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Influence analysis of Internet buzz to corporate performance : Individual stock price prediction using sentiment analysis of online news (온라인 언급이 기업 성과에 미치는 영향 분석 : 뉴스 감성분석을 통한 기업별 주가 예측)

  • Jeong, Ji Seon;Kim, Dong Sung;Kim, Jong Woo
    • Journal of Intelligence and Information Systems
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    • v.21 no.4
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    • pp.37-51
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    • 2015
  • Due to the development of internet technology and the rapid increase of internet data, various studies are actively conducted on how to use and analyze internet data for various purposes. In particular, in recent years, a number of studies have been performed on the applications of text mining techniques in order to overcome the limitations of the current application of structured data. Especially, there are various studies on sentimental analysis to score opinions based on the distribution of polarity such as positivity or negativity of vocabularies or sentences of the texts in documents. As a part of such studies, this study tries to predict ups and downs of stock prices of companies by performing sentimental analysis on news contexts of the particular companies in the Internet. A variety of news on companies is produced online by different economic agents, and it is diffused quickly and accessed easily in the Internet. So, based on inefficient market hypothesis, we can expect that news information of an individual company can be used to predict the fluctuations of stock prices of the company if we apply proper data analysis techniques. However, as the areas of corporate management activity are different, an analysis considering characteristics of each company is required in the analysis of text data based on machine-learning. In addition, since the news including positive or negative information on certain companies have various impacts on other companies or industry fields, an analysis for the prediction of the stock price of each company is necessary. Therefore, this study attempted to predict changes in the stock prices of the individual companies that applied a sentimental analysis of the online news data. Accordingly, this study chose top company in KOSPI 200 as the subjects of the analysis, and collected and analyzed online news data by each company produced for two years on a representative domestic search portal service, Naver. In addition, considering the differences in the meanings of vocabularies for each of the certain economic subjects, it aims to improve performance by building up a lexicon for each individual company and applying that to an analysis. As a result of the analysis, the accuracy of the prediction by each company are different, and the prediction accurate rate turned out to be 56% on average. Comparing the accuracy of the prediction of stock prices on industry sectors, 'energy/chemical', 'consumer goods for living' and 'consumer discretionary' showed a relatively higher accuracy of the prediction of stock prices than other industries, while it was found that the sectors such as 'information technology' and 'shipbuilding/transportation' industry had lower accuracy of prediction. The number of the representative companies in each industry collected was five each, so it is somewhat difficult to generalize, but it could be confirmed that there was a difference in the accuracy of the prediction of stock prices depending on industry sectors. In addition, at the individual company level, the companies such as 'Kangwon Land', 'KT & G' and 'SK Innovation' showed a relatively higher prediction accuracy as compared to other companies, while it showed that the companies such as 'Young Poong', 'LG', 'Samsung Life Insurance', and 'Doosan' had a low prediction accuracy of less than 50%. In this paper, we performed an analysis of the share price performance relative to the prediction of individual companies through the vocabulary of pre-built company to take advantage of the online news information. In this paper, we aim to improve performance of the stock prices prediction, applying online news information, through the stock price prediction of individual companies. Based on this, in the future, it will be possible to find ways to increase the stock price prediction accuracy by complementing the problem of unnecessary words that are added to the sentiment dictionary.

The Pattern Analysis of Financial Distress for Non-audited Firms using Data Mining (데이터마이닝 기법을 활용한 비외감기업의 부실화 유형 분석)

