Analysis of Trading Performance on Intelligent Trading System for Directional Trading (방향성매매를 위한 지능형 매매시스템의 투자성과분석)
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- Journal of Intelligence and Information Systems
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- v.17 no.3
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- pp.187-201
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- 2011
KOSPI200 index is the Korean stock price index consisting of actively traded 200 stocks in the Korean stock market. Its base value of 100 was set on January 3, 1990. The Korea Exchange (KRX) developed derivatives markets on the KOSPI200 index. KOSPI200 index futures market, introduced in 1996, has become one of the most actively traded indexes markets in the world. Traders can make profit by entering a long position on the KOSPI200 index futures contract if the KOSPI200 index will rise in the future. Likewise, they can make profit by entering a short position if the KOSPI200 index will decline in the future. Basically, KOSPI200 index futures trading is a short-term zero-sum game and therefore most futures traders are using technical indicators. Advanced traders make stable profits by using system trading technique, also known as algorithm trading. Algorithm trading uses computer programs for receiving real-time stock market data, analyzing stock price movements with various technical indicators and automatically entering trading orders such as timing, price or quantity of the order without any human intervention. Recent studies have shown the usefulness of artificial intelligent systems in forecasting stock prices or investment risk. KOSPI200 index data is numerical time-series data which is a sequence of data points measured at successive uniform time intervals such as minute, day, week or month. KOSPI200 index futures traders use technical analysis to find out some patterns on the time-series chart. Although there are many technical indicators, their results indicate the market states among bull, bear and flat. Most strategies based on technical analysis are divided into trend following strategy and non-trend following strategy. Both strategies decide the market states based on the patterns of the KOSPI200 index time-series data. This goes well with Markov model (MM). Everybody knows that the next price is upper or lower than the last price or similar to the last price, and knows that the next price is influenced by the last price. However, nobody knows the exact status of the next price whether it goes up or down or flat. So, hidden Markov model (HMM) is better fitted than MM. HMM is divided into discrete HMM (DHMM) and continuous HMM (CHMM). The only difference between DHMM and CHMM is in their representation of state probabilities. DHMM uses discrete probability density function and CHMM uses continuous probability density function such as Gaussian Mixture Model. KOSPI200 index values are real number and these follow a continuous probability density function, so CHMM is proper than DHMM for the KOSPI200 index. In this paper, we present an artificial intelligent trading system based on CHMM for the KOSPI200 index futures system traders. Traders have experienced on technical trading for the KOSPI200 index futures market ever since the introduction of the KOSPI200 index futures market. They have applied many strategies to make profit in trading the KOSPI200 index futures. Some strategies are based on technical indicators such as moving averages or stochastics, and others are based on candlestick patterns such as three outside up, three outside down, harami or doji star. We show a trading system of moving average cross strategy based on CHMM, and we compare it to a traditional algorithmic trading system. We set the parameter values of moving averages at common values used by market practitioners. Empirical results are presented to compare the simulation performance with the traditional algorithmic trading system using long-term daily KOSPI200 index data of more than 20 years. Our suggested trading system shows higher trading performance than naive system trading.
A numerical simulation has been performed for isothermal and reacting flows in an exisymmetric, bluff-body research combustor. The present formulation is based on the density-weighted averaged Navier-Stokes equations together with a k-epsilon. turbulence model and a modified eddy-breakup combustion model. The PISO algorithm is employed for solution of thel Navier-Stokes system. Comparison between measurements and predictions are made for a centerline axial velocities, location of stagnation points, strength of recirculation zone, and temperature profile. Even though the numerical simulation gives acceptable agreement with experimental data in many respects, the present model is defictient in predicting the recoveryt rate of a central near-wake region, the non-isotropic turbulence effects, and variation of turbulent Schmidt number. Several possible explanations for these discrepancies have been discussed.
