• Journal of Intelligence and Information Systems
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• v.16 no.3
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• pp.77-97
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• 2010

Market timing is an investment strategy which is used for obtaining excessive return from financial market. In general, detection of market timing means determining when to buy and sell to get excess return from trading. In many market timing systems, trading rules have been used as an engine to generate signals for trade. On the other hand, some researchers proposed the rough set analysis as a proper tool for market timing because it does not generate a signal for trade when the pattern of the market is uncertain by using the control function. The data for the rough set analysis should be discretized of numeric value because the rough set only accepts categorical data for analysis. Discretization searches for proper "cuts" for numeric data that determine intervals. All values that lie within each interval are transformed into same value. In general, there are four methods for data discretization in rough set analysis including equal frequency scaling, expert's knowledge-based discretization, minimum entropy scaling, and na$\ddot{i}$ve and Boolean reasoning-based discretization. Equal frequency scaling fixes a number of intervals and examines the histogram of each variable, then determines cuts so that approximately the same number of samples fall into each of the intervals. Expert's knowledge-based discretization determines cuts according to knowledge of domain experts through literature review or interview with experts. Minimum entropy scaling implements the algorithm based on recursively partitioning the value set of each variable so that a local measure of entropy is optimized. Na$\ddot{i}$ve and Booleanreasoning-based discretization searches categorical values by using Na$\ddot{i}$ve scaling the data, then finds the optimized dicretization thresholds through Boolean reasoning. Although the rough set analysis is promising for market timing, there is little research on the impact of the various data discretization methods on performance from trading using the rough set analysis. In this study, we compare stock market timing models using rough set analysis with various data discretization methods. The research data used in this study are the KOSPI 200 from May 1996 to October 1998. KOSPI 200 is the underlying index of the KOSPI 200 futures which is the first derivative instrument in the Korean stock market. The KOSPI 200 is a market value weighted index which consists of 200 stocks selected by criteria on liquidity and their status in corresponding industry including manufacturing, construction, communication, electricity and gas, distribution and services, and financing. The total number of samples is 660 trading days. In addition, this study uses popular technical indicators as independent variables. The experimental results show that the most profitable method for the training sample is the na$\ddot{i}$ve and Boolean reasoning but the expert's knowledge-based discretization is the most profitable method for the validation sample. In addition, the expert's knowledge-based discretization produced robust performance for both of training and validation sample. We also compared rough set analysis and decision tree. This study experimented C4.5 for the comparison purpose. The results show that rough set analysis with expert's knowledge-based discretization produced more profitable rules than C4.5.

• Korean Journal of Soil Science and Fertilizer
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• v.40 no.5
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• pp.383-391
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• 2007

This study was conducted for an assessment through the estimation of soil loss by each catchment classified by soil catena. Ten catchments, which are Geumgang21, Namgang03, Dongjincheon, Gapyongcheon01, Gyongancheon02, Geumgang16, Byongsungcheon01, Daesincheon, Bukcheon02, Youngsangang08, were selected from the hydrologic unit map and the detailed soil digital map (1:25,000) for this study. The catchments like Geumgang21, Namgang03, Dongjincheon, Gapyongcheon01 and Gyongancheon02 were mainly composed with soils originated from gneiss. The catchments like Geumgang16, Byongsungcheon01, Daesincheon, Bukcheon02 and Youngsangang08 were mainly composed with soils originated from granites. The grades, which are divided into seven grades with A(very tolerable), B(tolerable), C(moderate), D(low), E(high), F(severe), G(very severe), of soil erosion estimated by USLE in catchments were distributed in most A and B because of paddy land and forestry. In detailed, the soil erosion grade of catchments mainly distributing soils originated from gneiss showed more the distribution of B and C than it of catchments mainly distributing soils originated from granites. The reason of results would be derived from topographic characteristics of soils originated from gneiss located at mountainous. The soil loss according to soil catena linked with Songsan and Jigok series, which are soils originated from gneiss was calculated with $7.66ton\;ha^{-1}\;yr^{-1}$. The soil loss of Geumgang16, Byongsungcheon01, Daesincheon, Bukcheon02 which have the soil catena linked with Samgak and Sangju soil series originated from granite, was calculated with $5.55ton\;ha^{-1}\;yr^{-1}$. The soil loss of Youngsangang08 which have the soil catena linked with Songjung and Baeksan soil series originated from granite was calculated with $9.6ton\;ha^{-1}\;yr^{-1}$, but the conclusion on soil loss in this kind of soil catena would be drawn from the analysis of more catchments. In conclusion, the results of this study inform that the classification of soil catena by catchments and estimation of soil loss according to soil catena would be effective for analysis on the grade of non-point pollution by soil erosion in a catchment.