  • Lee, Su Hyun;Park, Jung Min;Lee, Hyoung Yong
    • Journal of Intelligence and Information Systems
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    • v.21 no.4
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    • pp.111-131
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    • 2015
  • There are only a handful number of research conducted on pattern analysis of corporate distress as compared with research for bankruptcy prediction. The few that exists mainly focus on audited firms because financial data collection is easier for these firms. But in reality, corporate financial distress is a far more common and critical phenomenon for non-audited firms which are mainly comprised of small and medium sized firms. The purpose of this paper is to classify non-audited firms under distress according to their financial ratio using data mining; Self-Organizing Map (SOM). SOM is a type of artificial neural network that is trained using unsupervised learning to produce a lower dimensional discretized representation of the input space of the training samples, called a map. SOM is different from other artificial neural networks as it applies competitive learning as opposed to error-correction learning such as backpropagation with gradient descent, and in the sense that it uses a neighborhood function to preserve the topological properties of the input space. It is one of the popular and successful clustering algorithm. In this study, we classify types of financial distress firms, specially, non-audited firms. In the empirical test, we collect 10 financial ratios of 100 non-audited firms under distress in 2004 for the previous two years (2002 and 2003). Using these financial ratios and the SOM algorithm, five distinct patterns were distinguished. In pattern 1, financial distress was very serious in almost all financial ratios. 12% of the firms are included in these patterns. In pattern 2, financial distress was weak in almost financial ratios. 14% of the firms are included in pattern 2. In pattern 3, growth ratio was the worst among all patterns. It is speculated that the firms of this pattern may be under distress due to severe competition in their industries. Approximately 30% of the firms fell into this group. In pattern 4, the growth ratio was higher than any other pattern but the cash ratio and profitability ratio were not at the level of the growth ratio. It is concluded that the firms of this pattern were under distress in pursuit of expanding their business. About 25% of the firms were in this pattern. Last, pattern 5 encompassed very solvent firms. Perhaps firms of this pattern were distressed due to a bad short-term strategic decision or due to problems with the enterpriser of the firms. Approximately 18% of the firms were under this pattern. This study has the academic and empirical contribution. In the perspectives of the academic contribution, non-audited companies that tend to be easily bankrupt and have the unstructured or easily manipulated financial data are classified by the data mining technology (Self-Organizing Map) rather than big sized audited firms that have the well prepared and reliable financial data. In the perspectives of the empirical one, even though the financial data of the non-audited firms are conducted to analyze, it is useful for find out the first order symptom of financial distress, which makes us to forecast the prediction of bankruptcy of the firms and to manage the early warning and alert signal. These are the academic and empirical contribution of this study. The limitation of this research is to analyze only 100 corporates due to the difficulty of collecting the financial data of the non-audited firms, which make us to be hard to proceed to the analysis by the category or size difference. Also, non-financial qualitative data is crucial for the analysis of bankruptcy. Thus, the non-financial qualitative factor is taken into account for the next study. This study sheds some light on the non-audited small and medium sized firms' distress prediction in the future.

IR Study on the Adsorption of Carbon Monoxide on Silica Supported Ruthenium-Nickel Alloy (실리카 지지 루테늄-니켈 합금에 있어서 일산화탄소의 흡착에 관한 IR 연구)

