Author(s)

Xiaoyu Miao, Fanqi Xu, Yunpeng Xie

Corresponding Author

Xiaoyu Miao

ABSTRACT

There are considerable risks in the entire financial trading market. However, in the investment capital market line, the risk and return of financial transactions are usually proportional. To this end, market traders often buy and sell volatile assets to maximize total returns. In this paper, a decision-making model for a portfolio of three assets, cash, gold, and bitcoin, is constructed based on the daily trading prices so far, and the investment value of the assets is successfully determined, based only on the price of the day. The data gives the optimal daily trading strategy, which is very sensitive to transaction costs based on calculations.

KEYWORDS

Quantitative trading, ARIMA model, dynamic programming, price forecasting