| 基于去噪和分形的加密货币投资组合模型优化研究 |
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| 引用本文： | 曹广喜,张星宇.基于去噪和分形的加密货币投资组合模型优化研究[J].南京信息工程大学学报,2021,13(3):369-376. |
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| 作者姓名： | 曹广喜 张星宇 |
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| 作者单位： | 南京信息工程大学 管理工程学院, 南京, 210044;南京信息工程大学 滨江学院, 无锡, 214105;南京信息工程大学 气象灾害预报预警与评估协同创新中心, 南京, 210044,南京信息工程大学 管理工程学院, 南京, 210044 |
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| 基金项目： | 国家自然科学基金（71371100，71701104） |
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| 摘 要： | 为提高投资效益,本文针对传统投资组合模型的缺陷,结合经验模态分解(EMD)去噪法和多重分形消除趋势交叉相关分析法(MF-DCCA),提出经验模态分解去噪下的多重分形投资组合模型(简称EMD-Mean-MF-DCCA).将新模型应用于极具投机性的加密货币投资组合,结合滚动窗口技术进行样本外检验和分析,实证结果显示:无论加密货币价格处于上升还是下降趋势,EMD-Mean-MF-DCCA相对于其他传统投资组合模型及未去噪的分形投资组合模型,均在盈利能力和夏普比率方面具有明显优化效果,且当加密货币价格大幅下跌时,基于新模型的组合投资策略也具有较好的抵抗风险能力.
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| 关 键 词： | 加密货币 投资组合 分形 经验模态分解法(EMD) 去噪 EMD-Mean-MF-DCCA模型 |
| 收稿时间： | 2021/3/16 0:00:00 |
Model optimization of cryptocurrency portfolio based on EMD denoising and DCCA methods |
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| CAO Guangxi and ZHANG Xingyu.Model optimization of cryptocurrency portfolio based on EMD denoising and DCCA methods[J].Journal of Nanjing University of Information Science & Technology,2021,13(3):369-376. |
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| Authors: | CAO Guangxi and ZHANG Xingyu |
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| Affiliation: | School of Management Science and Engineering, Nanjing University of Information Science & Technology, Nanjing 210044;Binjiang College, Nanjing University of Information Science & Technology, Wuxi 214105;Collaborative Innovation Center on Forecast and Evaluation of Meteorological Disasters, Nanjing University of Information Science & Technology, Nanjing 210044 and School of Management Science and Engineering, Nanjing University of Information Science & Technology, Nanjing 210044 |
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| Abstract: | The Empirical Mode Decomposition (EMD) denoising and Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) have been combined to address the shortcomings of traditional portfolio models,thus a multiple fractal portfolio model under EMD denoising and MF-DCCA is proposed in this paper.The new model,abbreviated as EMD-Mean-MF-DCCA,is applied to a highly speculative cryptocurrency portfolio,which is then verified by out-of-sample test and analysis with rolling window technique.The results show that whether the cryptocurrency price is on upward or downward trend,the proposed EMD-Mean-MF-DCCA is significantly optimized in terms of profitability and Sharpe ratio compared with traditional portfolio models and non-denoised fractal portfolio models.Moreover,the portfolio investment scheme under the new model has better risk resistance capability when the price of cryptocurrency falls sharply. |
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| Keywords: | cryptocurrency portfolio fractal empirical mode decomposition (EMD) denoising EMD-Mean-MF-DCCA model |
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