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A Study on Commodity Asset Investment Model Based on Machine Learning Technique (기계학습을 활용한 상품자산 투자모델에 관한 연구)

  • Song, Jin Ho;Choi, Heung Sik;Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.23 no.4
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    • pp.127-146
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    • 2017
  • Services using artificial intelligence have begun to emerge in daily life. Artificial intelligence is applied to products in consumer electronics and communications such as artificial intelligence refrigerators and speakers. In the financial sector, using Kensho's artificial intelligence technology, the process of the stock trading system in Goldman Sachs was improved. For example, two stock traders could handle the work of 600 stock traders and the analytical work for 15 people for 4weeks could be processed in 5 minutes. Especially, big data analysis through machine learning among artificial intelligence fields is actively applied throughout the financial industry. The stock market analysis and investment modeling through machine learning theory are also actively studied. The limits of linearity problem existing in financial time series studies are overcome by using machine learning theory such as artificial intelligence prediction model. The study of quantitative financial data based on the past stock market-related numerical data is widely performed using artificial intelligence to forecast future movements of stock price or indices. Various other studies have been conducted to predict the future direction of the market or the stock price of companies by learning based on a large amount of text data such as various news and comments related to the stock market. Investing on commodity asset, one of alternative assets, is usually used for enhancing the stability and safety of traditional stock and bond asset portfolio. There are relatively few researches on the investment model about commodity asset than mainstream assets like equity and bond. Recently machine learning techniques are widely applied on financial world, especially on stock and bond investment model and it makes better trading model on this field and makes the change on the whole financial area. In this study we made investment model using Support Vector Machine among the machine learning models. There are some researches on commodity asset focusing on the price prediction of the specific commodity but it is hard to find the researches about investment model of commodity as asset allocation using machine learning model. We propose a method of forecasting four major commodity indices, portfolio made of commodity futures, and individual commodity futures, using SVM model. The four major commodity indices are Goldman Sachs Commodity Index(GSCI), Dow Jones UBS Commodity Index(DJUI), Thomson Reuters/Core Commodity CRB Index(TRCI), and Rogers International Commodity Index(RI). We selected each two individual futures among three sectors as energy, agriculture, and metals that are actively traded on CME market and have enough liquidity. They are Crude Oil, Natural Gas, Corn, Wheat, Gold and Silver Futures. We made the equally weighted portfolio with six commodity futures for comparing with other commodity indices. We set the 19 macroeconomic indicators including stock market indices, exports & imports trade data, labor market data, and composite leading indicators as the input data of the model because commodity asset is very closely related with the macroeconomic activities. They are 14 US economic indicators, two Chinese economic indicators and two Korean economic indicators. Data period is from January 1990 to May 2017. We set the former 195 monthly data as training data and the latter 125 monthly data as test data. In this study, we verified that the performance of the equally weighted commodity futures portfolio rebalanced by the SVM model is better than that of other commodity indices. The prediction accuracy of the model for the commodity indices does not exceed 50% regardless of the SVM kernel function. On the other hand, the prediction accuracy of equally weighted commodity futures portfolio is 53%. The prediction accuracy of the individual commodity futures model is better than that of commodity indices model especially in agriculture and metal sectors. The individual commodity futures portfolio excluding the energy sector has outperformed the three sectors covered by individual commodity futures portfolio. In order to verify the validity of the model, it is judged that the analysis results should be similar despite variations in data period. So we also examined the odd numbered year data as training data and the even numbered year data as test data and we confirmed that the analysis results are similar. As a result, when we allocate commodity assets to traditional portfolio composed of stock, bond, and cash, we can get more effective investment performance not by investing commodity indices but by investing commodity futures. Especially we can get better performance by rebalanced commodity futures portfolio designed by SVM model.

Effect of Additional 1 hour T-piece Trial on Weaning Outcome to the Patients at Minimum Pressure Support (최소압력보조 수준에서 추가적 1시간 T-piece 시도가 이탈에 미치는 영향)

