• Title/Summary/Keyword: artificial intelligence models

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A Study on People Counting in Public Metro Service using Hybrid CNN-LSTM Algorithm (Hybrid CNN-LSTM 알고리즘을 활용한 도시철도 내 피플 카운팅 연구)

  • Choi, Ji-Hye;Kim, Min-Seung;Lee, Chan-Ho;Choi, Jung-Hwan;Lee, Jeong-Hee;Sung, Tae-Eung
    • Journal of Intelligence and Information Systems
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    • v.26 no.2
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    • pp.131-145
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    • 2020
  • In line with the trend of industrial innovation, IoT technology utilized in a variety of fields is emerging as a key element in creation of new business models and the provision of user-friendly services through the combination of big data. The accumulated data from devices with the Internet-of-Things (IoT) is being used in many ways to build a convenience-based smart system as it can provide customized intelligent systems through user environment and pattern analysis. Recently, it has been applied to innovation in the public domain and has been using it for smart city and smart transportation, such as solving traffic and crime problems using CCTV. In particular, it is necessary to comprehensively consider the easiness of securing real-time service data and the stability of security when planning underground services or establishing movement amount control information system to enhance citizens' or commuters' convenience in circumstances with the congestion of public transportation such as subways, urban railways, etc. However, previous studies that utilize image data have limitations in reducing the performance of object detection under private issue and abnormal conditions. The IoT device-based sensor data used in this study is free from private issue because it does not require identification for individuals, and can be effectively utilized to build intelligent public services for unspecified people. Especially, sensor data stored by the IoT device need not be identified to an individual, and can be effectively utilized for constructing intelligent public services for many and unspecified people as data free form private issue. We utilize the IoT-based infrared sensor devices for an intelligent pedestrian tracking system in metro service which many people use on a daily basis and temperature data measured by sensors are therein transmitted in real time. The experimental environment for collecting data detected in real time from sensors was established for the equally-spaced midpoints of 4×4 upper parts in the ceiling of subway entrances where the actual movement amount of passengers is high, and it measured the temperature change for objects entering and leaving the detection spots. The measured data have gone through a preprocessing in which the reference values for 16 different areas are set and the difference values between the temperatures in 16 distinct areas and their reference values per unit of time are calculated. This corresponds to the methodology that maximizes movement within the detection area. In addition, the size of the data was increased by 10 times in order to more sensitively reflect the difference in temperature by area. For example, if the temperature data collected from the sensor at a given time were 28.5℃, the data analysis was conducted by changing the value to 285. As above, the data collected from sensors have the characteristics of time series data and image data with 4×4 resolution. Reflecting the characteristics of the measured, preprocessed data, we finally propose a hybrid algorithm that combines CNN in superior performance for image classification and LSTM, especially suitable for analyzing time series data, as referred to CNN-LSTM (Convolutional Neural Network-Long Short Term Memory). In the study, the CNN-LSTM algorithm is used to predict the number of passing persons in one of 4×4 detection areas. We verified the validation of the proposed model by taking performance comparison with other artificial intelligence algorithms such as Multi-Layer Perceptron (MLP), Long Short Term Memory (LSTM) and RNN-LSTM (Recurrent Neural Network-Long Short Term Memory). As a result of the experiment, proposed CNN-LSTM hybrid model compared to MLP, LSTM and RNN-LSTM has the best predictive performance. By utilizing the proposed devices and models, it is expected various metro services will be provided with no illegal issue about the personal information such as real-time monitoring of public transport facilities and emergency situation response services on the basis of congestion. However, the data have been collected by selecting one side of the entrances as the subject of analysis, and the data collected for a short period of time have been applied to the prediction. There exists the limitation that the verification of application in other environments needs to be carried out. In the future, it is expected that more reliability will be provided for the proposed model if experimental data is sufficiently collected in various environments or if learning data is further configured by measuring data in other sensors.

Optimization of Support Vector Machines for Financial Forecasting (재무예측을 위한 Support Vector Machine의 최적화)

  • Kim, Kyoung-Jae;Ahn, Hyun-Chul
    • 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.

