Research on the Trading Strategy Model Between Gold and Bitcoin
DOI:
https://doi.org/10.54691/bcpbm.v24i.1513Keywords:
Trading strategy; autoregressive integrated moving average (ARIMA) model; Apriori algorithm; MATLAB.Abstract
In this paper, we build an autoregressive integrated moving average (ARIMA) model and analyze the short-term trends of the gold price (GP) and bitcoin price (BCP) based on historical data. In addition, we use MATLAB to perform statistics and analysis on the data, find that the probability of continuous depreciation or appreciation after day 5 decreases exponentially, and find the maximum and minimum fluctuations. Further, we build a trading strategy model that uses the Apriori algorithm to calculate the number of subsets where prices have risen or fallen for 5 consecutive days. Finally, we perform a sensitivity analysis on the established model.
Downloads
References
A. H. Dyhrberg, Bitcoin, gold and the dollar–A GARCH volatility analysis, Finance Research Letters, 2016, 85-92.
A. Hayes, Autoregressive Integrated moving average (ARIMA). Investopedia. 2022, from https://www.investopedia.com/terms/a/autoregressive-integrated-moving-average-arima.asp
N. Reiff, Gold vs. bitcoin: Which is better? 2022, from https://www.investopedia.com/news/should-you-buy-gold-or-bitcoin/
C. W. Su, M. Qin, R. Tao, X. Zhang, Is the status of gold threatened by Bitcoin? Economic research-Ekonomska istraživanja, 2021, 33 (1), 420-437.
T. I. Team, How does the performance of the stock market affect individual businesses? 2022, from https://www.investopedia.com/ask/answers/042215/how-does-performance-stock-market-affect-individual-businesses.asp
Downloads
Published
Issue
Section
