Improved Markowitz portfolio investment model based on ARIMA model and BP neural network

Abstract

A new attempt to apply the ARIMA model and BP neural network algorithm to the daily price prediction of Bitcoin is shown in the paper, and the prediction results performed well. Compared to the ARIMA model, the BP neural network has stronger short-term predictive power for bitcoin price prediction. Second, we apply a modified Markowitz portfolio investment model to the bitcoin portfolio problem. We model the daily price data of gold and bitcoin for October 2016 and calculate that the local optimal return for October is 0.1418, the local minimum risk is 0.000174, and the local optimal portfolio investment of USD, gold, and bitcoin is [8389.8337,0,2.4691].