کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7374788 | 1480063 | 2018 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bitcoin technical trading with artificial neural network
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper explores Bitcoin intraday technical trading based on artificial neural networks for the return prediction. In particular, our deep learning method successfully discovers trading signals through a seven layered neural network structure for given input data of technical indicators, which are calculated by the past time-series data over every 15Â min. Under feasible settings of execution costs, the numerical experiments demonstrate that our approach significantly improves the performance of a buy-and-hold strategy. Especially, our model performs well for a challenging period from December 2017 to January 2018, during which Bitcoin suffers from substantial minus returns. Furthermore, various sensitivity analysis is implemented for the change of the number of layers, activation functions, input data and output classification to confirm the robustness of our approach.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 510, 15 November 2018, Pages 587-609
Journal: Physica A: Statistical Mechanics and its Applications - Volume 510, 15 November 2018, Pages 587-609
نویسندگان
Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi,