Abstract
Quantitative research of digital currency is important in the financial sector. Existing quantitative research mainly focuses on pairs trade, multifactor models, and investment portfolios. Investment portfolios refer to the allocation of funds to different types of financial products to minimise investment risk when expected returns can be obtained, or maximise returns on investment when investment risks are controllable. Herein, we propose a ranking-based digital currency investment strategy framework for investment portfolios in the digital currency market. The framework mainly involves selecting digital currency attributes, pre-processing historical data, exporting the ranking model of the investment portfolio strategy, and parameter optimisation.
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Acknowledgment
This work is supported by the National Key R&D Program of China, under Grant No 2018YFB0203903 and Technological Achievements of Qinghai Province, China under Grant No. 2016-SF-127. The author Chuang-Chuang Dai would like to thank all the members of the Computer Network Information Center, Chinese Academy of Science, Beijing. In addition, professor Guangwu Liu in City University of Hong Kong and Rui Tao in Academy of Mathematics and Systems Science Chinese Academy of Sciences greatly helped the completion of the thesis. The authors wish it to be known that, in their opinion, the first 2 authors should be regarded as Joint First Authors.
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Dai, C., Yang, X., Qiu, M., Guo, X., Lu, Z., Niu, B. (2020). Digital Currency Investment Strategy Framework Based on Ranking. In: Qiu, M. (eds) Algorithms and Architectures for Parallel Processing. ICA3PP 2020. Lecture Notes in Computer Science(), vol 12454. Springer, Cham. https://doi.org/10.1007/978-3-030-60248-2_45
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DOI: https://doi.org/10.1007/978-3-030-60248-2_45
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