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.