Hierarchical Clustering as a Dimension Reduction Technique in the Markowitz Portfolio Optimization Problem

Poletaev, Anatoliy Yurievich; Спиридонова, Елена Михайловна

doi:10.3103/s0146411621070270

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Figure 3 Gold and Bitcoin Price Fluctuations Between 2016 An...1

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2022

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“…In practice, when making a daily trading strategy, we can only get data up to that day [8]. It means we cannot use the all the data in this 5-year period to make a perfect regression and use it to make a daily strategy.…”

Section: Figure 3 Gold and Bitcoin Price Fluctuations Between 2016 An...mentioning

confidence: 99%

Research on Portfolio Model Based on LSTMIS-AMTM and Improved Markowitz

Bi¹

2022

HSET

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With the development of ﬁnancial market, portfolio investment has become a new hotspot in the ﬁeld of quantitative investment. We develop a model to propose the best strategy of gold and bitcoin portfolio investment. We ﬁrst use LSTMIS to predict the value of gold and bitcoin with input sequence consisting of last 30 days data. Then we use the predicted data and the mean value of last 5 days as long- and short-term moving average input of AMTM model respectively, hence judging whether to buy or sell. Then we improve and modify the existing Markowitz portfolio model by treating gold and bitcoin as two diﬀerent stocks and completing the matching of the two through the model, so as to make quantitative investments and reduce the risk while satisfying a higher rate of return.

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Section: Figure 3 Gold and Bitcoin Price Fluctuations Between 2016 An...mentioning

confidence: 99%