Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets

Financial Innovation

Table 2 Comparison of prediction performances for the proposed model and benchmarks

Models	RMSE	MAE	DA
Stock market
VMD-BiLSTM	0.00683	0.00512	0.85955
BiLSTM	0.02349	0.01714	0.42415
LSTM	0.02366	0.01753	0.43820
SVR	0.02329	0.01686	0.37640
LR	0.02817	0.02030	0.51966
Wheat market
VMD-BiLSTM	0.00851	0.00657	0.94101
BiLSTM	0.04138	0.03321	0.51404
LSTM	0.04164	0.03332	0.49719
SVR	0.03550	0.02867	0.55618
LR	0.04251	0.03399	0.53652
Crude oil market
VMD-BiLSTM	0.01543	0.01144	0.94662
BiLSTM	0.05927	0.04656	0.51966
LSTM	0.05957	0.04681	0.49157
SVR	0.05253	0.04134	0.40449
LR	0.06119	0.04823	0.54775
Gold market
VMD-BiLSTM	0.00452	0.00362	0.92977
BiLSTM	0.02173	0.01740	0.49157
LSTM	0.02195	0.01755	0.50842
SVR	0.01898	0.01514	0.48034
LR	0.02209	0.01772	0.45225
Bitcoin market
VMD-BiLSTM	0.03464	0.02608	0.85393
BiLSTM	0.14665	0.10608	0.53932
LSTM	0.15859	0.11898	0.55337
SVR	0.11544	0.08592	0.55618
LR	0.16189	0.12486	0.46910