• Communications for Statistical Applications and Methods
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• v.31 no.5
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• pp.535-556
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• 2024

Measuring stock market volatility and its determinants is critical for stock market participants, as volatility spillover effects affect corporate performance. This study adopted a novel approach to analysing and implementing GARCH-MIDAS modelling methods. The classical GARCH as a benchmark and the univariate GARCH-MIDAS framework are the GARCH family models whose forecasting outcomes are examined. The outcome of GARCH-MIDAS analyses suggests that inflation, interest rate, exchange rate, and oil price are significant determinants of the volatility of the Johannesburg Stock Market All Share Index. While for Nigeria, the volatility reacts significantly to the exchange rate and oil price. Furthermore, inflation, exchange rate, interest rate, and oil price significantly influence Ghanaian equity volatility, especially for the long-term volatility component. The significant shock of the oil price and exchange rate to volatility is present in all three markets using the generalized autoregressive conditional heteroscedastic-mixed data sampling (GARCH-MIDAS) framework. The GARCH-MIDAS, with a powerful fusion of the GARCH model's volatility-capturing capabilities and the MIDAS approach's ability to handle mixed-frequency data, predicts the volatility for all variables better than the traditional GARCH framework. Incorporating these two techniques provides an innovative and comprehensive approach to modelling stock returns, making it an extremely useful tool for researchers, financial analysts, and investors.

• The Journal of Korean Institute of Information Technology
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• v.17 no.5
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• pp.47-55
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• 2019

As the damage caused by GPS jamming has been increased, researches for detecting and preventing GPS jamming is being actively studied. This paper deals with a GPS jamming detection method using multiple GPS receiving channels and three-types machine learning techniques. Proposed multiple GPS channels consist of commercial GPS receiver with no anti-jamming function, receiver with just anti-noise jamming function and receiver with anti-noise and anti-spoofing jamming function. This system enables user to identify the characteristics of the jamming signals by comparing the coordinates received at each receiver. In this paper, The five types of jamming signals with different signal characteristics were entered to the system and three kinds of machine learning methods(AB: Adaptive Boosting, SVM: Support Vector Machine, DT: Decision Tree) were applied to perform jamming detection test. The results showed that the DT technique has the best performance with a detection rate of 96.9% when the single machine learning technique was applied. And it is confirmed that DT technique is more effective for GPS jamming detection than the binary classifier techniques because it has low ambiguity and simple hardware. It was also confirmed that SVM could be used only if additional solutions to ambiguity problem are applied.

• Journal of KIISE:Software and Applications
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• v.35 no.9
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• pp.562-571
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• 2008

For the purpose of building domain ontology, this paper proposes a methodology for building core ontology first, and then enriching the core ontology with the concepts and relations in the domain thesaurus. First, the top-level concept taxonomy of the core ontology is built using domain dictionary and general domain thesaurus. Then, the concepts of the domain thesaurus are classified into top-level concepts in the core ontology, and relations between broader terms (BT) - narrower terms (NT) and related terms (RT) are classified into semantic relations defined for the core ontology. To classify concepts, a two-step approach is adopted, in which a frequency-based approach is complemented with a similarity-based approach. To classify relations, two techniques are applied: (i) for the case of insufficient training data, a rule-based module is for identifying isa relation out of non-isa ones; a pattern-based approach is for classifying non-taxonomic semantic relations from non-isa. (ii) For the case of sufficient training data, a maximum-entropy model is adopted in the feature-based classification, where k-NN approach is for noisy filtering of training data. A series of experiments show that performances of the proposed systems are quite promising and comparable to judgments by human experts.

• Journal of Intelligence and Information Systems
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• v.17 no.4
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• pp.241-254
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• 2011

