Identification of a Two-Way Reflexivity Model in an Integrated Investment Decision-Support Framework

In stock markets, the performance of traditional technology-based investment methods is limited because they only take into account singledimensional event factors. The paper shows how the integration of multi-dimensional event factors can improve performance, in which we emphasize on one key thing that previous studies have neglected: a two-way reflexivity model of investors' decisions and market reactions. This model is thoroughly studied using VAR method in the paper. Our studies show that it 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 aspect is promising, because our experimental results show that it outperforms single-dimensional traditional methods and benchmark indices.

• Type: Conference
• Year: 2006
• Where: CSREAEEE
• Authors: Wanli Chen
• Keywords: CSREAEEE 2006, CSREAEEE 2007, Event Factors, Multi-dimensional Event Factors, Traditional Technology-based Investment