• Title/Summary/Keyword: Korea stock market

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A Time Series Graph based Convolutional Neural Network Model for Effective Input Variable Pattern Learning : Application to the Prediction of Stock Market (효과적인 입력변수 패턴 학습을 위한 시계열 그래프 기반 합성곱 신경망 모형: 주식시장 예측에의 응용)

  • Lee, Mo-Se;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.24 no.1
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    • pp.167-181
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    • 2018
  • Over the past decade, deep learning has been in spotlight among various machine learning algorithms. In particular, CNN(Convolutional Neural Network), which is known as the effective solution for recognizing and classifying images or voices, has been popularly applied to classification and prediction problems. In this study, we investigate the way to apply CNN in business problem solving. Specifically, this study propose to apply CNN to stock market prediction, one of the most challenging tasks in the machine learning research. As mentioned, CNN has strength in interpreting images. Thus, the model proposed in this study adopts CNN as the binary classifier that predicts stock market direction (upward or downward) by using time series graphs as its inputs. That is, our proposal is to build a machine learning algorithm that mimics an experts called 'technical analysts' who examine the graph of past price movement, and predict future financial price movements. Our proposed model named 'CNN-FG(Convolutional Neural Network using Fluctuation Graph)' consists of five steps. In the first step, it divides the dataset into the intervals of 5 days. And then, it creates time series graphs for the divided dataset in step 2. The size of the image in which the graph is drawn is $40(pixels){\times}40(pixels)$, and the graph of each independent variable was drawn using different colors. In step 3, the model converts the images into the matrices. Each image is converted into the combination of three matrices in order to express the value of the color using R(red), G(green), and B(blue) scale. In the next step, it splits the dataset of the graph images into training and validation datasets. We used 80% of the total dataset as the training dataset, and the remaining 20% as the validation dataset. And then, CNN classifiers are trained using the images of training dataset in the final step. Regarding the parameters of CNN-FG, we adopted two convolution filters ($5{\times}5{\times}6$ and $5{\times}5{\times}9$) in the convolution layer. In the pooling layer, $2{\times}2$ max pooling filter was used. The numbers of the nodes in two hidden layers were set to, respectively, 900 and 32, and the number of the nodes in the output layer was set to 2(one is for the prediction of upward trend, and the other one is for downward trend). Activation functions for the convolution layer and the hidden layer were set to ReLU(Rectified Linear Unit), and one for the output layer set to Softmax function. To validate our model - CNN-FG, we applied it to the prediction of KOSPI200 for 2,026 days in eight years (from 2009 to 2016). To match the proportions of the two groups in the independent variable (i.e. tomorrow's stock market movement), we selected 1,950 samples by applying random sampling. Finally, we built the training dataset using 80% of the total dataset (1,560 samples), and the validation dataset using 20% (390 samples). The dependent variables of the experimental dataset included twelve technical indicators popularly been used in the previous studies. They include Stochastic %K, Stochastic %D, Momentum, ROC(rate of change), LW %R(Larry William's %R), A/D oscillator(accumulation/distribution oscillator), OSCP(price oscillator), CCI(commodity channel index), and so on. To confirm the superiority of CNN-FG, we compared its prediction accuracy with the ones of other classification models. Experimental results showed that CNN-FG outperforms LOGIT(logistic regression), ANN(artificial neural network), and SVM(support vector machine) with the statistical significance. These empirical results imply that converting time series business data into graphs and building CNN-based classification models using these graphs can be effective from the perspective of prediction accuracy. Thus, this paper sheds a light on how to apply deep learning techniques to the domain of business problem solving.

The relationship between security incidents and value of companies : Case of listed companies in Korea (정보보안 사고가 기업가치에 미치는 영향 분석: 한국 상장기업 중심으로)

  • Hwang, Haesu;Lee, Heesang
    • Journal of the Korea Institute of Information Security & Cryptology
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    • v.25 no.3
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    • pp.649-664
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    • 2015
  • Recently, the risk of security incidents has been increased due to change of IT environment and development of new hacking methods. Event study methodology that measures the effect of a specific security incident on the stock price is widely adopted to analyze the damage cost of security incidents on market value. However, analysis of company's temporary stock price change is limited to immediate practical implication, and reputation loss should be considered as a collateral damage caused by security incidents. We analyzed 52 security incidents of listed Korean companies in the last decade; by refining the criteria presented by Tobin's q, we quantitatively showed that the companies has significantly higher reputation loss due to security loss than the other companies. Our research findings can be used in order that the companies can efficiently allocate its resource and investment for information security.

