• Title/Summary/Keyword: Stock Distribution

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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.

Estimation of the Spillovers during the Global Financial Crisis (글로벌 금융위기 동안 전이효과에 대한 추정)

  • Lee, Kyung-Hee;Kim, Kyung-Soo
    • Management & Information Systems Review
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    • v.39 no.2
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    • pp.17-37
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    • 2020
  • The purpose of this study is to investigate the global spillover effects through the existence of linear and nonlinear causal relationships between the US, European and BRIC financial markets after the period from the introduction of the Euro, the financial crisis and the subsequent EU debt crisis in 2007~2010. Although the global spillover effects of the financial crisis are well described, the nature of the volatility effects and the spread mechanisms between the US, Europe and BRIC stock markets have not been systematically examined. A stepwise filtering methodology was introduced to investigate the dynamic linear and nonlinear causality, which included a vector autoregressive regression model and a multivariate GARCH model. The sample in this paper includes the post-Euro period, and also includes the financial crisis and the Eurozone financial and sovereign crisis. The empirical results can have many implications for the efficiency of the BRIC stock market. These results not only affect the predictability of this market, but can also be useful in future research to quantify the process of financial integration in the market. The interdependence between the United States, Europe and the BRIC can reveal significant implications for financial market regulation, hedging and trading strategies. And the findings show that the BRIC has been integrated internationally since the sub-prime and financial crisis erupted in the United States, and the spillover effects have become more specific and remarkable. Furthermore, there is no consistent evidence supporting the decoupling phenomenon. Some nonlinear causality persists even after filtering during the investigation period. Although the tail distribution dependence and higher moments may be significant factors for the remaining interdependencies, this can be largely explained by the simple volatility spillover effects in nonlinear causality.

Clinical Aspect of Bovine Abortion in Korea II. Effects of Season, Parity and Gestation Stage on Bovine Abortion (국내 소 유산에 관한 임상학적 고찰 II. 계절, 산차별 및 임신단계에 따른 영향)

  • 이병천;김대용;유한상;김성기;김영찬;구자홍;박봉균;윤희정;윤병일
    • Journal of Embryo Transfer
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    • v.17 no.2
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    • pp.163-168
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    • 2002
  • The objective of this study was to investigate the clinical aspects on bovine abortion and stillbirth in Korea. Three hundred thirty eight bovine fetuses were collected from farms and submitted to the College of Veterinary Medicine, Seoul National University. Submitted fetuses were evaluated for season, parity and gestation stage on abortion during a 3 years period (June, 1999 to April, 2002). Out of four seasons, incidence of bovine abortion was significantly higher in summer than other seasons (P<0.05) due to high temperature and humidity. After surveying of incidence of abortion according to parity, it was concentrated in low parity (1, 2 and 3 parity). However, this result was not caused by parity but because most of surveyed cow was low parity. For surveying the distribution of abortion incidence according to days of gestation, we divided the days of gestation into 3 stages including with early (0∼150 days), middle (151∼250 days) and late (251days∼term). Out of 319 aborted fetuses, incidences of abortion were significantly higher in the middle and late stage than early stage (P<0.05). A high rate (75%) of stock farms did not vaccinate animals, therefore most of cows in Korea were found to have a high risk of becoming infected upon exposure to pathogens. Many of abortions occurred in stock farms where animals of other species were being bred. More studies will be needed to investigate possible linkages between bovine abortion and the breeding of other animal species.

Improvement of Verification Method for Remedial Works through the Suggestion of Indicative Parameters and Sampling Method (정화 보조지표와 시료 채취 방법 제안을 통한 토양정화검증 제도 개선 연구)

