In this paper, we come up with an original trading strategy on Bitcoins. The methodology we propose is profit-oriented, and it is based on buying or selling the so-called Contracts for Difference, so that the investor's gain, assessed at a given future time t, is obtained as the difference between the predicted Bitcoin price and an apt threshold. Starting from some empirical findings, and passing through the specification of a suitable theoretical model for the Bitcoin price process, we are able to provide possible investment scenarios, thanks to the use of a Recurrent Neural Network with a Long Short-Term Memory for predicting purposes.
De Angelis, P., De Marchis, R., Marino, M., Martire, A.l., Oliva, I. (2021). Betting on bitcoin: a profitable trading between directional and shielding strategies. DECISIONS IN ECONOMICS AND FINANCE, 44(2), 883-903 [10.1007/s10203-021-00324-z].