  • Hong, Sang-Bum;Koh, Youn-Suck;Lim, Chae-Man;Ann, Jong-Jun;Park, Wann;Shim, Tae-Son;Lee, Sang-Do;Kim, Woo-Sung;Kim, Dong-Soon;Kim, Won-Dong
    • Tuberculosis and Respiratory Diseases
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    • v.45 no.4
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    • pp.813-822
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    • 1998
  • Background: Extubation is recommended to be performed at minimum pressure support (PSmin) during the pressure support ventilation (PSV). In field, physicians sometimes perform additional 1 hr T-piece trial to the patient at PSmin to reduce re-intubation risk. Although it provides confirmation of patient's breathing reserve, weaning could be delayed due to increased airway resistance by endotracheal tube. Methods: To investigate the effect of additional 1 hr T-piece trial on weaning outcome, a prospective study was done in consecutive 44 patients who had received mechanical ventilation more than 3 days. Respiratory mechanics, hemodymic, and gas exchange measurements were done and the level of PSmin was calculated using the equation (PSmin=peak inspiratory flow rate $\times$ total ventilatory system resistance) at the 15cm $H_2O$ of pressure support. At PSmin, the patients were randomized into intervention (additional 1 hr T-piece trial) and control (extubation at PSmin). The measurements were repeated at PSmm, during weaning process (in cases of intervention), and after extubation. The weaning success was defined as spontaneous breathing more than 48hr after extubation. In intervention group, failure to continue weaning process was also considered as weaning failure. Results: Thirty-six patients with 42 times weaning trial were satisfied to the protocol. Mean PSmin level was 7.6 (${\pm}1.9$)cm $H_2O$. There were no differences in total ventilation times (TVT), APACHE III score, nutritional indices, and respiratory mechanics at PSmin between 2 groups. The weaning success rate and re-intubation rate were not different between intervention group (55% and 18% in each) and control group (70% and 20% in each) at first weaning trial. Work of breathing, pressure time product, and tidal volume were aggravated during 1 hr T-piece trial compared to those of PSmin in intervention group ($10.4{\pm}1.25$ and $1.66{\pm}1.08$ J/L in work of breathing) ($191{\pm}232$ and $287{\pm}217$cm $H_2O$ s/m in pressure time product) ($0.33{\pm}0.09$ and $0.29{\pm}0.09$ L in tidal volume) (P<0.05 in each). As in whole, TVT, and tidal volume at PSmin were significantly different between the patients with weaning success ($246{\pm}195$ hr, $0.43{\pm}0.11$ L) and the those with weaning failure ($407{\pm}248$ hr, $0.35{\pm}0.10$L) (P<0.05 in each). Conclusion : There were no advantage to weaning outcome by addition of 1 hr T-piece trial compared to prompt extubation to the patient at PS min.

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Preoperative Evaluation for the Prediction of Postoperative Mortality and Morbidity in Lung Cancer Candidates with Impaired Lung Function (폐기능이 저하된 폐암환자에서 폐절제술후 합병증의 예측 인자 평가에 관한 전향적 연구)

  • Perk, Jeong-Woong;Jeong, Sung-Whan;Nam, Gui-Hyun;Suh, Gee-Young;Kim, Ho-Cheol;Chung, Man-Pyo;Kim, Ho-Joong;Kwon, O-Jung;Rhee, Chong-H.
    • Tuberculosis and Respiratory Diseases
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    • v.48 no.1
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    • pp.14-23
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    • 2000
  • Background: The evaluation of candidates for successful lung resection is important. Our study was conducted to determine the preoperative predictors of postoperative mortality and morbidity in lung cancer patients with impaired lung function. Method; Between October 1, 1995 and August 31, 1997, 36 lung resection candidates for lung cancer with $FEV_1$ of less than 2L or 60% of predicted value were included prospectively. Age, sex, weight loss, hematocrit, serum albumin, EKG and concomitant illness were considered as systemic potential predictors for successful lung resection. Smoking history, presence of pneumonia, dyspnea scale(l to 4), arterial blood gas analysis with room air breathing, routine pulmonary function test were also included for the analysis. In addition, predicted postoperative(ppo) pulmonary factors such as ppo-$FEV_1$ ppo-diffusing capacity(DLco), predicted postoperative product(PPP) of ppo-$FEV_1%{\times}$ppo-DLco% and ppo-maximal $O_2$ uptake($VO_2$max) were also measured. Results: There were 31 men and 5 women with the median age of 65 years(range, 44 to 82) and a mean $FEV_1$ of $1.78{\pm}0.06L$. Pneumonectomy was performed in 14 patients, bilobectomy in 8, lobectomy in 14. Pulmonary complications developed in 10 patients; cardiac complications in 3, other complications(empyema, air leak, bleeding) in 4. Twelve patients were managed in the intensive care unit for more than 48 hours. Two patients died within 30 days after operation. The ppo-$VO_2$max was less than 10 ml/kg/min in these two patients. MVV was the only predictor for the pulmonary complications. However, there was no predictor for the post operative death in this study. Conclusions: Based on the results, MVV was the useful predictor for postoperative pulmonary complications in lung cancer resection candidates with impaired lung function In addition, ppo-$VO_2$max value less than 10 ml/kg/min was associated with postoperative death, so exercise pulmonary function test could be useful as preoperative test. But further studies are needed to validate this result.