Improving Performance of Recommendation Systems Using Topic Modeling (사용자 관심 이슈 분석을 통한 추천시스템 성능 향상 방안)

  • Choi, Seongi;Hyun, Yoonjin;Kim, Namgyu
    • Journal of Intelligence and Information Systems
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    • v.21 no.3
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    • pp.101-116
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    • 2015
  • Recently, due to the development of smart devices and social media, vast amounts of information with the various forms were accumulated. Particularly, considerable research efforts are being directed towards analyzing unstructured big data to resolve various social problems. Accordingly, focus of data-driven decision-making is being moved from structured data analysis to unstructured one. Also, in the field of recommendation system, which is the typical area of data-driven decision-making, the need of using unstructured data has been steadily increased to improve system performance. Approaches to improve the performance of recommendation systems can be found in two aspects- improving algorithms and acquiring useful data with high quality. Traditionally, most efforts to improve the performance of recommendation system were made by the former approach, while the latter approach has not attracted much attention relatively. In this sense, efforts to utilize unstructured data from variable sources are very timely and necessary. Particularly, as the interests of users are directly connected with their needs, identifying the interests of the user through unstructured big data analysis can be a crew for improving performance of recommendation systems. In this sense, this study proposes the methodology of improving recommendation system by measuring interests of the user. Specially, this study proposes the method to quantify interests of the user by analyzing user's internet usage patterns, and to predict user's repurchase based upon the discovered preferences. There are two important modules in this study. The first module predicts repurchase probability of each category through analyzing users' purchase history. We include the first module to our research scope for comparing the accuracy of traditional purchase-based prediction model to our new model presented in the second module. This procedure extracts purchase history of users. The core part of our methodology is in the second module. This module extracts users' interests by analyzing news articles the users have read. The second module constructs a correspondence matrix between topics and news articles by performing topic modeling on real world news articles. And then, the module analyzes users' news access patterns and then constructs a correspondence matrix between articles and users. After that, by merging the results of the previous processes in the second module, we can obtain a correspondence matrix between users and topics. This matrix describes users' interests in a structured manner. Finally, by using the matrix, the second module builds a model for predicting repurchase probability of each category. In this paper, we also provide experimental results of our performance evaluation. The outline of data used our experiments is as follows. We acquired web transaction data of 5,000 panels from a company that is specialized to analyzing ranks of internet sites. At first we extracted 15,000 URLs of news articles published from July 2012 to June 2013 from the original data and we crawled main contents of the news articles. After that we selected 2,615 users who have read at least one of the extracted news articles. Among the 2,615 users, we discovered that the number of target users who purchase at least one items from our target shopping mall 'G' is 359. In the experiments, we analyzed purchase history and news access records of the 359 internet users. From the performance evaluation, we found that our prediction model using both users' interests and purchase history outperforms a prediction model using only users' purchase history from a view point of misclassification ratio. In detail, our model outperformed the traditional one in appliance, beauty, computer, culture, digital, fashion, and sports categories when artificial neural network based models were used. Similarly, our model outperformed the traditional one in beauty, computer, digital, fashion, food, and furniture categories when decision tree based models were used although the improvement is very small.

A Study on Knowledge Entity Extraction Method for Individual Stocks Based on Neural Tensor Network (뉴럴 텐서 네트워크 기반 주식 개별종목 지식개체명 추출 방법에 관한 연구)

