Support system to investment management in cryptocurrencies

Juan G. Lazo Lazo; Gonzalo H. Herrera Medina; Alanpierre Vargas Guevara; Alvaro Talavera; Arianne Nieto Otero; Eva Azanedo Cordova

doi:10.1109/IESTEC46403.2019.00075

Support system to investment management in cryptocurrencies

Juan G. Lazo Lazo
, Gonzalo H. Herrera Medina
, Alanpierre Vargas Guevara
, Alvaro Talavera
, Arianne Nieto Otero
, Eva Azanedo Cordova

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

5 Scopus citations

Abstract

Cryptocurrencies, since its creation, have evolved by attracting investors (companies, financial institutions and individuals) that seek significant results, based on the great value of these. However, the finance market is characterized at the level of volatility and uncertainty, which leads to the ups and downs in the price, facing these difficulties, the investment manager must make decisions. This paper proposes a methodology to support decision-making in the investment management in the cryptocurrencies market, adopting a conservative investment position that should reduce risk and maximize the return on investment. The methodology seeks from the historical price of the cryptocurrencies the estimation of the transitions probabilities of the returns and establish levels, this is done based on the analysis of the Markov chains, which is integrated into the multiple decision trees to identify the cryptocurrency that projects a greater return when is sold one and two periods after having been acquired. The results are compared with the real data and the efficiency of the methodology for the support to the decisions in the management of the investment in the cryptocurrencies is checked.

Original language	English
Title of host publication	Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019
Subtitle of host publication	9–11 October 2019 Panama City, Panama
Place of Publication	Los Alamitos
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	376-381
Number of pages	6
ISBN (Electronic)	978-1-7281-1691-4
DOIs	https://doi.org/10.1109/IESTEC46403.2019.00075
State	Published - 1 Oct 2019
Event	Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019 - Duration: 1 Oct 2019 → …

Publication series

Name	Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019

Conference

Conference	Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019
Period	1/10/19 → …

Bibliographical note

Publisher Copyright:
© 2019 IEEE.

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 9 Industry, Innovation, and Infrastructure
SDG 17 Partnerships for the Goals

Keywords

Cryptocurrency
Investment decision
Investment management

Access to Document

10.1109/IESTEC46403.2019.00075

Cite this

Lazo Lazo, J. G., Herrera Medina, G. H., Guevara, A. V., Talavera, A., Otero, A. N., & Cordova, E. A. (2019). Support system to investment management in cryptocurrencies. In Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019: 9–11 October 2019 Panama City, Panama (pp. 376-381). Article 8943697 (Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/IESTEC46403.2019.00075

Lazo Lazo, Juan G. ; Herrera Medina, Gonzalo H. ; Guevara, Alanpierre Vargas et al. / Support system to investment management in cryptocurrencies. Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019: 9–11 October 2019 Panama City, Panama . Los Alamitos : Institute of Electrical and Electronics Engineers Inc., 2019. pp. 376-381 (Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019).

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title = "Support system to investment management in cryptocurrencies",

abstract = "Cryptocurrencies, since its creation, have evolved by attracting investors (companies, financial institutions and individuals) that seek significant results, based on the great value of these. However, the finance market is characterized at the level of volatility and uncertainty, which leads to the ups and downs in the price, facing these difficulties, the investment manager must make decisions. This paper proposes a methodology to support decision-making in the investment management in the cryptocurrencies market, adopting a conservative investment position that should reduce risk and maximize the return on investment. The methodology seeks from the historical price of the cryptocurrencies the estimation of the transitions probabilities of the returns and establish levels, this is done based on the analysis of the Markov chains, which is integrated into the multiple decision trees to identify the cryptocurrency that projects a greater return when is sold one and two periods after having been acquired. The results are compared with the real data and the efficiency of the methodology for the support to the decisions in the management of the investment in the cryptocurrencies is checked.",

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doi = "10.1109/IESTEC46403.2019.00075",

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Lazo Lazo, JG, Herrera Medina, GH, Guevara, AV, Talavera, A, Otero, AN & Cordova, EA 2019, Support system to investment management in cryptocurrencies. in Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019: 9–11 October 2019 Panama City, Panama ., 8943697, Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019, Institute of Electrical and Electronics Engineers Inc., Los Alamitos, pp. 376-381, Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019, 1/10/19. https://doi.org/10.1109/IESTEC46403.2019.00075

Support system to investment management in cryptocurrencies. / Lazo Lazo, Juan G.; Herrera Medina, Gonzalo H.; Guevara, Alanpierre Vargas et al.
Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019: 9–11 October 2019 Panama City, Panama . Los Alamitos: Institute of Electrical and Electronics Engineers Inc., 2019. p. 376-381 8943697 (Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Lazo Lazo, Juan G.

AU - Herrera Medina, Gonzalo H.

AU - Guevara, Alanpierre Vargas

AU - Talavera, Alvaro

AU - Otero, Arianne Nieto

AU - Cordova, Eva Azanedo

PY - 2019/10/1

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N2 - Cryptocurrencies, since its creation, have evolved by attracting investors (companies, financial institutions and individuals) that seek significant results, based on the great value of these. However, the finance market is characterized at the level of volatility and uncertainty, which leads to the ups and downs in the price, facing these difficulties, the investment manager must make decisions. This paper proposes a methodology to support decision-making in the investment management in the cryptocurrencies market, adopting a conservative investment position that should reduce risk and maximize the return on investment. The methodology seeks from the historical price of the cryptocurrencies the estimation of the transitions probabilities of the returns and establish levels, this is done based on the analysis of the Markov chains, which is integrated into the multiple decision trees to identify the cryptocurrency that projects a greater return when is sold one and two periods after having been acquired. The results are compared with the real data and the efficiency of the methodology for the support to the decisions in the management of the investment in the cryptocurrencies is checked.

AB - Cryptocurrencies, since its creation, have evolved by attracting investors (companies, financial institutions and individuals) that seek significant results, based on the great value of these. However, the finance market is characterized at the level of volatility and uncertainty, which leads to the ups and downs in the price, facing these difficulties, the investment manager must make decisions. This paper proposes a methodology to support decision-making in the investment management in the cryptocurrencies market, adopting a conservative investment position that should reduce risk and maximize the return on investment. The methodology seeks from the historical price of the cryptocurrencies the estimation of the transitions probabilities of the returns and establish levels, this is done based on the analysis of the Markov chains, which is integrated into the multiple decision trees to identify the cryptocurrency that projects a greater return when is sold one and two periods after having been acquired. The results are compared with the real data and the efficiency of the methodology for the support to the decisions in the management of the investment in the cryptocurrencies is checked.

KW - Cryptocurrency

KW - Investment decision

KW - Investment management

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PB - Institute of Electrical and Electronics Engineers Inc.

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Lazo Lazo JG, Herrera Medina GH, Guevara AV, Talavera A, Otero AN, Cordova EA. Support system to investment management in cryptocurrencies. In Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019: 9–11 October 2019 Panama City, Panama . Los Alamitos: Institute of Electrical and Electronics Engineers Inc. 2019. p. 376-381. 8943697. (Proceedings - 2019 7th International Engineering, Sciences and Technology Conference, IESTEC 2019). doi: 10.1109/IESTEC46403.2019.00075

Support system to investment management in cryptocurrencies

Abstract

Publication series

Conference

Bibliographical note

UN SDGs

Keywords

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