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The effects of aqueous extracts of plant roots on germination of seeds and growth of seedings (식물근의 추출물질이 종자발아 및 유식물의 생장에 미치는 영향)

  • Chan-Ho Park
    • KOREAN JOURNAL OF CROP SCIENCE
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    • v.4 no.1
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    • pp.1-23
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    • 1968
  • This study aimed at contributing to the improvement of cropping systems after finding out the effects of excrements and components of crop root influence on other crops as well as themselves. The following forage crops suitable for our country were selected for the present study. Aqueous extracts of fresh roots, aqueous extracts of rotting roots and aqueous solutions of excrements of red clover, orchard grass and brome grass were studied for the effects influencing the germination and growth of seedlings of red clover, ladino clover, lespedeza, soybean, orchard grass, Italian ryegrass, brome grass, barley, wheat, sorghum, corn and Hog-millet. In view of the possibility that the organic acid might be closely related to the excrements and components of crop root connected with soil sickness, the acid components of three species of roots were analysed by paper chromatography and gas chromatography method. The following results were obtained: 1. Effects of Aqueous Extracts of Fresh Roots : Aqueous extracts of red clover: The extracts inhibited the growth of seedlings of the ladino clover and lespedeza and also inhibited the development of most crops except that of sorghum among the Graminaceae. Aqueous extracts of orchard grass: The extracts promoted the seedlings growth of red clover and soybean, while it inhibited the germination and growth of orchard grass. There were no noticeable effects influencing other crops while it inhibited the growth of barley and Hog-millet. Aqueous extracts of brome grass: There was no effect on Italian ryegrass but there was an inhibiting effect on the other crops. 2. Effects of Aqueous Extracts of Rotting Roots : Aqueous extracts of red clover: The extracts promoted the seedling growth of red clover. But it reflected the inhibiting effects on other crops except sorghum. Aqueous extracts of orchard grass: The extracts promoted the growth of red clover, ladino clover, soybean and sorghun, while it inhibited the germination and rooting of barley and Hog-millet. Aqueous extracts of brome grass: The extracts gave the promotive effects to the growth of red clover, soybean and sorghum, but caused inhibiting effects on orchard grass, brome grass, barley and Hog-millet. 3. Effects of Aqueous Solutions of Excrements : The aqueous solution of excrements of red clover reflected the inhibition effects to the growth of Graminaceae, while the aqueous solutions of excrements of orchard grass and Italian ryegrass caused the promotive effects on the growth of red clover. 4. Results of Organic Acid Analysis : The oxalic acid, citric acid, tartaric acid, malonic acid, malic acid and succinic acid were included in the roots of red clover as unvolatile organic acid, and in the orchard grass and brome grass there were included the oxalic acid, citric acid, tartaric acid and malic acid. And formic acid was confirmed in the red clover, orchard grass and brome grass as volatile organic acid. In consideration of the results mentioned in above the effects of excrements and components of roots found in this studies may be summarized as follows. 1) The red clover generally gave a disadvantageous effect on the Graminaceae. Such trend was considered chiefly caused by the presence of many organic acids, namely oxalic, citric, tartaric, malonic, malic, succinic and formic acid. 2) The orchard grass generally gave an advantageous effect on the Leguminosae. This may be due to a few kinds of organic acid contained in the root, namely oxalic, citric, tartaric, malic and formic acid. Furthermore a certain of promotive materials for growth was noted. 3) As long as the root of brome grass are not rotten, it gave a disadvantageous effect on the Leguminosae and Graminaceae. This may be due to the fact that several unidentified volatile organic acid were also included besides the confirmed organic acid, namely oxalic, citric, tartaric, malic and formic acid. 5. Effects of Components in Roots to the Soil Sickness : 1) It was considered that the cause of alleged red clover's soil sickness did not result from the toxic components of the roots. 2) It was recognized that the toxic components of roots might be the cause of soil sickness in case the orchard grass and brome grass were put into the long-term single cropping. 6. Effects of Rooted Components to the Companion Crops in the Cropping System : a) In case of aqueous extracts of fresh roots and aqueous excrements (Inter cropping and mixed cropping) : 1) Advantageous combinations : Orchard grass->Red clover, Soybean, Italian ryegrass->Red clover, 2) Disadvantageous combinations : Red clover->Ladino clover, Lespedeza, Orchard grass, Italian ryegrass, Fescue Ky-31, Brome grass, Barley, Wheat, Corn and Hog.millet, Orchard grass->Lespedeza, Orchard grass, Barley and Hog-millet, Brome grass->Red clover, Ladino clover, Lespedeza, Soybean, Orchard grass, Brome grass, Barley, Wheat, Sorghum, Corn and Hog-millet, 3) Harmless combinations : Red clover->Red clover, Soybean and Sorghum, Orchard grass->Ladino clover, Italian ryegrass, Brome grass, Wheat, Sorghum and Corn, Brome grass->Italian ryegrass, b) In case of aquecus extracts of rotting roots(After cropping) : 1) Advantageous combinations : Red clover->Red clover and Sorghum, Orchard grass->Red clover, Ladino clover, Soybean, Sorghum, and Corn, Brome grass->Red clover, Soybean and Sorghum, 2) Disadvantageous combinations : Red clover->Lespedeza, Orchard grass, Italian ryegrass, Brome grass, Barley, Wheat, and Hog-millet Orchard grass->Barley and Hog-millet, Brome grass->Orchard grass, Brome grass, Barley and Hog-millet, 3) Harmless combinations : Red clover->Ladino clover, Soybean and Corn, Orchard grass->Lespedeza, Orchard grass, Italian ryegrass, Brome grass and Wheat Brome gass->Ladino clover, Lespedeza, Italian ryegrass and Wheat.

