Matches in SemOpenAlex for { <https://semopenalex.org/work/W4387322753> ?p ?o ?g. }
Showing items 1 to 67 of
67
with 100 items per page.
- W4387322753 abstract "Many cryptocurrency brokers nowadays offer a variety of derivative assets that allow traders to perform hedging or speculation. This paper proposes an effective algorithm based on neural networks to take advantage of these investment products. The proposed algorithm constructs a portfolio that contains a pair of negatively correlated assets. A deep neural network, which outputs the allocation weight of each asset at a time interval, is trained to maximize the Sharpe ratio. A novel loss term is proposed to regulate the network's bias towards a specific asset, thus enforcing the network to learn an allocation strategy that is close to a minimum variance strategy. Extensive experiments were conducted using data collected from Binance spanning 19 months to evaluate the effectiveness of our approach. The backtest results show that the proposed algorithm can produce neural networks that are able to make profits in different market situations." @default.
- W4387322753 created "2023-10-04" @default.
- W4387322753 creator A5006197101 @default.
- W4387322753 creator A5007583477 @default.
- W4387322753 creator A5049372872 @default.
- W4387322753 creator A5064535836 @default.
- W4387322753 creator A5073315873 @default.
- W4387322753 date "2023-10-02" @default.
- W4387322753 modified "2023-10-05" @default.
- W4387322753 title "Cryptocurrency Portfolio Optimization by Neural Networks" @default.
- W4387322753 doi "https://doi.org/10.48550/arxiv.2310.01148" @default.
- W4387322753 hasPublicationYear "2023" @default.
- W4387322753 type Work @default.
- W4387322753 citedByCount "0" @default.
- W4387322753 crossrefType "posted-content" @default.
- W4387322753 hasAuthorship W4387322753A5006197101 @default.
- W4387322753 hasAuthorship W4387322753A5007583477 @default.
- W4387322753 hasAuthorship W4387322753A5049372872 @default.
- W4387322753 hasAuthorship W4387322753A5064535836 @default.
- W4387322753 hasAuthorship W4387322753A5073315873 @default.
- W4387322753 hasBestOaLocation W43873227531 @default.
- W4387322753 hasConcept C10138342 @default.
- W4387322753 hasConcept C114614502 @default.
- W4387322753 hasConcept C126255220 @default.
- W4387322753 hasConcept C139819358 @default.
- W4387322753 hasConcept C139938925 @default.
- W4387322753 hasConcept C154945302 @default.
- W4387322753 hasConcept C162324750 @default.
- W4387322753 hasConcept C180706569 @default.
- W4387322753 hasConcept C2778067643 @default.
- W4387322753 hasConcept C2780821815 @default.
- W4387322753 hasConcept C33923547 @default.
- W4387322753 hasConcept C38652104 @default.
- W4387322753 hasConcept C41008148 @default.
- W4387322753 hasConcept C50644808 @default.
- W4387322753 hasConcept C76178495 @default.
- W4387322753 hasConceptScore W4387322753C10138342 @default.
- W4387322753 hasConceptScore W4387322753C114614502 @default.
- W4387322753 hasConceptScore W4387322753C126255220 @default.
- W4387322753 hasConceptScore W4387322753C139819358 @default.
- W4387322753 hasConceptScore W4387322753C139938925 @default.
- W4387322753 hasConceptScore W4387322753C154945302 @default.
- W4387322753 hasConceptScore W4387322753C162324750 @default.
- W4387322753 hasConceptScore W4387322753C180706569 @default.
- W4387322753 hasConceptScore W4387322753C2778067643 @default.
- W4387322753 hasConceptScore W4387322753C2780821815 @default.
- W4387322753 hasConceptScore W4387322753C33923547 @default.
- W4387322753 hasConceptScore W4387322753C38652104 @default.
- W4387322753 hasConceptScore W4387322753C41008148 @default.
- W4387322753 hasConceptScore W4387322753C50644808 @default.
- W4387322753 hasConceptScore W4387322753C76178495 @default.
- W4387322753 hasLocation W43873227531 @default.
- W4387322753 hasOpenAccess W4387322753 @default.
- W4387322753 hasPrimaryLocation W43873227531 @default.
- W4387322753 hasRelatedWork W2024641407 @default.
- W4387322753 hasRelatedWork W2328149772 @default.
- W4387322753 hasRelatedWork W2332156480 @default.
- W4387322753 hasRelatedWork W2606456827 @default.
- W4387322753 hasRelatedWork W3123387860 @default.
- W4387322753 hasRelatedWork W3155372974 @default.
- W4387322753 hasRelatedWork W3164717803 @default.
- W4387322753 hasRelatedWork W3167737560 @default.
- W4387322753 hasRelatedWork W3211641817 @default.
- W4387322753 hasRelatedWork W4366411693 @default.
- W4387322753 isParatext "false" @default.
- W4387322753 isRetracted "false" @default.
- W4387322753 workType "article" @default.