  • Park, Sang-Youn;Yoon, Dong-Wook
    • Applied Chemistry for Engineering
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    • v.17 no.4
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    • pp.349-356
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    • 2006
  • We have investigated adsorption and desorption properties of CO adsorption on silica supported Ru/Ni alloys at various Ru/Ni mole content ratio as well as CO partial pressures using Fourier transform infrared spectrometer (FT-IR). For Ru-$SiO_{2}$ sample, four bands were observed at $2080.0cm^{-1}$, $2021.0{\sim}2030.7cm^{-1}$, $1778.9{\sim}1799.3cm^{-1}$, $1623.8cm^{-1}$ on adsorption and three bands were observed at $2138.7cm^{-1}$, $2069.3cm^{-1}$, $1988.3{\sim}2030.7cm^{-1}$ on vacumn desorption. For Ni-$SiO_{2}$ sample, four bands were observed at $2057.7cm^{-1}$, $2019.1{\sim}2040.3cm^{-1}$, $1862.9{\sim}1868.7cm^{-1}$, $1625.7cm^{-1}$ on adsorption and two bands were observed at $2009.5{\sim}2040.3cm^{-1}$, $1828.4{\sim}1868.7cm^{-1}$ on vacumn desorption. These absorption bands correspond with those of the previous reports approximately. For Ru/Ni(9/1, 8/2, 7/3, 6/4, 5/5; mole content ratio)-$SiO_{2}$ samples, three bands were observed at $2001.8{\sim}2057.7cm^{-1}$, $1812.8{\sim}1926.5cm^{-1}$, $1623.8{\sim}1625.7cm^{-1}$ on adsorption and three bands were observed at $2140.6cm^{-1}$, $2073.1cm^{-1}$, $1969.0{\sim}2057.7cm^{-1}$ on vacumn desorption. The spectrum pattern observed for Ru/Ni-$SiO_{2}$ sample at 9/1 Ru/Ni mole content ratio on CO adsorption and on vacumn desorption is almost like the spectrum pattern observed for Ru-$SiO_{2}$ sample. But the spectrum patterns observed for Ru/Ni-$SiO_{2}$ samples under 8/2 Ru/Ni mole content ratio on CO adsorption and vacumn desorption are almost like the pattern observed for $Ni-SiO_{2}$ sample. It may be suggested surfaces of alloy clusters on the Ru/Ni-$SiO_{2}$ samples contain more Ni components than the mole content ratio of the sample considering the above phenomena. With Ru/Ni-$SiO_{2}$ samples the absorption band shifts may be ascribed to variations of surface concentration, strain variation due to atomic size difference, variation of bonding energy and electronic densities, and changes of surface geometries according to surface concentration variation. Studies for CO adsorption on Ru/Ni alloy cluster surface by LEED and Auger spectroscopy, interation between Ru/Ni alloy cluster and $SiO_{2}$, and MO calculation for the system would be needed to look into the phenomena.

Evaluation of Standardized Uptake Value and Metabolic Tumor Volume between Reconstructed data and Re-sliced data in PET Study (PET 검사 시 Reconstructed data와 Re-sliced data의 표준섭취계수와 Metabolic Tumor Volume의 비교 평가)

  • Do, Yong Ho;Lee, Hong Jae;Kim, Jin Eui
    • The Korean Journal of Nuclear Medicine Technology
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    • v.20 no.2
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    • pp.3-8
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    • 2016
  • Purpose SUV is one of the parameters that assist diagnosis in origin, metastasis and staging of cancer. Specially, it is important to compare SUV before and after chemo or radiation therapy to find out effectiveness of treatment. Storing PET data which has no quantitative change is needed for SUV comparison. However, there is a possibility to loss the data in external hard drive or MINIpacs that are managed by department of nuclear medicine. The aim of this study is to evaluate SUV and metabolic tumor volume (MTV) among reconstructed data (R-D) in workstation, R-D and re-sliced data (S-D) in PACS. Materials and Methods Data of 20 patients (aged $60.5{\pm}8.3y$) underwent $^{18}F-FDG$ PET (Biograph truepoint 40, mCT 40, mCT 64, mMR, Siemens) study were analysed. $SUV_{max}$, $SUV_{peak}$ and MTV were measured in liver, aorta and tumor after sending R-D in workstation, R-D and S-D in PACS to syngo.via software. Results R-D of workstation and PACS showed the same value as mean $SUV_{max}$ in liver, aorta and tumor were $2.95{\pm}0.59$, $2.35{\pm}0.61$, $10.36{\pm}6.15$ and $SUV_{peak}$ were $2.70{\pm}0.51$, $2.07{\pm}0.43$, $7.67{\pm}3.73$(p>0.05) respectively. Mean $SUV_{max}$ of S-D in PACS were decreased by 5.18%, 7.22%, 12.11% and $SUV_{peak}$ 2.61%, 3.63%, 10.07%(p<0.05). Correlation between R-D and S-D were $SUV_{max}$ 0.99, 0.96, 0.99 and $SUV_{peak}$ 0.99, 0.99, 0.99. And 2SD in balnd-altman analysis were $SUV_{max}$ 0.125, 0.290, 1.864 and $SUV_{peak}$ 0.053, 0.103, 0.826. MTV of R-D in workstation and PACS show the same value as $14.21{\pm}12.72cm^3$(p>0.05). MTV in PACS was decreased by 0.12% compared to R-D(p>0.05). Correlation and 2SD between R-D and S-D were 0.99 and 2.243. Conclusion $SUV_{max}$, $SUV_{peak}$, MTV showed the same value in both of R-D in workstation and PACS. However, there was statistically difference in $SUV_{max}$, $SUV_{peak}$ of S-D compare to R-D despite of high correlation. It is possible to analyse reliable pre and post SUV if storing R-D in main hospital PACS system.

