A Quantitative Method Using ARIMA Model

Jinyu Zhou ； Reziye．aierken ； Qinyu Li

《Frontiers in Economics and Management》 3卷6期 (2022/06) Pp. 600-609

https://doi.org/10.6981/FEM.202206_3(6).0069

摘要

Market traders usually buy or sell volatile assets. In this study, we focus on the trading strategies of gold and bitcoin. We build a model using only the prices of gold and bitcoin over a five-year trading period. In addition, at the beginning of a transaction, we can only obtain asset price data from the first trading day, and do not consider other important but not completely transparent information in the market such as transaction volume and policies. This restriction simplifies the trading strategy to a certain extent, but it also poses a great test for the accuracy of the trading strategy. Fortunately, the trading strategy we have established has proved to be a perfect pass, sharing profit with investors higher than other funds in the market.

關鍵字

Quantitative Trade ； ARIMA Model ； Dynamic Programming

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