This article reviews the papers published in the Korean Journal of Air-Conditioning and Refrigeration Engineering during 2014. It is intended to understand the status of current research in the areas of heating, cooling, ventilation, sanitation, and indoor environments of buildings and plant facilities. Conclusions are as follows. (1) The research works on the thermal and fluid engineering have been reviewed as groups of heat and mass transfer, cooling and heating, and air-conditioning, the flow inside building rooms, and smoke control on fire. Research issues dealing with duct and pipe were reduced, but flows inside building rooms, and smoke controls were newly added in thermal and fluid engineering research area. (2) Research works on heat transfer area have been reviewed in the categories of heat transfer characteristics, pool boiling and condensing heat transfer and industrial heat exchangers. Researches on heat transfer characteristics included the results for thermal contact resistance measurement of metal interface, a fan coil with an oval-type heat exchanger, fouling characteristics of plate heat exchangers, effect of rib pitch in a two wall divergent channel, semi-empirical analysis in vertical mesoscale tubes, an integrated drying machine, microscale surface wrinkles, brazed plate heat exchangers, numerical analysis in printed circuit heat exchanger. In the area of pool boiling and condensing, non-uniform air flow, PCM applied thermal storage wall system, a new wavy cylindrical shape capsule, and HFC32/HFC152a mixtures on enhanced tubes, were actively studied. In the area of industrial heat exchangers, researches on solar water storage tank, effective design on the inserting part of refrigerator door gasket, impact of different boundary conditions in generating g-function, various construction of SCW type ground heat exchanger and a heat pump for closed cooling water heat recovery were performed. (3) In the field of refrigeration, various studies were carried out in the categories of refrigeration cycle, alternative refrigeration and modelling and controls including energy recoveries from industrial boilers and vehicles, improvement of dehumidification systems, novel defrost systems, fault diagnosis and optimum controls for heat pump systems. It is particularly notable that a substantial number of studies were dedicated for the development of air-conditioning and power recovery systems for electric vehicles in this year. (4) In building mechanical system research fields, seventeen studies were reported for achieving effective design of the mechanical systems, and also for maximizing the energy efficiency of buildings. The topics of the studies included energy performance, HVAC system, ventilation, and renewable energies, piping in the buildings. Proposed designs, performance performance tests using numerical methods and experiments provide useful information and key data which can improve the energy efficiency of the buildings. (5) The field of architectural environment was mostly focused on indoor environment and building energy. The main researches of indoor environment were related to the evaluation of work noise in tunnel construction and the simulation and development of a light-shelf system. The subjects of building energy were worked on the energy saving of office building applied with window blind and phase change material(PCM), a method of existing building energy simulation using energy audit data, the estimation of thermal consumption unit of apartment building and its case studies, dynamic window performance, a writing method of energy consumption report and energy estimation of apartment building using district heating system. The remained studies were related to the improvement of architectural engineering education system for plant engineering industry, estimating cooling and heating degree days for variable base temperature, a prediction method of underground temperature, the comfort control algorithm of car air conditioner, the smoke control performance evaluation of high-rise building, evaluation of thermal energy systems of bio safety laboratory and a development of measuring device of solar heat gain coefficient of fenestration system.
Lambertian cloud model (Lambertian Cloud Model) is the simplified cloud model which is used to effectively retrieve the vertical ozone distribution of the atmosphere where the clouds exist. By using the Lambertian cloud model, the optical characteristics of clouds required for radiative transfer simulation are parametrized by Optical Centroid Cloud Pressure (OCCP) and Effective Cloud Fraction (ECF), and the accuracy of each parameter greatly affects the radiation simulation accuracy. However, it is very difficult to generalize the vertical ozone error due to the OCCP error because it varies depending on the radiation environment and algorithm setting. In addition, it is also difficult to analyze the effect of OCCP error because it is mixed with other errors that occur in the vertical ozone calculation process. This study analyzed the ozone retrieval error due to OCCP error using two methods. First, we simulated the impact of OCCP error on ozone retrieval based on Optimal Estimation. Using LIDORT radiation model, the radiation error due to the OCCP error is calculated. In order to convert the radiation error to the ozone calculation error, the radiation error is assigned to the conversion equation of the optimal estimation method. The results show that when the OCCP error occurs by 100 hPa, the total ozone is overestimated by 2.7%. Second, a case analysis is carried out to find the ozone retrieval error due to OCCP error. For the case analysis, the ozone retrieval error is simulated assuming OCCP error and compared with the ozone error in the case of PROFOZ 2005-2006, an OMI ozone profile product. In order to define the ozone error in the case, we assumed an ideal assumption. Considering albedo, and the horizontal change of ozone for satisfying the assumption, the 49 cases are selected. As a result, 27 out of 49 cases(about 55%)showed a correlation of 0.5 or more. This result show that the error of OCCP has a significant influence on the accuracy of ozone profile calculation.