  • Yang, Yunseok;Lee, Hyun Jun;Oh, Kyong Joo
    • Journal of Intelligence and Information Systems
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    • v.25 no.2
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    • pp.25-38
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    • 2019
  • Selecting high-quality information that meets the interests and needs of users among the overflowing contents is becoming more important as the generation continues. In the flood of information, efforts to reflect the intention of the user in the search result better are being tried, rather than recognizing the information request as a simple string. Also, large IT companies such as Google and Microsoft focus on developing knowledge-based technologies including search engines which provide users with satisfaction and convenience. Especially, the finance is one of the fields expected to have the usefulness and potential of text data analysis because it's constantly generating new information, and the earlier the information is, the more valuable it is. Automatic knowledge extraction can be effective in areas where information flow is vast, such as financial sector, and new information continues to emerge. However, there are several practical difficulties faced by automatic knowledge extraction. First, there are difficulties in making corpus from different fields with same algorithm, and it is difficult to extract good quality triple. Second, it becomes more difficult to produce labeled text data by people if the extent and scope of knowledge increases and patterns are constantly updated. Third, performance evaluation is difficult due to the characteristics of unsupervised learning. Finally, problem definition for automatic knowledge extraction is not easy because of ambiguous conceptual characteristics of knowledge. So, in order to overcome limits described above and improve the semantic performance of stock-related information searching, this study attempts to extract the knowledge entity by using neural tensor network and evaluate the performance of them. Different from other references, the purpose of this study is to extract knowledge entity which is related to individual stock items. Various but relatively simple data processing methods are applied in the presented model to solve the problems of previous researches and to enhance the effectiveness of the model. From these processes, this study has the following three significances. First, A practical and simple automatic knowledge extraction method that can be applied. Second, the possibility of performance evaluation is presented through simple problem definition. Finally, the expressiveness of the knowledge increased by generating input data on a sentence basis without complex morphological analysis. The results of the empirical analysis and objective performance evaluation method are also presented. The empirical study to confirm the usefulness of the presented model, experts' reports about individual 30 stocks which are top 30 items based on frequency of publication from May 30, 2017 to May 21, 2018 are used. the total number of reports are 5,600, and 3,074 reports, which accounts about 55% of the total, is designated as a training set, and other 45% of reports are designated as a testing set. Before constructing the model, all reports of a training set are classified by stocks, and their entities are extracted using named entity recognition tool which is the KKMA. for each stocks, top 100 entities based on appearance frequency are selected, and become vectorized using one-hot encoding. After that, by using neural tensor network, the same number of score functions as stocks are trained. Thus, if a new entity from a testing set appears, we can try to calculate the score by putting it into every single score function, and the stock of the function with the highest score is predicted as the related item with the entity. To evaluate presented models, we confirm prediction power and determining whether the score functions are well constructed by calculating hit ratio for all reports of testing set. As a result of the empirical study, the presented model shows 69.3% hit accuracy for testing set which consists of 2,526 reports. this hit ratio is meaningfully high despite of some constraints for conducting research. Looking at the prediction performance of the model for each stocks, only 3 stocks, which are LG ELECTRONICS, KiaMtr, and Mando, show extremely low performance than average. this result maybe due to the interference effect with other similar items and generation of new knowledge. In this paper, we propose a methodology to find out key entities or their combinations which are necessary to search related information in accordance with the user's investment intention. Graph data is generated by using only the named entity recognition tool and applied to the neural tensor network without learning corpus or word vectors for the field. From the empirical test, we confirm the effectiveness of the presented model as described above. However, there also exist some limits and things to complement. Representatively, the phenomenon that the model performance is especially bad for only some stocks shows the need for further researches. Finally, through the empirical study, we confirmed that the learning method presented in this study can be used for the purpose of matching the new text information semantically with the related stocks.

Self-optimizing feature selection algorithm for enhancing campaign effectiveness (캠페인 효과 제고를 위한 자기 최적화 변수 선택 알고리즘)

  • Seo, Jeoung-soo;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.26 no.4
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    • pp.173-198
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    • 2020
  • For a long time, many studies have been conducted on predicting the success of campaigns for customers in academia, and prediction models applying various techniques are still being studied. Recently, as campaign channels have been expanded in various ways due to the rapid revitalization of online, various types of campaigns are being carried out by companies at a level that cannot be compared to the past. However, customers tend to perceive it as spam as the fatigue of campaigns due to duplicate exposure increases. Also, from a corporate standpoint, there is a problem that the effectiveness of the campaign itself is decreasing, such as increasing the cost of investing in the campaign, which leads to the low actual campaign success rate. Accordingly, various studies are ongoing to improve the effectiveness of the campaign in practice. This campaign system has the ultimate purpose to increase the success rate of various campaigns by collecting and analyzing various data related to customers and using them for campaigns. In particular, recent attempts to make various predictions related to the response of campaigns using machine learning have been made. It is very important to select appropriate features due to the various features of campaign data. If all of the input data are used in the process of classifying a large amount of data, it takes a lot of learning time as the classification class expands, so the minimum input data set must be extracted and used from the entire data. In addition, when a trained model is generated by using too many features, prediction accuracy may be degraded due to overfitting or correlation between features. Therefore, in order to improve accuracy, a feature selection technique that removes features close to noise should be applied, and feature selection is a necessary process in order to analyze a high-dimensional data set. Among the greedy algorithms, SFS (Sequential Forward Selection), SBS (Sequential Backward Selection), SFFS (Sequential Floating Forward Selection), etc. are widely used as traditional feature selection techniques. It is also true that if there are many risks and many features, there is a limitation in that the performance for classification prediction is poor and it takes a lot of learning time. Therefore, in this study, we propose an improved feature selection algorithm to enhance the effectiveness of the existing campaign. The purpose of this study is to improve the existing SFFS sequential method in the process of searching for feature subsets that are the basis for improving machine learning model performance using statistical characteristics of the data to be processed in the campaign system. Through this, features that have a lot of influence on performance are first derived, features that have a negative effect are removed, and then the sequential method is applied to increase the efficiency for search performance and to apply an improved algorithm to enable generalized prediction. Through this, it was confirmed that the proposed model showed better search and prediction performance than the traditional greed algorithm. Compared with the original data set, greed algorithm, genetic algorithm (GA), and recursive feature elimination (RFE), the campaign success prediction was higher. In addition, when performing campaign success prediction, the improved feature selection algorithm was found to be helpful in analyzing and interpreting the prediction results by providing the importance of the derived features. This is important features such as age, customer rating, and sales, which were previously known statistically. Unlike the previous campaign planners, features such as the combined product name, average 3-month data consumption rate, and the last 3-month wireless data usage were unexpectedly selected as important features for the campaign response, which they rarely used to select campaign targets. It was confirmed that base attributes can also be very important features depending on the type of campaign. Through this, it is possible to analyze and understand the important characteristics of each campaign type.

