Title: An integrated investment decision-support framework analysing and synthesising multidimensional market dynamics

Authors: Wanli Chen, Longbing Cao, Zhe Qin

Addresses: Faculty of Information Technology, University of Technology, 235-253 Jones Street, Ultimo, Sydney 2000, Australia. ' Faculty of Information Technology, University of Technology, 235-253 Jones Street, Ultimo, Sydney 2000, Australia. ' Nanning Prefecture Education College, Nanning, PR China

Abstract: In stock markets, the performance of traditional technology-based investment methods is limited because such methods only take into account single-dimensional market dynamics. The paper shows how the integration of multi-dimensional dynamics can improve performance. We propose a novel three-layer integrated framework composed of Analysis, Synthesis, and Investment Decision Support. At the first layer, multi-dimensional market dynamics are identified, in which we emphasise two key aspects that previous studies have neglected: unique trends of stocks, and a two-way reflexivity relationship of investors| decisions and market reactions. At the second layer, multi-dimensional dynamics are synthesized to reflect real and potential market situations. At the third layer, a prototype integrates the functions of first two layers for investment decision support. The framework covers multi-dimensional dynamics, and incorporates the concepts and advantages of traditional investment methods. The framework is promising, and our experimental results indicated that it outperformed market baselines and single-dimensional conventional methods.

Keywords: synthesis; two-way reflexivity model; unique trends; investment decisions; decision support systems; DSS; stock markets; market dynamics; multi-dimensional dynamics.

DOI: 10.1504/IJISTA.2008.017270

International Journal of Intelligent Systems Technologies and Applications, 2008 Vol.4 No.3/4, pp.239 - 253

Available online: 22 Feb 2008 *

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