Design Theory for Market Surveillance Systems

• 成果类型: Article
• 署名作者: Li, Xin; Sun, Sherry X.; Chen, Kun; Fung, Terrance; Wang, Huaiqing
• 署名单位: City University of Hong Kong; Southern University of Science & Technology; Wuhan University of Technology
• 刊物名称: JOURNAL OF MANAGEMENT INFORMATION SYSTEMS
• ISSN/ISSBN: 0742-1222
• DOI: 10.1080/07421222.2015.1063312
• 发表日期: 2015
• 页码: 278-313
• 关键词: text comprehension; SCIENCE RESEARCH; KNOWLEDGE; MODEL; news; integration

摘要

Market surveillance systems (MSSs) are information systems that monitor financial markets to combat market abuses. Existing MSSs focus mainly on analyzing trading activities and are often developed through a trial-and-error approach by screening data mining algorithms and features. The void of theoretical direction limits the effectiveness of MSSs and calls for the development of a design theory based on a thorough examination of the meta-requirements of MSSs. Based on the efficient market hypothesis and text understanding theory, this paper argues that market information analysis should be incorporated into MSSs and common-sense knowledge should be employed to connect related events to transactions and provide reference concepts for understanding market context and assessing transaction risk. We show the effectiveness of this proposed design theory through developing and evaluating a prototype system in the context of a real-world stock exchange market. By taking a theory-driven approach, this research shows the possibility and provides guidelines on the use of market information analysis to alleviate the market surveillance problem, which has significant implications for financial markets and the economy given the explosive growth of illegal trading activities worldwide.