Sistema híbrido de suporte à decisão de investimentos em criptomoedas

Juan G. Lazo Lazo, Gonzalo H. Herrera Medina, Luciana Faletti Almeida, Álvaro Talavera

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Cryptocurrencies in recent years have been attracting all kinds of investors, from natural people to financial institutions that seek high returns, based on their rapid appreciation. However, this market is characterized by the level of volatility and uncertainty, leading the price to very high and also low levelsthese characteristics present great difficulty for the decision-making of investment managers. This work proposes a methodology to support decision making in investment management in the cryptocurrency market, which considers a conservative investment position, which seeks to reduce risk and maximize return on investment. The methodology seeks, based on the historical price of cryptocurrencies, establishes return levels and estimates the probabilities of the transition of returns for each level, this is done based on the analysis ofMarkov chains, which are integrated into the multiple decision trees to identify the cryptocurrency that projects the greatest return when it is sold in one ortwo periods after of the acquisition.The results are compared with the real data and the efficiencyof the methodology is verified
Original languagePortuguese
Pages (from-to)1-7
JournalAnais da Sociedade Brasileira de Automática
Issue number1
StatePublished - 7 Dec 2020
EventCongresso Brasileiro de Automática - Brasil
Duration: 11 Jan 202011 Jan 2020

Bibliographical note

Number: 1


  • Cryptocurrencies
  • Investment management
  • Investment decision
  • Markov Chains
  • Decision Trees

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