The Impact of O4O Selection Attributes on Customer Satisfaction and Loyalty: Focusing on the Case of Fresh Hema in China (O4O 선택속성이 고객만족도 및 고객충성도에 미치는 영향: 중국 허마셴셩 사례를 중심으로)

  • Cui, Chengguo;Yang, Sung-Byung
    • Knowledge Management Research
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    • v.21 no.3
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    • pp.249-269
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    • 2020
  • Recently, as the online market has matured, it is facing many problems to prevent the growth. The most common problem is the homogenization of online products, which fails to increase the number of customers any more. Moreover, although the portion of the online market has increased significantly, it now becomes essential to expand offline for further development. In response, many online firms have recently sought to expand their businesses and marketing channels by securing offline spaces that can complement the limitations of online platforms, on top of their existing advantages of online channels. Based on their competitive advantage in terms of analyzing large volumes of customer data utilizing information technologies (e.g., big data and artificial intelligence), they are reinforcing their offline influence as well through this online for offline (O4O) business model. On the other hand, most of the existing research has primarily focused on online to offline (O2O) business model, and there is still a lack of research on O4O business models, which have been actively attempted in various industrial fields in recent years. Since a few of O4O-related studies have been conducted only in an experience marketing setting following a case study method, it is critical to conduct an empirical study on O4O selection attributes and their impact on customer satisfaction and loyalty. Therefore, focusing on China's representative O4O business model, 'Fresh Hema,' this study attempts to identify some key selection attributes specialized for O4O services from the customers' viewpoint and examine the impact of these attributes on customer satisfaction and loyalty. The results of the structural equation modeling (SEM) with 300 O4O (Fresh Hema) experienced customers, reveal that, out of seven O4O selection attributes, four (mobile app quality, mobile payment, product quality, and store facilities) have an impact on customer satisfaction, which also leads to customer loyalty (reuse intention, recommendation intention, and brand attachment). This study would help managers in an O4O area well adapt to rapidly changing customer needs and provide them with some guidelines for enhancing both customer satisfaction and loyalty by allocating more resources to more significant selection attributes, rather than less significant ones.

Simulation and Post-representation: a study of Algorithmic Art (시뮬라시옹과 포스트-재현 - 알고리즘 아트를 중심으로)

  • Lee, Soojin
    • 기호학연구
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    • no.56
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    • pp.45-70
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    • 2018
  • Criticism of the postmodern philosophy of the system of representation, which has continued since the Renaissance, is based on a critique of the dichotomy that separates the subjects and objects and the environment from the human being. Interactivity, highlighted in a series of works emerging as postmodern trends in the 1960s, was transmitted to an interactive aspect of digital art in the late 1990s. The key feature of digital art is the possibility of infinite variations reflecting unpredictable changes based on public participation on the spot. In this process, the importance of computer programs is highlighted. Instead of using the existing program as it is, more and more artists are creating and programming their own algorithms or creating unique algorithms through collaborations with programmers. We live in an era of paradigm shift in which programming itself must be considered as a creative act. Simulation technology and VR technology draw attention as a technique to represent the meaning of reality. Simulation technology helps artists create experimental works. In fact, Baudrillard's concept of Simulation defines the other reality that has nothing to do with our reality, rather than a reality that is extremely representative of our reality. His book Simulacra and Simulation refers to the existence of a reality entirely different from the traditional concept of reality. His argument does not concern the problems of right and wrong. There is no metaphysical meaning. Applying the concept of simulation to algorithmic art, the artist models the complex attributes of reality in the digital system. And it aims to build and integrate internal laws that structure and activate the world (specific or individual), that is to say, simulate the world. If the images of the traditional order correspond to the reproduction of the real world, the synthesized images of algorithmic art and simulated space-time are the forms of art that facilitate the experience. The moment of seeing and listening to the work of Ian Cheng presented in this article is a moment of personal experience and the perception is made at that time. It is not a complete and closed process, but a continuous and changing process. It is this active and situational awareness that is required to the audience for the comprehension of post-representation's forms.

