Prediction of the Best Portfolio for Bitcoin and Gold based on the ARIMA Model

Abstract

With the prosperity of the financial market, more and more people are involved in securities trading. How to combine investment in bitcoin and gold to achieve the highest profit is one of the issues that market traders think about. To solve this problem, we build a model that predicts future prices in order to better help investors. We constructed an ARIMA model through differential stationarity processing, AEC, white noise test and other methods, and used the data of the current day and the previous day to predict the price of the next day. At the same time, we use the model to predict the average for the next N days. If it is predicted that the price of the asset will decrease in the future, it will be sold on the same day. If the price of the asset will increase in the future, and the income obtained is greater than the transaction cost and the expected income of the investor, the purchase will continue until the end. Last until the last day $323841.52. Finally, it can be verified that the accuracy of the ARIMA model is the highest by comparing other mainstream machine learning models. In other words, the ARIMA model is the best strategy for this problem.