TY  - JOUR
T1  - Identification of Two-Way Reflexivity Dynamics in an Integrated Investment Decision-Support Framework
AU - , Wanli Chen AU - , Zhe Qin 
JO  - Asian Journal of Information Technology
VL  - 5
IS  - 7
SP  - 732
EP  - 741
PY  - 2006
DA  - 2001/08/19
SN  - 1682-3915
DO  - ajit.2006.732.741
UR  - https://makhillpublications.co/view-article.php?doi=ajit.2006.732.741
KW  - Two-way reflexivity
KW  -integrated investment framework
AB  - 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.
ER  -