A new investment method with AutoEncoder: Applications to crypto currencies

作者：

Highlights：

• We propose a new investment strategy free from the estimation of expected returns.

• AutoEncoder extracts the factors which enable to prevent the large drawdown.

• The extracted non-linear factors are implemented by the dynamic delta hedging.

• Backtesting with multiple cryptocurrencies shows the effectiveness of our strategy.

摘要

•We propose a new investment strategy free from the estimation of expected returns.•AutoEncoder extracts the factors which enable to prevent the large drawdown.•The extracted non-linear factors are implemented by the dynamic delta hedging.•Backtesting with multiple cryptocurrencies shows the effectiveness of our strategy.

论文关键词：AutoEncoder,Crypto currency,Delta hedging,Artificial neural network

论文评审过程：Received 13 January 2020, Revised 23 April 2020, Accepted 6 July 2020, Available online 19 July 2020, Version of Record 8 August 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113730