Chest digital tomosynthesis has become a practical imaging modality because it can solve the problem of anatomy overlapping in conventional chest radiography. However, because of both limited scan angle and finite-size detector, a portion of chest cannot be represented in some or all of the projection. These bring a discontinuity in intensity across the field of view boundaries in the reconstructed slices, which we refer to as the truncation artifacts. The purpose of this study was to reduce truncation artifacts using a weighted normalization approach and to investigate the performance of this approach for our prototype chest digital tomosynthesis system. The system source-to-image distance was 1100 mm, and the center of rotation of X-ray source was located on 100 mm above the detector surface. After obtaining 41 projection views with
Since the stock market is driven by the expectation of traders, studies have been conducted to predict stock price movements through analysis of various sources of text data. In order to predict stock price movements, research has been conducted not only on the relationship between text data and fluctuations in stock prices, but also on the trading stocks based on news articles and social media responses. Studies that predict the movements of stock prices have also applied classification algorithms with constructing term-document matrix in the same way as other text mining approaches. Because the document contains a lot of words, it is better to select words that contribute more for building a term-document matrix. Based on the frequency of words, words that show too little frequency or importance are removed. It also selects words according to their contribution by measuring the degree to which a word contributes to correctly classifying a document. The basic idea of constructing a term-document matrix was to collect all the documents to be analyzed and to select and use the words that have an influence on the classification. In this study, we analyze the documents for each individual item and select the words that are irrelevant for all categories as neutral words. We extract the words around the selected neutral word and use it to generate the term-document matrix. The neutral word itself starts with the idea that the stock movement is less related to the existence of the neutral words, and that the surrounding words of the neutral word are more likely to affect the stock price movements. And apply it to the algorithm that classifies the stock price fluctuations with the generated term-document matrix. In this study, we firstly removed stop words and selected neutral words for each stock. And we used a method to exclude words that are included in news articles for other stocks among the selected words. Through the online news portal, we collected four months of news articles on the top 10 market cap stocks. We split the news articles into 3 month news data as training data and apply the remaining one month news articles to the model to predict the stock price movements of the next day. We used SVM, Boosting and Random Forest for building models and predicting the movements of stock prices. The stock market opened for four months (2016/02/01 ~ 2016/05/31) for a total of 80 days, using the initial 60 days as a training set and the remaining 20 days as a test set. The proposed word - based algorithm in this study showed better classification performance than the word selection method based on sparsity. This study predicted stock price volatility by collecting and analyzing news articles of the top 10 stocks in market cap. We used the term - document matrix based classification model to estimate the stock price fluctuations and compared the performance of the existing sparse - based word extraction method and the suggested method of removing words from the term - document matrix. The suggested method differs from the word extraction method in that it uses not only the news articles for the corresponding stock but also other news items to determine the words to extract. In other words, it removed not only the words that appeared in all the increase and decrease but also the words that appeared common in the news for other stocks. When the prediction accuracy was compared, the suggested method showed higher accuracy. The limitation of this study is that the stock price prediction was set up to classify the rise and fall, and the experiment was conducted only for the top ten stocks. The 10 stocks used in the experiment do not represent the entire stock market. In addition, it is difficult to show the investment performance because stock price fluctuation and profit rate may be different. Therefore, it is necessary to study the research using more stocks and the yield prediction through trading simulation.