  • Kwon, Ji Cheol;Lee, Goontaek;Kim, Tae Seung;Yoon, Jeong-Ki;Kim, Ji-in;Kim, Yonghoon;Kim, Joonyoung;Choi, Jeongmin
    • Journal of Soil and Groundwater Environment
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    • v.21 no.6
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    • pp.179-191
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    • 2016
  • In addition to the measurement of the concentration of soil contaminants, the new idea of indicative parameters was proposed to validate the remedial works through the monitoring for the changes of soil characteristics after applying the clean up technologies. The parameters like CFU (colony forming unit), pH and soil texture were recommended as indicative parameters for land farming. In case of soil washing, water content and the particle size distribution of the sludge were recommended as indicative parameters. The sludge is produced through the particle separation process in soil washing and it is usually treated as a waste. The parameters like water content, organic matter content, CEC (cation exchange capacity) and CFU were recommended as indicative parameters for the low temperature thermal desorption method. Besides the indicative parameter, sampling methods in stock pile and the optimal minimum amount of composite soil sample were proposed. The rates of sampling error in regular grid, zigzag, four bearing, random grid methods were 17.3%, 17.6%, 17.2% and 16.5% respectively. The random grid method showed the minimum sampling error among the 4 kinds of sampling methods although the differences in sampling errors were very little. Therefore the random grid method was recommended as an appropriate sampling method in stock pile. It was not possible to propose a value of optimal minimum amount of composite soil sample based on the real analytical data due to the dynamic variation of $CV_{fund{\cdot}error}$. Instead of this, 355 g of soil was recommended for the optimal minimum amount of composite soil sample under the assumption of ISO 10381-8.

Fisheries Resources in Garolim Bay (가로림만 어업자원에 관하여)

  • HUR Sung Bum;KIM Jong Man;YOO Jae Myung
    • Korean Journal of Fisheries and Aquatic Sciences
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    • v.17 no.1
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    • pp.68-80
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    • 1984
  • Garolim Bay is not only important fishing ground but also expected area for the tidal power plant. The construction and operation of tidal power plant will make change the ecosystem of this bay. Therefore, the actual fisheries stocks should be precisely understood for the effect estimation and overall utilization of the bay after the construction of the tidal power plant. During the study period from January through December in 1981, forty-six adult fishes species, 3 species of fish egg and 25 fishes larvae species have occurred in the bay. Considering the result on monthly distribution of eggs and larvae, the inner area of the bay seems to be important as nursing ground of larvae spawned at the outside bay in winter, e. g., Ammodytes personatus, and Enedrias sp. This inner bay is also major spawning ground for many species spawning in spring and summer, e. g., Gobiidae, Konosirus punctatus, Engraulis japonica, etc. Taking into consideration the annual mean production for three years($1978{\sim}1980$), there are two major fishing seasons. The one is in May-June for Enedrias larvae stock, and the another in October-November for big eyed herring stock. For the mariculture stocks, short necked clam, oyster and laver are important species. After construction of the tidal power plant, the migratory species, i. e., larvae of Enedrias and Ammodytes personatus, Mugil cephalus, Konosirus punctatus, etc. will be directly damaged by the interuption of migration route. On the otter hand, the change of physico-chemical factors of seawater will also affect the ecosystem of the bay. Consequently, for the overall utilization of the bay after construction, the actual ecosystem including the fisheries stocks, must bs precisely revealed, and the mechanical designs, e. g., sluice position and its demension, should be also considered with these biological characters of the bay.

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Analytical study to the Brake Lever in Basic Brake System for Railway Vehicle (철도차량용 기초제동장치의 제동레버 강도에 대한 해석적 연구)

  • Park, Su-Myung;Park, Jae-young
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.17 no.8
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    • pp.624-629
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    • 2016
  • A brake lever in a basic railway brake system is an important safety device that delivers braking force from the brake cylinder to the brake pad. The safety guidelines for designing rolling stock only qualitatively describe that the brake lever should have sufficient strength. Each train has a different type of brake lever. One brake lever that was designed with a factor of safety of 1.27 has failed, so the material was changed to increase the strength. Therefore, the stress distribution and weak points of the lever were identified by theoretical analysis. and structural analysis. Different brake lever designs were examined for KTX high-speed trains, which have a split-type structure, as well as for electric locomotives, which use an electric multiple unit (EMU) with a unity-type structure. A fracture test was also done to look at the relationship between the vertical stress and the bending stress during braking. The results were used to find a safety factor to apply to each train and suggest quantitative minimum guidelines. We also looked at changing the unity-type EMU brake lever to the split type under the same conditions and analyzed how much the design change affected the factor of safety.

