{"id":"https://openalex.org/W4312869970","doi":"https://doi.org/10.1145/3556089.3556183","title":"Currency Portfolio using Combination of Assets and Cryptocurrency based on LSTM-TLS","display_name":"Currency Portfolio using Combination of Assets and Cryptocurrency based on LSTM-TLS","publication_year":2022,"publication_date":"2022-07-16","ids":{"openalex":"https://openalex.org/W4312869970","doi":"https://doi.org/10.1145/3556089.3556183"},"language":"en","primary_location":{"id":"doi:10.1145/3556089.3556183","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3556089.3556183","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2022 13th International Conference on E-business, Management and Economics","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5080260781","display_name":"Liangyuan Guo","orcid":"https://orcid.org/0009-0009-3590-277X"},"institutions":[{"id":"https://openalex.org/I180726961","display_name":"Shenzhen University","ror":"https://ror.org/01vy4gh70","country_code":"CN","type":"education","lineage":["https://openalex.org/I180726961"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Liangyuan Guo","raw_affiliation_strings":["College of Mathematics and Statistics, Shenzhen University, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Mathematics and Statistics, Shenzhen University, China","institution_ids":["https://openalex.org/I180726961"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5067284832","display_name":"Hewen Deng","orcid":"https://orcid.org/0000-0001-8565-414X"},"institutions":[{"id":"https://openalex.org/I180726961","display_name":"Shenzhen University","ror":"https://ror.org/01vy4gh70","country_code":"CN","type":"education","lineage":["https://openalex.org/I180726961"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Hewen Deng","raw_affiliation_strings":["College of Computer Science and Software Engineering, Shenzhen University, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Computer Science and Software Engineering, Shenzhen University, China","institution_ids":["https://openalex.org/I180726961"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5062963603","display_name":"Wenyue He","orcid":"https://orcid.org/0000-0003-3762-918X"},"institutions":[{"id":"https://openalex.org/I180726961","display_name":"Shenzhen University","ror":"https://ror.org/01vy4gh70","country_code":"CN","type":"education","lineage":["https://openalex.org/I180726961"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Wenyue He","raw_affiliation_strings":["College of Mathematics and Statistics, Shenzhen University, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Mathematics and Statistics, Shenzhen University, China","institution_ids":["https://openalex.org/I180726961"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I180726961"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"347","last_page":"353"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9972000122070312,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9923999905586243,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cryptocurrency","display_name":"Cryptocurrency","score":0.7804887294769287},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7326202392578125},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6918016076087952},{"id":"https://openalex.org/keywords/currency","display_name":"Currency","score":0.5650243163108826},{"id":"https://openalex.org/keywords/virtual-currency","display_name":"Virtual currency","score":0.49882030487060547},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.4893619418144226},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.4816133379936218},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.47541552782058716},{"id":"https://openalex.org/keywords/database-transaction","display_name":"Database transaction","score":0.4523913264274597},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4188570976257324},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2295762300491333},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.19968664646148682},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.19906139373779297},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.14628314971923828},{"id":"https://openalex.org/keywords/computer-security","display_name":"Computer security","score":0.1429605484008789},{"id":"https://openalex.org/keywords/database","display_name":"Database","score":0.1423783302307129},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.10333919525146484}],"concepts":[{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.7804887294769287},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7326202392578125},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6918016076087952},{"id":"https://openalex.org/C141121606","wikidata":"https://www.wikidata.org/wiki/Q8142","display_name":"Currency","level":2,"score":0.5650243163108826},{"id":"https://openalex.org/C47487560","wikidata":"https://www.wikidata.org/wiki/Q4112083","display_name":"Virtual currency","level":3,"score":0.49882030487060547},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.4893619418144226},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.4816133379936218},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.47541552782058716},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.4523913264274597},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4188570976257324},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2295762300491333},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.19968664646148682},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.19906139373779297},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.14628314971923828},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.1429605484008789},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.1423783302307129},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.10333919525146484}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3556089.3556183","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3556089.3556183","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2022 13th International Conference on E-business, Management and Economics","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Decent work and economic growth","score":0.49000000953674316,"id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W1995236180","https://openalex.org/W2150843644","https://openalex.org/W2154643473","https://openalex.org/W2169543372","https://openalex.org/W2209610041","https://openalex.org/W2232050559","https://openalex.org/W2296438605","https://openalex.org/W2338519430","https://openalex.org/W2513607014","https://openalex.org/W2621325907","https://openalex.org/W2624385633","https://openalex.org/W2792137378","https://openalex.org/W3018928737","https://openalex.org/W3038338044","https://openalex.org/W3121318921","https://openalex.org/W4236670843","https://openalex.org/W4247545505"],"related_works":["https://openalex.org/W4317182290","https://openalex.org/W4365797016","https://openalex.org/W4283218654","https://openalex.org/W4285228644","https://openalex.org/W4389282997","https://openalex.org/W2212654322","https://openalex.org/W3125665602","https://openalex.org/W4353000291","https://openalex.org/W3131390710","https://openalex.org/W163428574"],"abstract_inverted_index":{"Virtual":[0],"currency":[1,22],"has":[2],"been":[3],"greeted":[4],"with":[5,95],"an":[6],"avalanche":[7],"of":[8,43,61,76,161],"attention":[9],"these":[10],"days.":[11],"In":[12,27,90],"this":[13,28,117],"case,":[14],"allocate":[15],"investments":[16],"into":[17,122],"traditional":[18,156],"assets":[19],"and":[20,33,39,78,130,167],"virtual":[21],"properly":[23],"seems":[24],"very":[25],"important.":[26],"paper,":[29],"we":[30,99,124,142],"select":[31,40],"gold":[32,77],"bitcoin":[34,79],"as":[35,109],"our":[36,144],"research":[37],"objects,":[38],"a":[41],"series":[42],"representative":[44],"indicators":[45],"in":[46,159],"the":[47,59,74,82,101,105,112,133,148],"financial":[48],"field.":[49],"After":[50],"data":[51],"preprocessing,":[52],"XGBoost":[53],"algorithm":[54],"is":[55,70],"used":[56,71],"to":[57,72,110,139,154],"sort":[58],"importance":[60],"indicators,":[62],"thus":[63],"eliminating":[64],"some":[65],"unimportant":[66],"indicators.":[67],"Next,":[68],"LSTM":[69],"predict":[73],"price":[75],"respectively.":[80],"Therefore,":[81],"portfolio":[83,114,145,157],"can":[84],"be":[85],"built":[86],"based":[87],"on":[88],"it.":[89],"reality,":[91],"trades":[92],"often":[93],"come":[94],"transaction":[96,106],"costs.":[97],"So":[98],"improve":[100],"Mean-Variance":[102],"model":[103,146],"considering":[104],"costs,":[107],"so":[108],"get":[111],"initial":[113],"strategy.":[115],"On":[116],"basis,":[118],"taking":[119],"investment":[120],"potential":[121],"account,":[123],"propose":[125],"Traffic":[126],"Light":[127],"Signal(TLS)":[128],"model,":[129],"successfully":[131],"increasing":[132],"gross":[134],"profit":[135],"rate":[136],"from":[137],"11.582%":[138],"13.614%.":[140],"Finally,":[141],"prove":[143],"earns":[147],"highest":[149],"returns":[150],"by":[151],"comparing":[152],"it":[153],"other":[155],"models":[158],"terms":[160],"metrics":[162],"Cumulative":[163],"Yield,":[164,166],"Annual":[165],"Max":[168],"Drawdown":[169],"Ratio.":[170]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-07-14T23:27:15.235271","created_date":"2025-10-10T00:00:00"}