Comprehensive trading strategy of gold and bitcoin based on ARIMA-GARCH model

Yujie Xiang

doi:10.1117/12.2653485

8 December 2022 Comprehensive trading strategy of gold and bitcoin based on ARIMA-GARCH model

Yujie Xiang

Proceedings Volume 12474, Second International Symposium on Computer Technology and Information Science (ISCTIS 2022); 1247416 (2022) https://doi.org/10.1117/12.2653485
Event: Second International Symposium on Computer Technology and Information Science (ISCTIS 2022), 2022, Guilin, China

Abstract

This paper uses ARIMA-GARCH model to predict the prices of gold and bitcoin from 9/10/2016 to 9/11/2021, and fully analyzes the transaction date and constructs a price prediction model based on ARIMA-GARCH model, which can accurately predict the short-term price fluctuations in the future. When the transaction commission increases, the investor’s return decreases, but the gap between the investor’s return and the basic investment return gradually shortens. According to the official data in this thesis, the simulated transaction finally changed 1000 dollars into more than 9700 dollars, which performs well in the actual market.

Citation Download Citation

Yujie Xiang "Comprehensive trading strategy of gold and bitcoin based on ARIMA-GARCH model", Proc. SPIE 12474, Second International Symposium on Computer Technology and Information Science (ISCTIS 2022), 1247416 (8 December 2022); https://doi.org/10.1117/12.2653485

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