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Soil amendment for turfgrass vegetation of the Incheon International Airport runway side on the Yeongjong reclaimed land (인천국제공항 착륙대 잔디 식재 지반 조성을 위한 영종도 매립 토양 개량)

  • Yoo, Sun-Ho;Jeong, Yeong-Sang;Joo, Young-Kyu;Choi, Byung-Kwon;Wu, Heun-Young;Lee, Tae-Young
    • Korean Journal of Soil Science and Fertilizer
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    • v.35 no.2
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    • pp.93-104
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    • 2002
  • A field survey and experiment was conducted from 1996 to 1998 to develop rational technology for turfgrass vegetation of runway side of Incheon International Airport on the reclaimed tidal land in Young-Jong Island. Backfill of the experimental site was finished on August 1995. The experimental site was 8 ha located in the middle of the construction place for the main parking lot in front of the terminal building construction. The experimental field was drained by main open ditch, and divided three main plots, no subsurface tile drain, subsurface tile drain spacing with 22.5m, and with 45 m, respectively. The 17 sub plots were designed to test the effect of soil covering with red earth loam by 5 cm and 20 cm depth, application of chemical compound fertilizers and livestock manures, dressing of artifical soils and hydrophylic soil conditioners. The tested turfgrasses were three transplanting indigenous turfgrasses, Zoysia koreana, Zoysia sinica and Zoysia japonica, and two hydroseeding mixed exotic turgrasses, cool type I(tall fescue 30%, kentucky blue grass 40%, perenial ryegrass 30%), and cool type II(tall fescue 40%, perenial ryegrass 20%, fine fescue 20%, alkaligrass 20%). The soil backfilled with dredged seasand was sand textured with high salt concentration and low fertility. The soil showed high pH, low organic matter and low available phophate contents. The percolation rate was fast with high hydraulic conductivity. Desalinization was fast after installation of the main open drainage system. No subsurface tile drainage effect was found showing little difference in turfgrass growth. The covering and visual growth of turfgrasses were the best in the 20-cm soil covering with compound fertilizer treatment. The covering and visual growth of turfgrasses were satisfactory in the 5 cm soil covering with compound fertilizer treatment and with livestock manure treatments. The hydrophillic soil conditioner treatments were effective but expensive at present. The coverage and visual quality of turfgrasses were good for Zoysia koreana and Zoysia japonica. The coverages of turfgrasses by the hydroseeding with the mixed exotic turfgrasses were less than transplanting of native turfgrasses. In conclusion, for the runway side vegetation purposes, the subsurface tile drainage might not necessary as main open ditch drainage be sufficient due to fast percolation rate of the backfilled dredged seasand. The 5 cm soil covering with red earth might be sufficient for the runway side, but the 20 cm soil covering might be necessary for the runway side where high density of turfgrass coverage was necessary to protect from the airplance air blow.

INFLUENCES OF DRY METHODS OF RETROCAVITY ON THE APICAL SEAL (치근단 역충전와동의 건조방법이 폐쇄성에 미치는 영향)

