Author, as appears in the article.: Torres R; Solis MA; Salas R; Bariviera AF
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio
Keywords: Multi-period multi-attribute decision making Linguistic decision models Cryptocurrency
Abstract: CCBY Cryptocurrencies have been receiving the sustained attention of investors since 2009. These new investment vehicles are digitally native, meaning that they are traded exclusively on 24/7 digital platforms. Consequently, they offer an excellent scenario to test the Efficient Market Hypothesis, by developing algorithm-based trading strategies. Such strategies aim to beat the market. It has been previously reported that daily returns do not exhibit long range dependence. However, daily volatility in major cryptocurrencies is highly persistent. Therefore, buy/hold/sell decision support systems could be able to capture such market inefficiency. This is especially important for investors interested in periodically trading a set of cryptocurrencies, in order to maximize their wealth. This paper presents a dynamic linguistic decision making approach for building decision models to support cryptocurrency investors in buy/hold/sell decisions. This approach exhibits a good computational performance for obtaining recommendations based on quantitative data. Moreover, this procedure is able to identify some inefficient cryptocurrency behaviors which are not captured by traditional econometric techniques. Our results uncover arbitrage opportunities that outperform buy-and-hold or random strategies.
Thematic Areas: Telecommunications Materials science (miscellaneous) Materials science (all) General materials science General engineering General computer science Engineering, electrical & electronic Engineering (miscellaneous) Engineering (all) Engenharias iv Engenharias iii Electrical and electronic engineering Computer science, information systems Computer science (miscellaneous) Computer science (all) Ciência da computação
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: aurelio.fernandez@urv.cat
Author identifier: 0000-0003-1014-1010
Record's date: 2023-02-19
Papper version: info:eu-repo/semantics/publishedVersion
Link to the original source: https://ieeexplore.ieee.org/document/9300216
Papper original source: Ieee Access. 8 228514-228524
APA: Torres R; Solis MA; Salas R; Bariviera AF (2020). A dynamic linguistic decision making approach for a cryptocurrency investment scenario. Ieee Access, 8(), 228514-228524. DOI: 10.1109/ACCESS.2020.3045923
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Article's DOI: 10.1109/ACCESS.2020.3045923
Entity: Universitat Rovira i Virgili
Journal publication year: 2020
Publication Type: Journal Publications
Repositori URV