• Title/Summary/Keyword: Stock Prediction

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A Study on the Prediction of Stock Return in Korea's Distribution Industry Using the VKOSPI Index

  • Jeong-Hwan LEE;Gun-Hee LEE;Sam-Ho SON
    • Journal of Distribution Science
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    • v.21 no.5
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    • pp.101-111
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    • 2023
  • Purpose: The purpose of this paper is to examine the effect of the VKOSPI index on short-term stock returns after a large-scale stock price shock of individual stocks of firms in the distribution industry in Korea. Research design, data, and methodology: This study investigates the effect of the change of the VKOSPI index or investor mood on abnormal returns after the event date from January 2004 to July 2022. The significance of the abnormal return, which is obtained by subtracting the rate of return estimated by the market model from the rate of actual return on each trading day after the event date, is determined based on T-test and multifactor regression analysis. Results: In Korea's distribution industry, the simultaneous occurrence of a bad investor mood and a large stock price decline, leads to stock price reversals. Conversely, the simultaneous occurrence of a good investor mood and a large-scale stock price rise leads to stock price drifts. We found that the VKOSPI index has strong explanatory power for these reversals and drifts even after considering both company-specific and event-specific factors. Conclusions: In Korea's distribution industry-related stock market, investors show an asymmetrical behavioral characteristic of overreacting to negative moods and underreacting to positive moods.

An Empirical Study on Verification and Prediction of Non-Linear Dynamic Characteristics of Stock Market Using Chaos Theory (혼돈기법을 이용한 주가의 비선형 결정론적 특성 검정 및 예측)

  • 김성근;윤용식
    • The Journal of Information Technology and Database
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    • v.6 no.1
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    • pp.73-88
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    • 1999
  • There have been a series of debates to determine whether it would be possible to forecast dynamic systems such as stock markets. Recently the introduction of chaos theory has allowed many researchers to bring back this issue. Their main concern was whether the behavior of stock markets is chaotic or not. These studies, however, present divergent opinions on this question, depending upon the method applied and the data used. And the issue of predictability based on the nonlinear, chaotic nature was not dealt extensively. This paper is to test the nonlinear nature of the Korea stock market and accordingly attempts to predict its behavior. The result indicates that our stock market represents a chaotic behavior. We also found out based on our simulation that executing buy/sell transactions based upon forecasts which were derived using the local approximation method outperforms the decision of holding without a buy/sell transaction.

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An Evolutionary Approach to Inferring Decision Rules from Stock Price Index Predictions of Experts

  • Kim, Myoung-Jong
    • Management Science and Financial Engineering
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    • v.15 no.2
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    • pp.101-118
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    • 2009
  • In quantitative contexts, data mining is widely applied to the prediction of stock prices from financial time-series. However, few studies have examined the potential of data mining for shedding light on the qualitative problem-solving knowledge of experts who make stock price predictions. This paper presents a GA-based data mining approach to characterizing the qualitative knowledge of such experts, based on their observed predictions. This study is the first of its kind in the GA literature. The results indicate that this approach generates rules with higher accuracy and greater coverage than inductive learning methods or neural networks. They also indicate considerable agreement between the GA method and expert problem-solving approaches. Therefore, the proposed method offers a suitable tool for eliciting and representing expert decision rules, and thus constitutes an effective means of predicting the stock price index.

Mean-VaR Portfolio: An Empirical Analysis of Price Forecasting of the Shanghai and Shenzhen Stock Markets

  • Liu, Ximei;Latif, Zahid;Xiong, Daoqi;Saddozai, Sehrish Khan;Wara, Kaif Ul
    • Journal of Information Processing Systems
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    • v.15 no.5
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    • pp.1201-1210
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    • 2019
  • Stock price is characterized as being mutable, non-linear and stochastic. These key characteristics are known to have a direct influence on the stock markets globally. Given that the stock price data often contain both linear and non-linear patterns, no single model can be adequate in modelling and predicting time series data. The autoregressive integrated moving average (ARIMA) model cannot deal with non-linear relationships, however, it provides an accurate and effective way to process autocorrelation and non-stationary data in time series forecasting. On the other hand, the neural network provides an effective prediction of non-linear sequences. As a result, in this study, we used a hybrid ARIMA and neural network model to forecast the monthly closing price of the Shanghai composite index and Shenzhen component index.

Stock Price Prediction by Utilizing Category Neutral Terms: Text Mining Approach (카테고리 중립 단어 활용을 통한 주가 예측 방안: 텍스트 마이닝 활용)

  • Lee, Minsik;Lee, Hong Joo
    • Journal of Intelligence and Information Systems
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    • v.23 no.2
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    • pp.123-138
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    • 2017
  • 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.

Prediction of the industrial stock price index using domestic and foreign economic indices (국내외 경제지표를 예측변수로 사용한 산업별 주가지수 예측)

  • Choi, Ik-Sun;Kang, Dong-Sik;Lee, Jung-Ho;Kang, Min-Woo;Song, Da-Young;Shin, Seo-Hee;Son, Young-Sook
    • Journal of the Korean Data and Information Science Society
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    • v.23 no.2
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    • pp.271-283
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    • 2012
  • In this paper, we predicted the rise or the fall in eleven major industrial stock price indices unlike existing studies dealing with the prediction of KOSPI that combines all industries. We used as input variables not only domestic economic indices but also foreign economic indices including the U.S.A, Japan, China and Europe that have affected korean stock market. Numerical analysis through SAS E-miner showed above or below about 60% accuracy using the logistic regression and neural network model.

