Authors : Wanli Chen and Zhe Qin
Abstract: In stock markets, the performance of traditional technology-based investment methods is limited because they only take into account single-dimensional event factors. The study shows how the integration of multi-dimensional stock market dynamics can improve performance and proposes a three-layer integrated investment decision-support framework. In the framework, we emphasize on one key dynamics that previous studies have neglected: two-way reflexivity dynamics between investors` decisions and market reactions. This dynamics is thoroughly studied using VAR method in the study. Our studies show that the dynamics plays an important role in investment decision making, particularly it is useful for portfolio building and risk control and thereby it is an integral part of a three-layer integrated investment decision-support framework. The framework incorporating this key dynamics is promising and our experimental results showed that it outperformed single-dimensional traditional methods and benchmark indices.
Wanli Chen and Zhe Qin , 2006. Identification of Two-Way Reflexivity Dynamics in an Integrated Investment Decision-Support Framework. Asian Journal of Information Technology, 5: 732-741.