Determination of Maintenance Period Considering Reliability Function and Mission Reliability of Electromagnetic Valves of EMU Doors Considering Air Leakage Failure (전동차 출입문 전자변 누기고장의 신뢰도 함수와 임무 신뢰도를 고려한 정비 주기 결정)

  • Park, Heuiseop;Koo, Jeongseo;Kim, Gildong
    • Journal of the Korean Society for Railway
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    • v.20 no.5
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    • pp.569-576
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    • 2017
  • The electromagnetic valve of pneumatic doors of EMUs has a high failure rate due to air leakage because it supplies air on and off to operate the doors repeatedly. The electromagnetic valve is a very important safety component for which a very high reliability is required because failure makes it impossible to operate the passenger cars. However, domestic urban railway operators maintain electronic valves of the EMU door under a fixed cycle with a spare period according to the full overhaul cycle of the EMU. An improvement of the current maintenance cycle was suggested based on the reliability function and mission reliability. Using the statistical program MINITAB for the operational data of EMU line 6, we analyzed the characteristics of the fault distribution and derived the shape and scale parameters of the reliability function. If we limit the specific reliability probability to under a certain failure rate and calculate its statistical parameters, we can calculate the allowable inspection period with mission reliability. Through this study, we suggested a maintenance period based on RCM (reliability centered-maintenance) to improve the reliability of electromagnetic valves from 68% to 95%.

Approximation of π by financial historical data (금융시계열자료를 이용한 원주율값 π의 추정)

  • Jang, Dae-Heung;Uhm, TaeWoong;Yi, Seongbaek
    • Journal of the Korean Data and Information Science Society
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    • v.28 no.4
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    • pp.831-841
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    • 2017
  • The irrational number ${\pi}$ is defined as the ratio of circumference of a circle to its radius and always becomes constant. This article does Monte Carlo approximation of its value using the famous Buffon's needle experiment and shows that its convergence is not always proportional to the sample size. We also do Monte Carlo simulations to see the convergence of the computed ${\pi}$ values from the random walk series with independent normal increment. Finally we apply the theoretical derivation to various financial time series data such as KOSPI, stock prices of Korean big firms, global stock indices and major foreign exchange rates. The historical data shows that log transformed data random walk process but most of their first lagged data don't follow a normal distribution. More importantly the computed value from the ratio of the regression coefficient ${\pi}$ tend to converge a constant, unfortunately not ${\pi}$. Using this result we could doubt on the efficient market hypothesis, and relate the degree of the hypothesis with the amount of deviation of the estimated ${\pi}$ values.

Estimation of GARCH Models and Performance Analysis of Volatility Trading System using Support Vector Regression (Support Vector Regression을 이용한 GARCH 모형의 추정과 투자전략의 성과분석)

  • Kim, Sun Woong;Choi, Heung Sik
    • Journal of Intelligence and Information Systems
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    • v.23 no.2
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    • pp.107-122
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    • 2017
  • Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

VaR and ES as Tail-Related Risk Measures for Heteroscedastic Financial Series (이분산성 및 두꺼운 꼬리분포를 가진 금융시계열의 위험추정 : VaR와 ES를 중심으로)

  • Moon, Seong-Ju;Yang, Sung-Kuk
    • The Korean Journal of Financial Management
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    • v.23 no.2
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    • pp.189-208
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    • 2006
  • In this paper we are concerned with estimation of tail related risk measures for heteroscedastic financial time series and VaR limits that VaR tells us nothing about the potential size of the loss given. So we use GARCH-EVT model describing the tail of the conditional distribution for heteroscedastic financial series and adopt Expected Shortfall to overcome VaR limits. The main results can be summarized as follows. First, the distribution of stock return series is not normal but fat tail and heteroscedastic. When we calculate VaR under normal distribution we can ignore the heavy tails of the innovations or the stochastic nature of the volatility. Second, GARCH-EVT model is vindicated by the very satisfying overall performance in various backtesting experiments. Third, we founded the expected shortfall as an alternative risk measures.

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