Modeling Stock Price Volatility: Empirical Evidence from the Ho Chi Minh City Stock Exchange in Vietnam

  • NGUYEN, Cuong Thanh;NGUYEN, Manh Huu
    • The Journal of Asian Finance, Economics and Business
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    • v.6 no.3
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    • pp.19-26
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    • 2019
  • The paper aims to measure stock price volatility on Ho Chi Minh stock exchange (HSX). We apply symmetric models (GARCH, GARCH-M) and asymmetry (EGARCH and TGARCH) to measure stock price volatility on HSX. We used time series data including the daily closed price of VN-Index during 1/03/2001-1/03/2019 with 4375 observations. The results show that GARCH (1,1) and EGARCH (1,1) models are the most suitable models to measure both symmetry and asymmetry volatility level of VN-Index. The study also provides evidence for the existence of asymmetric effects (leverage) through the parameters of TGARCH model (1,1), showing that positive shocks have a significant effect on the conditional variance (volatility). This result implies that the volatility of stock returns has a big impact on future market movements under the impact of shocks, while asymmetric volatility increase market risk, thus increase the attractiveness of the stock market. The research results are useful reference information to help investors in forecasting the expected profit rate of the HSX, and also the risks along with market fluctuations in order to take appropriate adjust to the portfolios. From this study's results, we can see risk prediction models such as GARCH can be better used in risk forecasting especially.

A Study on the Prediction Model of Stock Price Index Trend based on GA-MSVM that Simultaneously Optimizes Feature and Instance Selection (입력변수 및 학습사례 선정을 동시에 최적화하는 GA-MSVM 기반 주가지수 추세 예측 모형에 관한 연구)

  • Lee, Jong-sik;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.23 no.4
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    • pp.147-168
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    • 2017
  • There have been many studies on accurate stock market forecasting in academia for a long time, and now there are also various forecasting models using various techniques. Recently, many attempts have been made to predict the stock index using various machine learning methods including Deep Learning. Although the fundamental analysis and the technical analysis method are used for the analysis of the traditional stock investment transaction, the technical analysis method is more useful for the application of the short-term transaction prediction or statistical and mathematical techniques. Most of the studies that have been conducted using these technical indicators have studied the model of predicting stock prices by binary classification - rising or falling - of stock market fluctuations in the future market (usually next trading day). However, it is also true that this binary classification has many unfavorable aspects in predicting trends, identifying trading signals, or signaling portfolio rebalancing. In this study, we try to predict the stock index by expanding the stock index trend (upward trend, boxed, downward trend) to the multiple classification system in the existing binary index method. In order to solve this multi-classification problem, a technique such as Multinomial Logistic Regression Analysis (MLOGIT), Multiple Discriminant Analysis (MDA) or Artificial Neural Networks (ANN) we propose an optimization model using Genetic Algorithm as a wrapper for improving the performance of this model using Multi-classification Support Vector Machines (MSVM), which has proved to be superior in prediction performance. In particular, the proposed model named GA-MSVM is designed to maximize model performance by optimizing not only the kernel function parameters of MSVM, but also the optimal selection of input variables (feature selection) as well as instance selection. In order to verify the performance of the proposed model, we applied the proposed method to the real data. The results show that the proposed method is more effective than the conventional multivariate SVM, which has been known to show the best prediction performance up to now, as well as existing artificial intelligence / data mining techniques such as MDA, MLOGIT, CBR, and it is confirmed that the prediction performance is better than this. Especially, it has been confirmed that the 'instance selection' plays a very important role in predicting the stock index trend, and it is confirmed that the improvement effect of the model is more important than other factors. To verify the usefulness of GA-MSVM, we applied it to Korea's real KOSPI200 stock index trend forecast. Our research is primarily aimed at predicting trend segments to capture signal acquisition or short-term trend transition points. The experimental data set includes technical indicators such as the price and volatility index (2004 ~ 2017) and macroeconomic data (interest rate, exchange rate, S&P 500, etc.) of KOSPI200 stock index in Korea. Using a variety of statistical methods including one-way ANOVA and stepwise MDA, 15 indicators were selected as candidate independent variables. The dependent variable, trend classification, was classified into three states: 1 (upward trend), 0 (boxed), and -1 (downward trend). 70% of the total data for each class was used for training and the remaining 30% was used for verifying. To verify the performance of the proposed model, several comparative model experiments such as MDA, MLOGIT, CBR, ANN and MSVM were conducted. MSVM has adopted the One-Against-One (OAO) approach, which is known as the most accurate approach among the various MSVM approaches. Although there are some limitations, the final experimental results demonstrate that the proposed model, GA-MSVM, performs at a significantly higher level than all comparative models.

Prediction of KOSPI using Data Editing Techniques and Case-based Reasoning (자료편집기법과 사례기반추론을 이용한 한국종합주가지수 예측)

  • Kim, Kyoung-Jae
    • Journal of the Korea Society of Computer and Information
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    • v.12 no.6
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    • pp.287-295
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    • 2007
  • This paper proposes a novel data editing techniques with genetic algorithm (GA) in case-based reasoning (CBR) for the prediction of Korea Stock Price Index (KOSPI). CBR has been widely used in various areas because of its convenience and strength in compelax problem solving. Nonetheless, compared to other machine teaming techniques, CBR has been criticized because of its low prediction accuracy. Generally, in order to obtain successful results from CBR, effective retrieval of useful prior cases for the given problem is essential. However. designing a good matching and retrieval mechanism for CBR system is still a controversial research issue. In this paper, the GA optimizes simultaneously feature weights and a selection task for relevant instances for achieving good matching and retrieval in a CBR system. This study applies the proposed model to stock market analysis. Experimental results show that the GA approach is a promising method for data editing in CBR.

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