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The Variation of Natural Population of Pinus densiflora S. et Z. in Korea (III) -Genetic Variation of the Progeny Originated from Mt. Chu-wang, An-Myon Island and Mt. O-Dae Populations- (소나무 천연집단(天然集團)의 변이(變異)에 관(關)한 연구(硏究)(III) -주왕산(周王山), 안면도(安眠島), 오대산(五臺山) 소나무집단(集團)의 차대(次代)의 유전변이(遺傳變異)-)

  • Yim, Kyong Bin;Kwon, Ki Won
    • Journal of Korean Society of Forest Science
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    • v.32 no.1
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    • pp.36-63
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    • 1976
  • The purpose of this study is to elucidate the genetic variation of the natural forest of Pinus densiflora. Three natural populations of the species, which are considered to be superior quality phenotypically, were selected. The locations and conditions of the populations are shown in table 1 and 2. The morphological traits of tree and needle and some other characteristics were presented already in our first report of this series in which population and family differences according to observed characteristics were statistically analyzed. Twenty trees were sampled from each populations, i.e., 60 trees in total. During the autumn of 1974, matured cones were collected from each tree and open-pollinated seeds were extracted in laboratory. Immediately after cone collection, in closed condition, the morphological characteristics were measured. Seed and seed-wing dimensions were also studied. In the spring of 1975, the seeds were sown in the experimental tree nursery located in Suweon. And in the April of 1976, the 1-0 seedlings were transplanted according to the predetermined experimental design, randomized block design with three replications. Because of cone setting condition. the number of family from which progenies were raised by populations were not equal. The numbers of family were 20 in population 1. 18 in population 2 and 15 in population 3. Then, each randomized block contained seedlings of 53 families from 3 populations. The present paper is mainly concerned with the variation of some characteristics of cone, seed, needle, growth performance of seedlings, and chlorophyll and monoterpene compositions of needles. The results obtained are summerized as follows. 1. The meteorological data obtained by averaging the records of 30 year period, observed from the nearest station to each location of populations, are shown in Fig. 3, 4, and 5. The distributional pattern of monthly precipitation are quite similar among locations. However, the precipitation density on population 2, Seosan area, during growing season is lower as compared to the other two populations. Population 1. Cheong-song area, and population 3, Pyong-chang area, are located in inland, but population 2 in the western seacoast. The differences on the average monthly air temperatures and the average monthly lowest temperatures among populations can hardly be found. 2. Available information on the each mother trees (families) studied, such as age, stem height, diameter at breast height, clear-bole-length, crown conditions and others are shown in table 6,7, and 8. 3. The measurements of fresh cone weight, length and the widest diameter of cone are given in Tab]e 9. All these traits arc concerned with the highly significant population differences and family differences within population. And the population difference was also found in the cone-index, that is, length-diameter ratio. 4. Seed-wing length and seed-wing width showed the population differences, and the family differences were also found in both characteristics. Not discussed in this paper, however, seed-wing colours and their shapes indicate the specificity which is inherent to individual trees as shown in photo 3 on page 50. The colour and shape are fully the expression of genetic make up of mother tree. The little variations on these traits are resulted from this reason. The significant differences among populations and among families were found in those characteristics, such as 1000-seed weight, seed length, seed width, and seed thickness as shown in table 11. As to all these dimensions, the values arc always larger in population 1 which is younger in age than that of the other two. The population differences evaluated by cone, seed and seed-wing sizes could partly be attributed to the growth vigorousity. 