Expected Roles of the Korean Institutional Investors for listed S&M sized firms in the KSE (상장중소기업의 직접금융 활성화를 위한 기관투자가 역할)

  • Jun, Yang-jin
    • Journal of the Korean Society of Industry Convergence
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    • v.7 no.4
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    • pp.363-368
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    • 2004
  • The stocks of listed S&M sized firms in the KoreaStock Exchange(KSE) have been neglected to investors for long time in site of their good performences. The word "Neglected" means that the stocks of listed S&M sized firms in the KSE have fail to acquried liquidity. In the result, Listed S&M sized firms in the KSE have not financed equity by issuing stocks timely in the primary market. This problem has resulted in poor investment to their listed S&M sized firms in the KSE. The possible key to sovlve this problem is in the Institutional Investors, especially to the Pension fund. Korean Institutional Investors have lost their basic roles, that is, final supports to prevent the markets not to demolish. The Acts prventing Pension to invest to the stocks is to change to allowing to invest them in soon. this opportunity is good chance to solve the problems of poor liquidity of stocks of listed S&M sized firms in the KSE.

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A Study on the Strategic Utilization of Logistics Information Technology and Business Performance (물류정보기술의 전략적 활용과 기업성과)

  • Lee, Choong-Bae;Park, Hee-Su
    • International Commerce and Information Review
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    • v.3 no.1
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    • pp.177-196
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    • 2001
  • The advancement of information technology provides a wide range of options for the corporate to cope with new business environments. As with most other businesses, the utilization of the logistics information technology can be an instrument to enhance the competitiveness of the company. Therefore it is essential to analyze how companies utilize and verify the relationship between company business performance and the level of information technology utilization, which is the objective of this paper. The questionnaire was sent to 300 companies listed on the stock market at random The author received 176 responses of which 142 were complete and valid. According to the analysis of questionnaires, the adoption level of information technologies was dependent on the perception of top managers on the importance of information technology in business competitiveness. Furthermore the level of relation between the information technology adoption and business performance was significant. Therefore businesses need to increase the utilization of information technologies, such as establishment of logistics information system, network with other business partners in order to business logistics performance.

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An Analysis of Categorical Time Series Driven by Clipping GARCH Processes (연속형-GARCH 시계열의 범주형화(Clipping)를 통한 분석)

  • Choi, M.S.;Baek, J.S.;Hwan, S.Y.
    • The Korean Journal of Applied Statistics
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    • v.23 no.4
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    • pp.683-692
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    • 2010
  • This short article is concerned with a categorical time series obtained after clipping a heteroscedastic GARCH process. Estimation methods are discussed for the model parameters appearing both in the original process and in the resulting binary time series from a clipping (cf. Zhen and Basawa, 2009). Assuming AR-GARCH model for heteroscedastic time series, three data sets from Korean stock market are analyzed and illustrated with applications to calculating certain probabilities associated with the AR-GARCH process.

Stock Market and Economic Forces : Evidence from Korea (우리나라 증권시장과 거시경제변수 - VECM을 중심으로 -)

  • Jung, Sung-Chang
    • The Korean Journal of Financial Management
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    • v.17 no.1
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    • pp.137-159
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    • 2000
  • 재무경제학에서 많은 연구들이 주식가격과 거시경제활동과의 이론적 모형을 설정하고 이를 점증하고자 하였다. 이 분야에서 지금까지 주로 ARMAX 모형이나 VAR 모형들이 사용되어 왔으나, 이러한 방법들은 주식가격과 거시경제변수들간의 장기적인 균형관계를 파악할 수 없다는 한계점을 안고 있다. 따라서, 본 연구의 목적은 이러한 한계점을 극복할 수 있는 VECM을 이용하여 우리나라 증권시장과 거시경제변수들간의 장기적인 균형관계를 규명하고자 함에 있다. 검증결과, 모든 변수들의 시계열이 불안정적인 것으로 확인된 관계로, 다변량시계열의 공적분 관계를 검증하는 Johansen 검증을 VECM 모형의 구조 안에서 실시하였다. 종합주가지수와 거시경제변수들간에는 장기적 안정관계를 나타내는 공적분관계가 있는 것으로 나타났으며, 종합주가지수와 거시경제변수들간의 관계는 대부분 이론적인 관계에서 예상하는 부호와 동일한 부호를 갖으며 통계적으로도 유의하였다. 그리고, VECM의 설명력이 종래에 주로 사용하였던 VAR 모형의 설명력보다 더 우월하게 나타났다.

