yana Wang, Xiaojun Men, Design of currency portfolio strategy based on ARIMA-SAM-GDBT. Financial Engineering and Risk Management (2022) Vol. 5: 122-128. DOI: http://dx.doi.org/10.23977/ferm.2022.050315.

REFERENCES

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