Financial time-series forecasting is one of the most important issues because it is essential for the risk management of financial institutions. Therefore, researchers have tried to forecast financial time-series using various data mining techniques such as regression, artificial neural networks, decision trees, k-nearest neighbor etc. Recently, support vector machines (SVMs) are popularly applied to this research area because they have advantages that they don't require huge training data and have low possibility of overfitting. However, a user must determine several design factors by heuristics in order to use SVM. For example, the selection of appropriate kernel function and its parameters and proper feature subset selection are major design factors of SVM. Other than these factors, the proper selection of instance subset may also improve the forecasting performance of SVM by eliminating irrelevant and distorting training instances. Nonetheless, there have been few studies that have applied instance selection to SVM, especially in the domain of stock market prediction. Instance selection tries to choose proper instance subsets from original training data. It may be considered as a method of knowledge refinement and it maintains the instance-base. This study proposes the novel instance selection algorithm for SVMs. The proposed technique in this study uses genetic algorithm (GA) to optimize instance selection process with parameter optimization simultaneously. We call the model as ISVM (SVM with Instance selection) in this study. Experiments on stock market data are implemented using ISVM. In this study, the GA searches for optimal or near-optimal values of kernel parameters and relevant instances for SVMs. This study needs two sets of parameters in chromosomes in GA setting : The codes for kernel parameters and for instance selection. For the controlling parameters of the GA search, the population size is set at 50 organisms and the value of the crossover rate is set at 0.7 while the mutation rate is 0.1. As the stopping condition, 50 generations are permitted. The application data used in this study consists of technical indicators and the direction of change in the daily Korea stock price index (KOSPI). The total number of samples is 2218 trading days. We separate the whole data into three subsets as training, test, hold-out data set. The number of data in each subset is 1056, 581, 581 respectively. This study compares ISVM to several comparative models including logistic regression (logit), backpropagation neural networks (ANN), nearest neighbor (1-NN), conventional SVM (SVM) and SVM with the optimized parameters (PSVM). In especial, PSVM uses optimized kernel parameters by the genetic algorithm. The experimental results show that ISVM outperforms 1-NN by 15.32%, ANN by 6.89%, Logit and SVM by 5.34%, and PSVM by 4.82% for the holdout data. For ISVM, only 556 data from 1056 original training data are used to produce the result. In addition, the two-sample test for proportions is used to examine whether ISVM significantly outperforms other comparative models. The results indicate that ISVM outperforms ANN and 1-NN at the 1% statistical significance level. In addition, ISVM performs better than Logit, SVM and PSVM at the 5% statistical significance level.

• Journal of KIISE:Databases
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• v.32 no.4
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• pp.405-415
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• 2005

Indexing techniques are used to implement selective tuning in wireless environments Indices are broadcast together with data to help mobile clients locate the required information. As a result, clients stay in doze mode most of the time. The drawback of this solution is that broadcast cycles are lengthened due to additional index information. In location-aware mobile services(LAMSs), it is important to reduce the query response time, since a late query response nay contain out-of-date information. In this paper, we present a broadcast-based spatial query processing method (BBS) designed to support k-NN query processing. In the BBS, broadcasted data objects are sorted sequentially based on their locations, and the server broadcasts the location dependent data along with an index segment. The performance of this scheme is investigated in relation to various environmental variables, such as the distributions of the data objects, the average speed of the clients and the size of the service area.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.6 no.11
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• pp.2784-2799
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• 2012

Biological data have been increased exponentially in recent years, and analyzing these data using data mining tools has become one of the major issues in the bioinformatics research community. This paper focuses on the protein construction process in higher organisms where the deoxyribonucleic acid, or DNA, sequence is filtered. In the process, "unmeaningful" DNA sub-sequences (called introns) are removed, and their meaningful counterparts (called exons) are retained. Accurate recognition of the boundaries between these two classes of sub-sequences, however, is known to be a difficult problem. Conventional approaches for recognizing these boundaries have sought for solely enhancing machine learning techniques, while inherent nature of the data themselves has been overlooked. In this paper we present an approach which makes use of the data attributes inherent to species in order to increase the accuracy of the boundary recognition. For experimentation, we have taken the data sets for four different species from the University of California Santa Cruz (UCSC) data repository, divided the data sets based on the species types, then trained a preprocessed version of the data sets on neural network(NN)-based and support vector machine(SVM)-based classifiers. As a result, we have observed that each species has its own specific features related to the splice sites, and that it implies there are related distances among species. To conclude, dividing the training data set based on species would increase the accuracy of predicting splicing junction and propose new insight to the biological research.

• CELLMED
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• v.5 no.1
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• pp.4.1-4.4
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• 2015