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Knowledge Discovery Process from the Web for Effective Knowledge Creation: Application to the Stock Market (효과적인 지식창출을 위한 웹 상의 지식채굴과정 : 주식시장에의 응용)

  • Kim, Kyoung-Jae;Hong, Tae-Ho;Han, In-Goo
    • Knowledge Management Research
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    • v.1 no.1
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    • pp.81-90
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    • 2000
  • This study proposes the knowledge discovery process for the effective mining of knowledge on the web. The proposed knowledge discovery process uses the Prior knowledge base and the Prior knowledge management system to reflect tacit knowledge in addition to explicit knowledge. The prior knowledge management system constructs the prior knowledge base using a fuzzy cognitive map, and defines information to be extracted from the web. In addition, it transforms the extracted information into the form being handled in mining process. Experiments using case-based reasoning and neural network" are performed to verify the usefulness of the proposed model. The experimental results are encouraging and prove the usefulness of the proposed model.

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Financial Characteristics of Company Which has Changed it's Name in the Korean Stock Market (한국 증권시장에서의 사명 변경기업의 재무적 특성)

  • Jeong, Ki-Man
    • Proceedings of the KAIS Fall Conference
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    • 2011.05b
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    • pp.1009-1012
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    • 2011
  • 사명은 기업의 정체성을 나타내는 가장 중요한 요소 중 하나이다. 사업영역 변경, 이미지 개선, 영문이름 정정 등 다양한 이유와 필요성 때문에 사명을 변경하는 기업들이 있다. 이러한 사명 변경을 하는 기업의 재무적 특성은 어떠할까에 대한 답을 찾고자 하는 것이 본 연구이다. 사명 변경에 대한 국내 연구는 매우 드물다. 일부 연구에서 사명 변경에 대한 증권시장의 반응에 대하여 분석한 경우가 있으며, 상호 변경이 영업성과에 미치는 영향을 검토한 적은 있다. 그러나 사명 변경 기업이 갖는 재무적 특성에 대한 연구는 전무한 실정이다. 본 연구는 사명 변경기업을 실험집단으로 하고 동종 산업내의 유사한 규모의 기업을 통제집단으로 하여 사명 변경 기업이 상대적으로 갖는 재무적 특성을 분석한다. 주요 재무적 특성으로는 수익성, 활동성, 유동성, 안전성, 성장성 등을 대상으로 하며, 각각의 특성 내에서 2-3개의 측정 변수를, 이론적인 토대하에 선정하여 그 특징을 분석한다.

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An Empirical Investigation of Explanation Facilities on User Acceptance of System Recommendations (설명기능이 시스템 결자 수용에 미치는 영향의 실증연구)

  • Kim, Sung-Kun;Kang, Hyun-Koo
    • The Journal of Information Technology and Database
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    • v.8 no.1
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    • pp.81-94
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    • 2001
  • Providing explanations about recommending actions is one of the most important capabilities of expert systems. In fact, there exist many approaches incorporating this explanation facility into the system. Here we present briefly a new approach to generating these explanations and further attempt to investigate the impact of system explanations on user behaviors toward system-generated recommendations. For this experiment we designed a stock investment decision supporting system which, given a set of market situations, suggests an investment recommendation with explanations about the recommending action. Twenty-nine bank employees evaluated the output of the system in a laboratory setting. The results indicate that explanation facilities can make systems-generated advice more confident to users but cannot increase users'acceptance for the system conclusion.

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A case study on innovation in urban railway depot (도시철도 차량기지 혁신사례 분석)

  • Chung, Su-Young;Park, Soo-Choong;Lee, Seong-Gwon;Lee, Seung-Hwan
    • Proceedings of the KSR Conference
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    • 2010.06a
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    • pp.104-109
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    • 2010
  • Management innovation as a strategic alternative to create competitive advantages in the global market, is being actively progressed by conglomerates such as Samsung, LG and Toyoda as they cut a brilliant figure in the 21 century by using various innovation methods. However, the domestic railway sectors, in particular urban railway depots have neglected management innovation as they undertake Operation and Management in non-competitive settings of a corporate enterprise. This paper analyzes the critical success factors that have switched the most obsolete depots to a benchmark model for domestic railway depots based on the remodeling businesses undertaken in Gunja rolling stock maintenance office, Korea's first urban railway depot, along with 5S 6sigma program.

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