A multi-agent-based decision support system for bankruptcy contagion effects

  • Authors:

  • Jinyu Zhang;Lin Cheng;Huaiqing Wang

  • Affiliations:

  • Software Institute, Nanjing University, 22 Hankou Road, Gu Lou, Nanjing, Jiangsu, PR China;USTC-CityU Joint Advanced Research Center, Suzhou, PR China and Department of Information Systems, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong;Department of Information Systems, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong

  • Venue:
  • Expert Systems with Applications: An International Journal
  • Year:
  • 2012

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Abstract

With the increasing interdependence of marketing participants, distress experienced by a specific entity may cause other connecting firms to encounter financial difficulties, leading to a negative impact on their stock valuations. At the same time, individual investors have a great need to gain relevant information for portfolio risk management. The monitoring vision cannot be limited to investors' portfolios but must take into account any potential candidates affected. Based on the ontological knowledge model of inter-firm relationships, the proposed multi-agent decision support system continuously observes real-time news reports and forecasts their potential impact on the corresponding stock price. After identifying relating companies for which significant market reactions can be expected, a wireless push-based message service promptly supplies information. A case study is used to illustrate the multi-agent-based decision support system (MAB-DSS) implementation and its use. The example shows that the MAB-DSS can automate the solution for intricate and dynamic valuation effects among interdependent firms and provide constructive advice for individual investors.