Yoga is an ancient Indian system of life, encompassing various practices including practices for self-discipline and also for regulating the health states of the individual, being practiced for thousands of years. The present study aims at understanding the effect of two high frequency breathing practices over autonomic nervous system. Forty healthy male volunteers of age $21{\pm}2$ years with $9{\pm}3$ months of Yoga practice experience were recruited. The two high frequency Yoga breathing practices, kapalabhati (KB) and bhastrika (BH) were given as interventions randomly on either of the two days to minimise laboratory bias. They were assessed before and immediately after the interventions for heart rate, respiratory rate, heart rate variability (HRV), blood pressure and peripheral oxygen saturation. There was a significant increase in heart rate (p<0.01; p<0.001), systolic blood pressure (p<0.01; p<0.001), NN50 (p<0.01; p<0.001) component of HRV for both KB and BH groups respectively. There was a significant reduction in respiratory rate in both the groups (p<0.001, and p<0.05, BH and KB respectively) immediately following intervention. A significant increase in LF component of HRV and reduction in Diastolic blood pressure and high frequency (HF)component following KB was also observed (p<0.05, for all comparisons). The Mean peripheral oxygen saturation remained unaltered in both the groups (p>0.05).The results suggest that high frequency yoga breathing practices induce physiological arousal immediately as evidenced by increased blood pressure and heart rate. The sympathetic arousal was more following KB session as evidenced by an increased diastolic blood pressure, LF power and a decrease in HF power of HRV as compared to the BH session.

• Computers and Concrete
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• v.21 no.4
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• pp.407-417
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• 2018

Concrete which is a composite material is one of the most important construction materials. Compressive strength is a commonly used parameter for the assessment of concrete quality. Accurate prediction of concrete compressive strength is an important issue. In this study, we utilized an experimental procedure for the assessment of concrete quality. Firstly, the concrete mix was prepared according to C 20 type concrete, and slump of fresh concrete was about 20 cm. After the placement of fresh concrete to formworks, compaction was achieved using a vibrating screed. After 28 day period, a total of 100 core samples having 75 mm diameter were extracted. On the core samples pulse velocity determination tests and compressive strength tests were performed. Besides, Windsor probe penetration tests and Schmidt hammer tests were also performed. After setting up the data set, twelve artificial intelligence (AI) models compared for predicting the concrete compressive strength. These models can be divided into three categories (i) Functions (i.e., Linear Regression, Simple Linear Regression, Multilayer Perceptron, Support Vector Regression), (ii) Lazy-Learning Algorithms (i.e., IBk Linear NN Search, KStar, Locally Weighted Learning) (iii) Tree-Based Learning Algorithms (i.e., Decision Stump, Model Trees Regression, Random Forest, Random Tree, Reduced Error Pruning Tree). Four evaluation processes, four validation implements (i.e., 10-fold cross validation, 5-fold cross validation, 10% split sample validation & 20% split sample validation) are used to examine the performance of predictive models. This study shows that machine learning regression techniques are promising tools for predicting compressive strength of concrete.

• Proceedings of the Korean Vacuum Society Conference
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• 2013.02a
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• pp.525-525
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• 2013

Low temperature plasma diagnosis is one of the big issues in laboratory scale or processing industry. One of the most powerful techniques of plasma diagnostics is the use of the scattering of electromagnetic radiation from the plasma. Electron temperature and density are important parameters for understanding the information of plasmas in the plasma processing industry. Laser scattering experiments on plasma can provide a substantial amount of information about plasma parameters such as the electron density ne, the electron temperature Te, and the neutral density nn and temperature Tn. Thomson scattering spectroscopy is used several method, in accordance with detector type. Commonly, Thomson scattering is used several notch filter to separate expanded wavelength. Since using a spectrometer with surface relief grating or notch filter, the system of the measurement will be complicated and bigger. In this study, using VPHG (Volume Phase Holographic Grating) in order to install the simple and cheap system. VPHG has the advantage of the system installation, because it can be Transmission Type. The diffraction efficiency and dispersion angle of VPHG is higher than the surface relief grating relatively. For a wavelength and bandwidth selection, Using a slit or mask to select a rejection wavelength instead of notch filter.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.59 no.2
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• pp.436-444
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• 2010

In this study, we introduce and discuss a concept of a granular-oriented radial basis function neural networks (GRBF NNs). In contrast to the typical architectures encountered in radial basis function neural networks(RBF NNs), our main objective is to develop a design strategy of GRBF NNs as follows : (a) The architecture of the network is fully reflective of the structure encountered in the training data which are granulated with the aid of clustering techniques. More specifically, the output space is granulated with use of K-Means clustering while the information granules in the multidimensional input space are formed by using a so-called context-based Fuzzy C-Means which takes into account the structure being already formed in the output space, (b) The innovative development facet of the network involves a dynamic reduction of dimensionality of the input space in which the information granules are formed in the subspace of the overall input space which is formed by selecting a suitable subset of input variables so that the this subspace retains the structure of the entire space. As this search is of combinatorial character, we use the technique of genetic optimization to determine the optimal input subspaces. A series of numeric studies exploiting some nonlinear process data and a dataset coming from the machine learning repository provide a detailed insight into the nature of the algorithm and its parameters as well as offer some comparative analysis.