Betting on bitcoin: a profitable trading between directional and shielding strategies

Paolo Angelis (), Roberto Marchis (), Mario Marino (), Antonio Luciano Martire () and Immacolata Oliva
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Paolo Angelis: Sapienza University of Rome
Roberto Marchis: Sapienza University of Rome
Mario Marino: Sapienza University of Rome
Antonio Luciano Martire: Sapienza University of Rome

Decisions in Economics and Finance, 2021, vol. 44, issue 2, No 18, 883-903

Abstract: Abstract In this paper, we come up with an original trading strategy on Bitcoins. The methodology we propose is profit-oriented, and it is based on buying or selling the so-called Contracts for Difference, so that the investor’s gain, assessed at a given future time t, is obtained as the difference between the predicted Bitcoin price and an apt threshold. Starting from some empirical findings, and passing through the specification of a suitable theoretical model for the Bitcoin price process, we are able to provide possible investment scenarios, thanks to the use of a Recurrent Neural Network with a Long Short-Term Memory for predicting purposes.

Keywords: Cryptocurrencies; Bitcoin; Trading strategy; Contract for difference; Long short-term memory (search for similar items in EconPapers)
JEL-codes: C32 C45 C53 C63 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10203-021-00324-z

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