5. The values of correlation between the characteristics of cone and seed are presented in table 12. As shown, the positive correlations between cone diameter and seed-wing width were calculated in all populations studied. The correlation between seed-wing length and seed length was significantly positive in population 1 and 3 but not in population 2, that is, the r-value is so small as 0.002. in the latter. The correlation between cone length and seed-wing length was highly significant in population 1, but not in population 2. 6. Differences among progenies in growth performances, such as 1-0 and 1-1 seedling height and root collar diameter were highly singificant among populations as well as families within population(Table 13.) 7. The heritability values in narrow sense of population characteristics were estimated on the basis of variance components. The values based on seedling height at each age stage of 1-1 and 1-0 ranged from 0.146 to 0.288 and the values of root collar diameter from 0.060 to 0.130. (Table 14). These heritability values varied according to characteristics and seedling ages. Here what must be stated is that, for calculation of heritability values, the variance values of population was divided by the variance value of environment (error) and family and population. The present authors want to add the heritability values based on family level in the coming report. It might be considered that if the tree age is increased in furture, the heritability value is supposed to be altered or lowered. Examining the heritability values studied previously by many authors, in pine group at age of 7 to 15, the values of height growth ranged from 0.2 to 0.4 in general. The values we obtained are further below than these. 8. The correlation between seedling growth and seed characteristics were examined and the values resulted are shown in table 16. Contrary to our hypothetical premise of positive correlation between 1-0 seedling height and seed weight, non-significance on it was found. However, 1-0 seedling height correlated positively with seed length. And significant correlations between 1-0 and 1-1 seedling height are calculated. 9. The numbers of stomata row calculated separately by abaxial and adaxial side showed highly significant differences among populations, but not in serration density. On serration density, the differences among families within population were highly significant. (Table 17) A fact must be noted is that the correlation between stomata row on abaxial side and adaxial side was highly significant in all populations. Non-significances of correlation coefficient between progenies and parents regarding to stomata row on abaxial side were shown in all populations studied.(Table 18). 10. The contents of chhlorophyll b of the needle were a little more than that of chlorophyll a irrespective of the populations examined. The differences of chlorophyll a, b and a plus b contents were highly significant but not among families within populations as shown in table 20. The contents of chlorophyll a and b are presented by individual trees of each populations in table 21. 11. The occurrence of monoterpene components was examined by gas liquid chromatography (Shimazu, GC-1C type) to evaluate the population difference. There are some papers reporting the chemical geography of pines basing upon monoterpene composition. The number of populations studied here is not enough to state this problem. The kinds of monoterpene observed in needle were ${\alpha}$-pinene, camphene, ${\beta}$-pinene, myrcene, limonene, ${\beta}$-phellandrene and terpinolene plus two unknowns. In analysis of monoterpene composition, the number of sample trees varied with population, I.e., 18 families for population 1, 15 for population 2 and 11 for population3. (Table 22, 23 and 24). The histograms(Fig. 6) of 7 components of monoterpene by population show noticeably higher percentages of ${\alpha}$-pinene irrespective of population and ${\beta}$-phellandrene in the next order. The minor Pinus densiflora monoterpene composition of camphene, myrcene, limonene and terpinolene made up less than 10 percent of the portion in general. The average coefficients of variation of ${\alpha}$-pinene and ${\beta}$-phellandrene were 11 percent. On the contrary to this, the average coefficients of variation of camphene, limonene and terpinolene varied from 20 to 30 percent. And the significant differences between populaiton were observed only in myrcene and ${\beta}$-phellandrene. (Table 25).

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