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A Swarm Intelligence Optimization Algorithm for Cryptocurrency Portfolio Optimization

Authors: Ahmet YURTSAL; Yunus KARAÖMER; Ali İhsan BENZER;

A Swarm Intelligence Optimization Algorithm for Cryptocurrency Portfolio Optimization

Abstract

In recent years, cryptocurrency has been widely adopted and seen as an alternative investment tool for investors. However, which cryptocurrency to invest in and how much to invest becomes a problem. Since there is a conflict of multiple criteria, portfolio optimization (PO) is needed to solve the problem. In this study, an Artificial Bee Colony (ABC) algorithm has been developed based on Markowitz's mean-variance model (M-MVM). With this method, the portfolio of cryptocurrencies has been tried to be optimized. Hourly data of 12 cryptocurrencies between 01.09.2020 and 01.04.2021 were used as data. It has been observed that the ABC algorithm achieves good results in the solution of the problem in a reasonable time. In addition, the method was tested with different parameter values and different risk-averse coefficient values (λ).

Country
Turkey
Keywords

Cryptocurrency, Portfolio Optimization;Artificial Bee Colony;Cryptocurrency, Portfolio Optimization, Artificial Bee Colony

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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gold