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.
Betting on bitcoin: a profitable trading between directional and shielding strategies / DE ANGELIS, Paolo; DE MARCHIS, Roberto; Marino, Mario; Martire, ANTONIO LUCIANO; Oliva, Immacolata. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - (2021). [10.1007/s10203-021-00324-z]
Betting on bitcoin: a profitable trading between directional and shielding strategies
De Angelis Paolo;De Marchis Roberto;Marino Mario;Martire Antonio Luciano;Oliva Immacolata
2021
Abstract
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.File | Dimensione | Formato | |
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DeAngelis_Betting-Bitcoin_2021.pdf
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Note: https://link.springer.com/content/pdf/10.1007/s10203-021-00324-z.pdf
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