相关论文: Cryptocurrency Portfolio Management with Deep Rein…
Portfolio optimization is essential for balancing risk and return in financial decision-making. Deep Reinforcement Learning (DRL) has stood out as a cutting-edge tool for portfolio optimization that learns dynamic asset allocation using…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
Consistent alpha generation, i.e., maintaining an edge over the market, underpins the ability of asset traders to reliably generate profits. Technical indicators and trading strategies are commonly used tools to determine when to…
Bitcoin is firmly becoming a mainstream asset in our global society. Its highly volatile nature has traders and speculators flooding into the market to take advantage of its significant price swings in the hope of making money. This work…
Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed…
Since its advent in 2009, Bitcoin, a cryptography-enabled peer-to-peer digital payment system, has been gaining increasing attention from both academia and industry. An effort designed to overcome a cluster of bottlenecks inherent in…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies are combined in a portfolio. Then portfolio…
Covariance matrices estimated from short, noisy, and non-Gaussian financial time series are notoriously unstable. Empirical evidence suggests that such covariance structures often exhibit power-law scaling, reflecting complex, hierarchical…
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today's financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim,…
Portfolio management is a fundamental problem in finance. It involves periodic reallocations of assets to maximize the expected returns within an appropriate level of risk exposure. Deep reinforcement learning (RL) has been considered a…
This study evaluates the performance of 41 machine learning models, including 21 classifiers and 20 regressors, in predicting Bitcoin prices for algorithmic trading. By examining these models under various market conditions, we highlight…
Cryptocurrencies, as decentralized digital assets, have experienced rapid growth and adoption, with over 23,000 cryptocurrencies and a market capitalization nearing \$1.1 trillion (about \$3,400 per person in the US) as of 2023. This…
The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…
This study enhances a Deep Q-Network (DQN) trading model by incorporating advanced techniques like Prioritized Experience Replay, Regularized Q-Learning, Noisy Networks, Dueling, and Double DQN. Extensive tests on assets like BTC/USD and…
Company disclosures greatly aid in the process of financial decision-making; therefore, they are consulted by financial investors and automated traders before exercising ownership in stocks. While humans are usually able to correctly…
Portfolio optimization involves determining the optimal allocation of portfolio assets in order to maximize a given investment objective. Traditionally, some form of mean-variance optimization is used with the aim of maximizing returns…
AI and data driven solutions have been applied to different fields and achieved outperforming and promising results. In this research work we apply k-Nearest Neighbours, eXtreme Gradient Boosting and Random Forest classifiers for detecting…
Modeling and managing portfolio risk is perhaps the most important step to achieve growing and preserving investment performance. Within the modern portfolio construction framework that built on Markowitz's theory, the covariance matrix of…
Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…