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

Abstract

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.