Introduction and Evaluation of the Production Method for Chlorophyll-a Using Merging of GOCI-II and Polar Orbit Satellite Data (GOCI-II 및 극궤도 위성 자료를 병합한 Chlorophyll-a 산출물 생산방법 소개 및 활용 가능성 평가)

  • Hye-Kyeong Shin;Jae Yeop Kwon;Pyeong Joong Kim;Tae-Ho Kim
    • Korean Journal of Remote Sensing
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    • v.39 no.6_1
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    • pp.1255-1272
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    • 2023
  • Satellite-based chlorophyll-a concentration, produced as a long-term time series, is crucial for global climate change research. The production of data without gaps through the merging of time-synthesized or multi-satellite data is essential. However, studies related to satellite-based chlorophyll-a concentration in the waters around the Korean Peninsula have mainly focused on evaluating seasonal characteristics or proposing algorithms suitable for research areas using a single ocean color sensor. In this study, a merging dataset of remote sensing reflectance from the geostationary sensor GOCI-II and polar-orbiting sensors (MODIS, VIIRS, OLCI) was utilized to achieve high spatial coverage of chlorophyll-a concentration in the waters around the Korean Peninsula. The spatial coverage in the results of this study increased by approximately 30% compared to polar-orbiting sensor data, effectively compensating for gaps caused by clouds. Additionally, we aimed to quantitatively assess accuracy through comparison with global chlorophyll-a composite data provided by Ocean Colour Climate Change Initiative (OC-CCI) and GlobColour, along with in-situ observation data. However, due to the limited number of in-situ observation data, we could not provide statistically significant results. Nevertheless, we observed a tendency for underestimation compared to global data. Furthermore, for the evaluation of practical applications in response to marine disasters such as red tides, we qualitatively compared our results with a case of a red tide in the East Sea in 2013. The results showed similarities to OC-CCI rather than standalone geostationary sensor results. Through this study, we plan to use the generated data for future research in artificial intelligence models for prediction and anomaly utilization. It is anticipated that the results will be beneficial for monitoring chlorophyll-a events in the coastal waters around Korea.

Data-centric XAI-driven Data Imputation of Molecular Structure and QSAR Model for Toxicity Prediction of 3D Printing Chemicals (3D 프린팅 소재 화학물질의 독성 예측을 위한 Data-centric XAI 기반 분자 구조 Data Imputation과 QSAR 모델 개발)

  • ChanHyeok Jeong;SangYoun Kim;SungKu Heo;Shahzeb Tariq;MinHyeok Shin;ChangKyoo Yoo
    • Korean Chemical Engineering Research
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    • v.61 no.4
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    • pp.523-541
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    • 2023
  • As accessibility to 3D printers increases, there is a growing frequency of exposure to chemicals associated with 3D printing. However, research on the toxicity and harmfulness of chemicals generated by 3D printing is insufficient, and the performance of toxicity prediction using in silico techniques is limited due to missing molecular structure data. In this study, quantitative structure-activity relationship (QSAR) model based on data-centric AI approach was developed to predict the toxicity of new 3D printing materials by imputing missing values in molecular descriptors. First, MissForest algorithm was utilized to impute missing values in molecular descriptors of hazardous 3D printing materials. Then, based on four different machine learning models (decision tree, random forest, XGBoost, SVM), a machine learning (ML)-based QSAR model was developed to predict the bioconcentration factor (Log BCF), octanol-air partition coefficient (Log Koa), and partition coefficient (Log P). Furthermore, the reliability of the data-centric QSAR model was validated through the Tree-SHAP (SHapley Additive exPlanations) method, which is one of explainable artificial intelligence (XAI) techniques. The proposed imputation method based on the MissForest enlarged approximately 2.5 times more molecular structure data compared to the existing data. Based on the imputed dataset of molecular descriptor, the developed data-centric QSAR model achieved approximately 73%, 76% and 92% of prediction performance for Log BCF, Log Koa, and Log P, respectively. Lastly, Tree-SHAP analysis demonstrated that the data-centric-based QSAR model achieved high prediction performance for toxicity information by identifying key molecular descriptors highly correlated with toxicity indices. Therefore, the proposed QSAR model based on the data-centric XAI approach can be extended to predict the toxicity of potential pollutants in emerging printing chemicals, chemical process, semiconductor or display process.

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.