Author(s)

Yifan Zhao, Nan Jiang, Ke Xu

Corresponding Author

Yifan Zhao

ABSTRACT

Market traders often aim to maximize total returns when they buy and sell assets with volatile prices. Gold has a long history as a trading tool and asset currency, while Bitcoin is a digital currency that has emerged in recent years. This paper proposes a novel quantitative trading decision-making model – MRAT Hybrid Model, to help traders make decisions in the gold and bitcoin markets. The model consists of three interlocking sub-models. They are the Bull and Bear Market Judgment Model (M), Investment Risk Model (R), and ARIMA Time Series Forecast Model (A). This paper finally proves the optimality of the model. Therefore, it can be concluded that the MRAT mixed model in this paper is the optimal portfolio decision model. The innovation of this paper mainly lies in the selection of indicators and the establishment of a mixed transaction investment model. The article splits the overall investment strategy model into three sub-models and couples them to form the final MRAT Hybrid Model.

KEYWORDS

MRAT Hybrid Model, Gold, Bitcoin, ARIMA, Sub-Models