Purpose: Helmet type bolus for 3D printer is being manufactured because of the disadvantages of Bolus materials when photon beam is used for the treatment of scalp malignancy. However, PLA, which is a used material, has a higher density than a tissue equivalent material and inconveniences occur when the patient wears PLA. In this study, we try to treat malignant scalp tumors by using M3 wax helmet with 3D printer. Methods and materials: For the modeling of the helmet type M3 wax, the head phantom was photographed by CT, which was acquired with a DICOM file. The part for helmet on the scalp was made with Helmet contour. The M3 Wax helmet was made by dissolving paraffin wax, mixing magnesium oxide and calcium carbonate, solidifying it in a PLA 3D helmet, and then eliminated PLA 3D Helmet of the surface. The treatment plan was based on Intensity-Modulated Radiation Therapy (IMRT) of 10 Portals, and the therapeutic dose was 200 cGy, using Analytical Anisotropic Algorithm (AAA) of Eclipse. Then, the dose was verified by using EBT3 film and Mosfet (Metal Oxide Semiconductor Field Effect Transistor: USA), and the IMRT plan was measured 3 times in 3 parts by reproducing the phantom of the head human model under the same condition with the CT simulation room. Results: The Hounsfield unit (HU) of the bolus measured by CT was
The wall shear stress in the vicinity of end-to end anastomoses under steady flow conditions was measured using a flush-mounted hot-film anemometer(FMHFA) probe. The experimental measurements were in good agreement with numerical results except in flow with low Reynolds numbers. The wall shear stress increased proximal to the anastomosis in flow from the Penrose tubing (simulating an artery) to the PTFE: graft. In flow from the PTFE graft to the Penrose tubing, low wall shear stress was observed distal to the anastomosis. Abnormal distributions of wall shear stress in the vicinity of the anastomosis, resulting from the compliance mismatch between the graft and the host artery, might be an important factor of ANFH formation and the graft failure. The present study suggests a correlation between regions of the low wall shear stress and the development of anastomotic neointimal fibrous hyperplasia(ANPH) in end-to-end anastomoses. 30523 T00401030523 ^x Air pressure decay(APD) rate and ultrafiltration rate(UFR) tests were performed on new and saline rinsed dialyzers as well as those roused in patients several times. C-DAK 4000 (Cordis Dow) and CF IS-11 (Baxter Travenol) reused dialyzers obtained from the dialysis clinic were used in the present study. The new dialyzers exhibited a relatively flat APD, whereas saline rinsed and reused dialyzers showed considerable amount of decay. C-DAH dialyzers had a larger APD(11.70
The wall shear stress in the vicinity of end-to end anastomoses under steady flow conditions was measured using a flush-mounted hot-film anemometer(FMHFA) probe. The experimental measurements were in good agreement with numerical results except in flow with low Reynolds numbers. The wall shear stress increased proximal to the anastomosis in flow from the Penrose tubing (simulating an artery) to the PTFE: graft. In flow from the PTFE graft to the Penrose tubing, low wall shear stress was observed distal to the anastomosis. Abnormal distributions of wall shear stress in the vicinity of the anastomosis, resulting from the compliance mismatch between the graft and the host artery, might be an important factor of ANFH formation and the graft failure. The present study suggests a correlation between regions of the low wall shear stress and the development of anastomotic neointimal fibrous hyperplasia(ANPH) in end-to-end anastomoses. 30523 T00401030523 ^x Air pressure decay(APD) rate and ultrafiltration rate(UFR) tests were performed on new and saline rinsed dialyzers as well as those roused in patients several times. C-DAK 4000 (Cordis Dow) and CF IS-11 (Baxter Travenol) reused dialyzers obtained from the dialysis clinic were used in the present study. The new dialyzers exhibited a relatively flat APD, whereas saline rinsed and reused dialyzers showed considerable amount of decay. C-DAH dialyzers had a larger APD(11.70
More than a decade after its initial proposal, deployment of IP Multicast has been limited due to the problem of traffic control in multicast routing, multicast address allocation in global internet, reliable multicast transport techniques etc. Lately, according to increase of multicast application service such as internet broadcast, real time security information service etc., overlay multicast is developed as a new internet multicast technology. In this paper, we describe an overlay multicast protocol and propose fast join mechanism that considers switching of the tree. To find a potential parent, an existing search algorithm descends the tree from the root by one level at a time, and it causes long joining latency. Also, it is try to select the nearest node as a potential parent. However, it can't select the nearest node by the degree limit of the node. As a result, the generated tree has low efficiency. To reduce long joining latency and improve the efficiency of the tree, we propose searching two levels of the tree at a time. This method forwards joining request message to own children node. So, at ordinary times, there is no overhead to keep the tree. But the joining request came, the increasing number of searching messages will reduce a long joining latency. Also searching more nodes will be helpful to construct more efficient trees. In order to evaluate the performance of our fast join mechanism, we measure the metrics such as the search latency and the number of searched node and the number of switching by the number of members and degree limit. The simulation results show that the performance of our mechanism is superior to that of the existing mechanism.