Research on the Trading Strategy Model Between Gold and Bitcoin

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.