Evaluation of the importance of criteria for the selection of cryptocurrencies

TL;DR

This paper analyzes criteria based on historical data to evaluate cryptocurrency risks and returns over short periods, aiming to improve investment portfolio selection using multi-criteria methods.

Contribution

It introduces a set of criteria derived from historical cryptocurrency data and evaluates their importance for risk and return assessment in portfolio selection.

Findings

Criteria effectively characterize short-term risks and returns.

Multi-criteria methods can enhance cryptocurrency portfolio selection.

The approach provides a foundation for future investment decision models.

Abstract

In recent years, cryptocurrencies have gone from an obscure niche to a prominent place, with investment in these assets becoming increasingly popular. However, cryptocurrencies carry a high risk due to their high volatility. In this paper, criteria based on historical cryptocurrency data are defined in order to characterize returns and risks in different ways, in short time windows (7 and 15 days); then, the importance of criteria is analyzed by various methods and their impact is evaluated. Finally, the future plan is projected to use the knowledge obtained for the selection of investment portfolios by applying multi-criteria methods.