東京大学金融教育研究センター
Japanese
English
Center for Advanced Research in Finance
お問い合わせ
サイトマップ
サイト検索
CARFホーム
センター紹介
ファカルティ
ワーキングペーパー
リサーチ
世界からのメッセージ
アクセス・マップ
リンク集
ワーキングペーパー
分類番号: CARF-F-430
発表時期: 2018 3
タイトル: Bitcoin technical trading with artificial neural network
著者: Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi
Abstract:

This paper explores Bitcoin 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 of Bitcoin returns over every 15 minutes. 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.

ファイル(PDF): full paper
ワーキングペーパー トップ
Copyright (C) Center for Advanced Research in Finance (CARF)