Koker, Thomas E.Koutmos, Dimitrios2021-10-212021-10-218/10/2020Koker, T.E. and Koutmos, D., 2020. Cryptocurrency Trading Using Machine Learning. Journal of Risk and Financial Management, 13(8), p.178.https://hdl.handle.net/1969.6/89854We present a model for active trading based on reinforcement machine learning and apply this to five major cryptocurrencies in circulation. In relation to a buy-and-hold approach, we demonstrate how this model yields enhanced risk-adjusted returns and serves to reduce downside risk. These findings hold when accounting for actual transaction costs. We conclude that real-world portfolio management application of the model is viable, yet, performance can vary based on how it is calibrated in test samples.en-USAttribution 4.0 Internationalhttp://creativecommons.org/licenses/by/4.0/Bitcoincryptocurrenciesdirect reinforcementmachine learningrisk-returnArticlehttps://doi.org/10.3390/jrfm13080178