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Full-Text Articles in Physical Sciences and Mathematics
Technology Investment Decision-Making Under Uncertainty, Robert J. Kauffman, Jun Liu, Dan Ma
Technology Investment Decision-Making Under Uncertainty, Robert J. Kauffman, Jun Liu, Dan Ma
Research Collection School Of Computing and Information Systems
Innovations involving information technology (IT) provide potentially valuable investment opportunities for industry and government organizations. Significant uncertainties are associated with decision-making for IT investment though, a problem that senior executives have been concerned about for a long time. The uncertainties include consumer, market and regulatory responses, IT-driven changes in operational and transactional performance, technology standards and competition, and future market conditions. All these things have an impact on organizations’ willingness to adopt. As a result, traditional capital budgeting, investment experience, and intuition have not been very effective in IT investment decision-making. We propose a new option-based stochastic valuation modeling approach …
Moving Average Reversion Strategy For On-Line Portfolio Selection, Bin Li, Steven C. H. Hoi, Doyen Sahoo, Zhi-Yong Liu
Moving Average Reversion Strategy For On-Line Portfolio Selection, Bin Li, Steven C. H. Hoi, Doyen Sahoo, Zhi-Yong Liu
Research Collection School Of Computing and Information Systems
On-line portfolio selection, a fundamental problem in computational finance, has attracted increasing interest from artificial intelligence and machine learning communities in recent years. Empirical evidence shows that stock's high and low prices are temporary and stock prices are likely to follow the mean reversion phenomenon. While existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied, leading to poor performance in certain real datasets. To overcome this limitation, this article proposes a multiple-period mean reversion, or so-called "Moving Average Reversion" (MAR), and …