• Title/Summary/Keyword: Comparative Time-Series Analysis

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Black-Litterman Portfolio with K-shape Clustering (K-shape 군집화 기반 블랙-리터만 포트폴리오 구성)

  • Yeji Kim;Poongjin Cho
    • Journal of Korean Society of Industrial and Systems Engineering
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    • v.46 no.4
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    • pp.63-73
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    • 2023
  • This study explores modern portfolio theory by integrating the Black-Litterman portfolio with time-series clustering, specificially emphasizing K-shape clustering methodology. K-shape clustering enables grouping time-series data effectively, enhancing the ability to plan and manage investments in stock markets when combined with the Black-Litterman portfolio. Based on the patterns of stock markets, the objective is to understand the relationship between past market data and planning future investment strategies through backtesting. Additionally, by examining diverse learning and investment periods, it is identified optimal strategies to boost portfolio returns while efficiently managing associated risks. For comparative analysis, traditional Markowitz portfolio is also assessed in conjunction with clustering techniques utilizing K-Means and K-Means with Dynamic Time Warping. It is suggested that the combination of K-shape and the Black-Litterman model significantly enhances portfolio optimization in the stock market, providing valuable insights for making stable portfolio investment decisions. The achieved sharpe ratio of 0.722 indicates a significantly higher performance when compared to other benchmarks, underlining the effectiveness of the K-shape and Black-Litterman integration in portfolio optimization.

A Study on the Direction of Domestic Sharing Economy through Comparative Analysis of Domestic and Overseas Business Cases (국내 및 해외 비즈니스 사례 비교 분석을 통한 국내 공유경제 비즈니스 발전 방향 연구)

  • Won, Jong Byeok;Baek, Dong Hyun
    • Journal of Korean Society of Industrial and Systems Engineering
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    • v.42 no.4
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    • pp.106-115
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    • 2019
  • A sharing economy has emerged through today's trust-building mechanisms, and a sharing economy is called a future economic model through a positive future market prospect. In this context, while the overseas sharing economic business is becoming a global trend, the domestic sharing economic business is busy following the global trend. The purpose of this study is to investigate the development direction of sharing economic business in Korea. First, the sharing economic cases of 50 oversea and domestic businesses were analyzed by time series analysis. Next, a cross-country analysis to analyze the business distribution and KCERN's sharing economic model through sharing economic cube model was conducted. Finally, profit model analysis through business case study and the relationship between the derived factors were investigated. As a result of the analysis, this study found comparative trends between overseas and domestic including differences in cultural and institutional environments and profit models. This study suggested directions for domestic sharing economy business.

Exploiting Patterns for Handling Incomplete Coevolving EEG Time Series

  • Thi, Ngoc Anh Nguyen;Yang, Hyung-Jeong;Kim, Sun-Hee
    • International Journal of Contents
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    • v.9 no.4
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    • pp.1-10
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    • 2013
  • The electroencephalogram (EEG) time series is a measure of electrical activity received from multiple electrodes placed on the scalp of a human brain. It provides a direct measurement for characterizing the dynamic aspects of brain activities. These EEG signals are formed from a series of spatial and temporal data with multiple dimensions. Missing data could occur due to fault electrodes. These missing data can cause distortion, repudiation, and further, reduce the effectiveness of analyzing algorithms. Current methodologies for EEG analysis require a complete set of EEG data matrix as input. Therefore, an accurate and reliable imputation approach for missing values is necessary to avoid incomplete data sets for analyses and further improve the usage of performance techniques. This research proposes a new method to automatically recover random consecutive missing data from real world EEG data based on Linear Dynamical System. The proposed method aims to capture the optimal patterns based on two main characteristics in the coevolving EEG time series: namely, (i) dynamics via discovering temporal evolving behaviors, and (ii) correlations by identifying the relationships between multiple brain signals. From these exploits, the proposed method successfully identifies a few hidden variables and discovers their dynamics to impute missing values. The proposed method offers a robust and scalable approach with linear computation time over the size of sequences. A comparative study has been performed to assess the effectiveness of the proposed method against interpolation and missing values via Singular Value Decomposition (MSVD). The experimental simulations demonstrate that the proposed method provides better reconstruction performance up to 49% and 67% improvements over MSVD and interpolation approaches, respectively.

