A new investment method with AutoEncoder: Applications to crypto currencies

•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 effecti...

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Bibliographic Details

Published in:	Expert systems with applications Vol. 162; p. 113730
Main Authors:	Nakano, Masafumi, Takahashi, Akihiko
Format:	Journal Article
Language:	English
Published:	New York Elsevier Ltd 30.12.2020 Elsevier BV
Subjects:	Artificial neural network AutoEncoder Crypto currency Delta hedging Digital currencies Linear transformations Portfolio management Crypto currency Artificial neural network AutoEncoder Delta hedging
ISSN:	0957-4174, 1873-6793
Online Access:	Get full text
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