Proposition and modeling analysis of two asset trading strategies of gold and bitcoin under market trading

Abstract

With the progress of economic globalization, market transactions and investments occur frequently. For a long time, two assets, gold and bitcoin, have become the research hotspot due to payment means, circulation means, storage means, value scale, and world currency. To this end, we built two models. The model I: Diversified BP neural network model. Model II: Portfolio strategy based on mean-standard deviation model. For Model I, we have to predict the future prices of gold and Bitcoin based on past data. We can regard the past price data as a time series. There are relatively mature methods for predicting future values based on time series. For Model II, with future prices predicted, we can invest. It brings up three more questions: should I buy or sell or do nothing now? Buy or sell only gold and bitcoin or both gold and bitcoin? When buying, how should the cash for gold and bitcoin be distributed? Finally, the specific investment strategy is determined by linear programming. Then, we analyzed the effect of commissions on final earnings and derived the relationship between total assets held last and commissions.