Corporate Default Prediction Model Using Deep Learning Time Series Algorithm, RNN and LSTM (딥러닝 시계열 알고리즘 적용한 기업부도예측모형 유용성 검증)

  • Cha, Sungjae;Kang, Jungseok
    • Journal of Intelligence and Information Systems
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    • v.24 no.4
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    • pp.1-32
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    • 2018
  • In addition to stakeholders including managers, employees, creditors, and investors of bankrupt companies, corporate defaults have a ripple effect on the local and national economy. Before the Asian financial crisis, the Korean government only analyzed SMEs and tried to improve the forecasting power of a default prediction model, rather than developing various corporate default models. As a result, even large corporations called 'chaebol enterprises' become bankrupt. Even after that, the analysis of past corporate defaults has been focused on specific variables, and when the government restructured immediately after the global financial crisis, they only focused on certain main variables such as 'debt ratio'. A multifaceted study of corporate default prediction models is essential to ensure diverse interests, to avoid situations like the 'Lehman Brothers Case' of the global financial crisis, to avoid total collapse in a single moment. The key variables used in corporate defaults vary over time. This is confirmed by Beaver (1967, 1968) and Altman's (1968) analysis that Deakins'(1972) study shows that the major factors affecting corporate failure have changed. In Grice's (2001) study, the importance of predictive variables was also found through Zmijewski's (1984) and Ohlson's (1980) models. However, the studies that have been carried out in the past use static models. Most of them do not consider the changes that occur in the course of time. Therefore, in order to construct consistent prediction models, it is necessary to compensate the time-dependent bias by means of a time series analysis algorithm reflecting dynamic change. Based on the global financial crisis, which has had a significant impact on Korea, this study is conducted using 10 years of annual corporate data from 2000 to 2009. Data are divided into training data, validation data, and test data respectively, and are divided into 7, 2, and 1 years respectively. In order to construct a consistent bankruptcy model in the flow of time change, we first train a time series deep learning algorithm model using the data before the financial crisis (2000~2006). The parameter tuning of the existing model and the deep learning time series algorithm is conducted with validation data including the financial crisis period (2007~2008). As a result, we construct a model that shows similar pattern to the results of the learning data and shows excellent prediction power. After that, each bankruptcy prediction model is restructured by integrating the learning data and validation data again (2000 ~ 2008), applying the optimal parameters as in the previous validation. Finally, each corporate default prediction model is evaluated and compared using test data (2009) based on the trained models over nine years. Then, the usefulness of the corporate default prediction model based on the deep learning time series algorithm is proved. In addition, by adding the Lasso regression analysis to the existing methods (multiple discriminant analysis, logit model) which select the variables, it is proved that the deep learning time series algorithm model based on the three bundles of variables is useful for robust corporate default prediction. The definition of bankruptcy used is the same as that of Lee (2015). Independent variables include financial information such as financial ratios used in previous studies. Multivariate discriminant analysis, logit model, and Lasso regression model are used to select the optimal variable group. The influence of the Multivariate discriminant analysis model proposed by Altman (1968), the Logit model proposed by Ohlson (1980), the non-time series machine learning algorithms, and the deep learning time series algorithms are compared. In the case of corporate data, there are limitations of 'nonlinear variables', 'multi-collinearity' of variables, and 'lack of data'. While the logit model is nonlinear, the Lasso regression model solves the multi-collinearity problem, and the deep learning time series algorithm using the variable data generation method complements the lack of data. Big Data Technology, a leading technology in the future, is moving from simple human analysis, to automated AI analysis, and finally towards future intertwined AI applications. Although the study of the corporate default prediction model using the time series algorithm is still in its early stages, deep learning algorithm is much faster than regression analysis at corporate default prediction modeling. Also, it is more effective on prediction power. Through the Fourth Industrial Revolution, the current government and other overseas governments are working hard to integrate the system in everyday life of their nation and society. Yet the field of deep learning time series research for the financial industry is still insufficient. This is an initial study on deep learning time series algorithm analysis of corporate defaults. Therefore it is hoped that it will be used as a comparative analysis data for non-specialists who start a study combining financial data and deep learning time series algorithm.

