Proceedings of the 2022 3rd International Conference on Modern Education and Information Management (ICMEIM 2022)

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Develop an Online Portfolio Model for Optimal Trading Strategies

Authors
Junyu Xiong1, Zhaoyi Li2, Yuyao Zhang1, Guoyan Chen3, *, Xuesong Liu3, *
1School of Information Science and Technology, Dalian Maritime University, Dalian, China
2School of Navigation, Dalian Maritime University, Dalian, China
3School of Science, Dalian Maritime University, Dalian, China
*Corresponding author. Email: chengy@dlmu.edu.cn
*Corresponding author. Email: xsliu@dlmu.edu.cn
Corresponding Authors
Guoyan Chen, Xuesong Liu
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-044-2_119How to use a DOI?
Keywords
Long Short-Term Memory; Online Portfolio Strategy; Risk assessment factors; Improved nonparametric kernel-based log optimal algorithm
Abstract

Combined with the modeling and simulation concept, this paper considers the impact of transaction costs, long and short term risks and efficiency on the portfolio. Based on the past asset prices, this paper refers to the price trend and analyzes the buying and selling risks, and establishes a long and short term memory neural network model to predict the prices of various assets in the future. An improved non-parametric kernel-based logarithmic optimal algorithm is designed to solve the optimal online portfolio strategy. The model is tested on the dataset of gold daily price from London Bullion Market Association, 9/11/2021 and Bitcoin daily price from NASDAQ, 9/11/2021. The results show that: The long short term memory neural network model predicts the known asset prices with an average root mean square error of only 1742.0421, and under the influence of Sharpe ratio of 0.8231, our algorithm can earn $214,764.78 in the future period of investment.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 3rd International Conference on Modern Education and Information Management (ICMEIM 2022)
Series
Atlantis Highlights in Social Sciences, Education and Humanities
Publication Date
27 December 2022
ISBN
978-94-6463-044-2
ISSN
2667-128X
DOI
10.2991/978-94-6463-044-2_119How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Junyu Xiong
AU  - Zhaoyi Li
AU  - Yuyao Zhang
AU  - Guoyan Chen
AU  - Xuesong Liu
PY  - 2022
DA  - 2022/12/27
TI  - Develop an Online Portfolio Model for Optimal Trading Strategies
BT  - Proceedings of the 2022 3rd International Conference on Modern Education and Information Management (ICMEIM 2022)
PB  - Atlantis Press
SP  - 947
EP  - 954
SN  - 2667-128X
UR  - https://doi.org/10.2991/978-94-6463-044-2_119
DO  - 10.2991/978-94-6463-044-2_119
ID  - Xiong2022
ER  -