Autor según el artículo: Torres R; Solis MA; Salas R; Bariviera AF

Departamento: Gestió d'Empreses

Autor/es de la URV: Fernández Bariviera, Aurelio

Palabras clave: Multi-period multi-attribute decision making Linguistic decision models Cryptocurrency

Resumen: 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.

Áreas temáticas: 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

Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/

Direcció de correo del autor: aurelio.fernandez@urv.cat

Identificador del autor: 0000-0003-1014-1010

Fecha de alta del registro: 2023-02-19

Versión del articulo depositado: info:eu-repo/semantics/publishedVersion

Enlace a la fuente original: https://ieeexplore.ieee.org/document/9300216

URL Documento de licencia: http://repositori.urv.cat/ca/proteccio-de-dades/

Referencia al articulo segun fuente origial: Ieee Access. 8 228514-228524

Referencia de l'ítem segons les normes 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

DOI del artículo: 10.1109/ACCESS.2020.3045923

Entidad: Universitat Rovira i Virgili

Año de publicación de la revista: 2020

Tipo de publicación: Journal Publications