A Visualization System for Multiple Heterogeneous Network Security Data and Fusion Analysis

  • Zhang, Sheng;Shi, Ronghua;Zhao, Jue
    • KSII Transactions on Internet and Information Systems (TIIS)
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    • v.10 no.6
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    • pp.2801-2816
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    • 2016
  • Owing to their low scalability, weak support on big data, insufficient data collaborative analysis and inadequate situational awareness, the traditional methods fail to meet the needs of the security data analysis. This paper proposes visualization methods to fuse the multi-source security data and grasp the network situation. Firstly, data sources are classified at their collection positions, with the objects of security data taken from three different layers. Secondly, the Heatmap is adopted to show host status; the Treemap is used to visualize Netflow logs; and the radial Node-link diagram is employed to express IPS logs. Finally, the Labeled Treemap is invented to make a fusion at data-level and the Time-series features are extracted to fuse data at feature-level. The comparative analyses with the prize-winning works prove this method enjoying substantial advantages for network analysts to facilitate data feature fusion, better understand network security situation with a unified, convenient and accurate mode.

Biomechanical Analysis of Human Stability According to Running Speed: A Comparative Analysis of Lyapunov Exponent and Coefficient of Variation Methods (달리기 속도에 따른 인체 안정성의 생체역학적 분석: 리아프노프 지수와 변이계수 방법의 비교 분석)

  • Ho-Jong Gil
    • Korean Journal of Applied Biomechanics
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    • v.33 no.1
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    • pp.34-44
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    • 2023
  • Objective: The purpose of this study was to examine the effects of increasing running speed on human stability by comparing the Lyapunov Exponent (LyE) and Coefficient of Variation (CV) methods, with the goal of identifying key variables and uncovering new insights. Method: Fourteen adult males (age: 24.7 ± 6.4 yrs, height: 176.9 ± 4.6 cm, weight: 74.7 ± 10.9 kg) participated in this study. Results: In the CV method, significant differences were observed in ankle (flexion-inversion/eversion; p < .05) and hip joint (internal-external rotation; p < .05) movements, while the center of mass (COM) variable in the coronal axis movements showed a significant difference at the p < .001 level. In the LyE method, statistical differences were observed at the p < .05 level in knee (flexion-extension), hip joint (internal-external rotation) movements, and COM across all three directions (sagittal, coronal, and transverse axis). Conclusion: Our results revealed that the stability of the human body is affected at faster running speeds. The movement of the COM and ankle joint were identified as the most critical factors influencing stability. This suggests that LyE, a nonlinear time series analysis, should be actively introduced to better understand human stabilization strategies.

Research for Time Variation of $C_{20}$ Using GRACE and SLR Measurements (GRACE 및 SLR 자료를 이용한 $C_{20}$의 시계열 변화 연구)

  • Huang, He;Yun, Hong-Sic;Lee, Dong-Ha
    • Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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    • v.26 no.5
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    • pp.513-518
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    • 2008
  • The research of global-scale mass redistribution and it changed by Earth gravity filed variation observations, including Earth's oblateness $J_2$(also called low degree spherical harmonic coefficient $C_{20}$), is in continuous progress. Recently, the comparative analysis of geodetic observation SLR can be made by the development of GRACE and other time-variable gravity measurements. In this study, $C_{20}$ time series changes in the value of comparative analysis was got by GRACE monthly Gravity filed model (CSR RL04) for the period April 2002 to May 2008. And comparative analysis the harmonic coefficients of $C_{20}$ was obtained from SLR observations. Signal analysis for two time-series data was made by wavelet transform, CWT(continuous wavelet transform), XWT(cross wavelet transform) and WTC(wavelet coherence) methods. The results indicate that GRACE and SLR values for $C_{20}$ had both decreasing trend, as well as SLR data represent the annual frequencies, and GRACE was semiannual variations. In addition, the results of GRACE and SLR had a strong correlation with the XWT and WTC in an annual cycle.

Comparative Interrupted Time Series Analysis of Medical Expenses in Patients with Intertrochanteric Fracture Who Underwent Internal Fixation and Hemiarthroplasty

  • Seung-Hoon Kim;Yonghan Cha;Suk-Yong Jang;Bo-Yeon Kim;Hyo-Jung Lee;Gui-Ok Kim
    • Hip & pelvis
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    • v.36 no.2
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    • pp.144-154
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    • 2024
  • Purpose: The objective of this study was to assess postoperative direct medical expenses and medical utilization of elderly patients who underwent either hemiarthroplasty (HA) or internal fixation (IF) for treatment of a femoral intertrochanteric fracture and to analyze differences according to surgical methods and age groups. Materials and Methods: Data from the 2011 to 2018 Korean National Health Insurance Review & Assessment Service database were used. Risk-set matching was performed for selection of controls representing patients with the same sex, age, and year of surgery. A comparative interrupted time series analysis was performed for evaluation of differences in medical expenses and utilization between the two groups. Results: A total of 10,405 patients who underwent IF surgery and 10,405 control patients who underwent HA surgery were included. Medical expenses were 18% lower in the IF group compared to the HA group during the first year after the fracture (difference-in-difference [DID] estimate ratio 0.82, 95% confidence interval [CI] 0.77-0.87, P<0.001), and 9% lower in the second year (DID estimate ratio 0.91, 95% CI 0.85-0.99, P=0.018). Length of hospital stay was significantly shorter in the IF group compared to the HA group during the first two years after time zero in the age ≥80 group. Conclusion: A noticeable increase in medical expenses was observed for patients who underwent HA for treatment of intertrochanteric fractures compared to those who underwent IF over a two-year period after surgery. Therefore, consideration of such findings is critical when designing healthcare policy support for management of intertrochanteric fractures.

A Comparative Study on the Prediction of the Final Settlement Using Preexistence Method and ARIMA Method (기존기법과 ARIMA기법을 활용한 최종 침하량 예측에 관한 비교 연구)

  • Kang, Seyeon
    • Journal of the Korean GEO-environmental Society
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    • v.20 no.10
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    • pp.29-38
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    • 2019
  • In stability and settlement management of soft ground, the settlement prediction technology has been continuously developed and used to reduce construction cost and confirm the exact land use time. However, the preexistence prediction methods such as hyperbolic method, Asaoka method and Hoshino method are difficult to predict the settlement accurately at the beginning of consolidation because the accurate settlement prediction is possible only after many measurement periods have passed. It is judged as the reason for estimating the future settlement through the proportionality assumption of the slope which the preexistence prediction method computes from the settlement curve. In this study, ARIMA technique is introduced among time series analysis techniques and compared with preexistence prediction methods. ARIMA method was predictable without any distinction of ground conditions, and the results similar to the existing method are predicted early (final settlement).

Comparative Behavior Analysis in Love Model with Same and Different Time Delay (동일 시간 지연과 서로 다른 시간 지연을 갖는 사랑모델에서의 비교 거동 해석)

  • Huang, Linyun;Ba, Young-Chul
    • Journal of the Korean Institute of Intelligent Systems
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    • v.25 no.3
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    • pp.210-216
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    • 2015
  • It is well known that the structure of brain and consciousness of human have a phenomena of complex system. The human emotion have a many kind. The love is one of human emotion, which have been studied in sociology and psychology as a matter of great interested thing. In this paper, we consider a same and different time delay in love equation of Romeo and Juliet. We represent a behavior of love as a time series and phase portrait, and analyze the difference of behaviors between a same and different time delay.