  • Lee, Jung-Tae;Kim, Sung-Kyo
    • Restorative Dentistry and Endodontics
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    • v.24 no.1
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    • pp.166-179
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    • 1999
  • Apical sealing is essential for the success of surgical endodontic treatment. Root-end cavity is apt to be contaminated with moisture or blood, and is not always easy to be dried completely. The purpose of this study was to evaluate the influence of dry methods of retrocavity on the apical seal in endodontic surgery. Apical seal was investigated through the evaluation of apical leakage and adaptation of filling material over the cavity wall. To investigate the influence of various dry methods on the apical leakage, 125 palatal roots of extracted human maxillary molar teeth were used. The clinical crown of each tooth was removed at 10 mm from the root apex using a slow-speed diamond saw and water spray. Root canals of the all the specimens were prepared with step-back technique and filled with gutta-percha by lateral condensation method. After removing of the coronal 2 mm of filling material, the access cavities were closed with Cavit$^{(R)}$. Two coats of nail polish were applied to the external surface of each root. Apical three millimeters of each root was resected perpendicular to the long axis of the root with a diamond saw. Class I retrograde cavities were prepared with ultrasonic instruments. Retrocavities were washed with physiologic saline solution and dried with various methods or contaminated with human blood. Retrocavities were filled either with IRM, Super EBA or composite resin. All the specimens were immersed in 2% methylene blue solution for 7 days in an incubator at $37^{\circ}C$. The teeth were dissolved in 14 ml of 35% nitric acid solution and the dye present within the root canal system was returned to solution. The leakage of dye was quantitatively measured via spectrophotometric method. The obtained data were analysed statistically using one-way ANOVA and Duncan's Multiple Range Test. To evaluate the influence of various dry methods on the adaptation of filling material over the cavity wall, 12 palatal roots of extracted human maxillary molar teeth were used. After all the roots were prepared and filled, and retrograde cavities were made and filled as above, roots were sectioned longitudinally. Filling-dentin interface of cut surfaces were examined by scanning electron microscope. The results were as follows: 1. Cavities dried with paper point or compressed air showed less leakage than those dried with cotton pellet in Super EBA filled cavity (p<0.05). However, there was no difference between paper point- and compressed air-dried cavities. 2. When cavities were dried with compressed air, dentin-bonded composite resin-filled cavities showed less apical leakage than IRM- or Super EBA-filled ones (p<0.05). 3. Regardless of the filling material, cavities contaminated with human blood showed significantly more apical leakage than those dried with compressed air after saline irrigation (p<0.05). 4. Outer half of the cavity showed larger dentin-filling interface gap than inner half did when cavities were filled with IRM or Super EBA. 5. In all the filling material groups, cavities contaminated with blood or dried with cotton pellets only showed larger defects at the base of the cavity than ones dried with paper points or compressed air.

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The Market Segmentation of Coffee Shops and the Difference Analysis of Consumer Behavior: A Case based on Caffe Bene (커피전문점의 시장세분화와 소비자행동 차이 분석 : 카페베네 사례를 중심으로)

  • Yu, Jong-Pil;Yoon, Nam-Soo
    • Journal of Distribution Science
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    • v.9 no.4
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    • pp.5-13
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    • 2011
  • This study provides analysis of the effectiveness of domestic marketing strategies of the Korean coffee shop "Caffe Bene". It bases its evaluation on statistical outputs of 'choice attributes,' "market segmentation," demographic characteristics," and "satisfaction differences." The results are summarized in four points. First, five choice attributes were extracted from factor analysis: price, atmosphere, comfort, taste, and location; these are related to coffee shop selection behavior. Based on these five factors, cluster analysis was conducted, with statistical results classifying customers into three major groups: atmosphere oriented; comfort oriented; and taste oriented. Second, discriminant analysis tested cluster analysis and showed two discriminant functions: location and atmosphere. Third, cross-tabulation analysis based on demographic characteristics showed distinctive demographic characteristics within the three groups. Atmosphere oriented group, early-20s, as women of all ages was found to be 'walking down the street 'and 'through acquaintances' in many cases, as the cognitive path, and mostly found the store through 'outdoor advertising', and 'introduction'. Comfort oriented group was mainly women who are students in their early twenties or professionals, and appeared as a group to be very loyal because of high recommendation to other customers compared to other groups. Taste oriented group, unlike the other group, was mainly late-20s' college graduates, and was confirmed, as low loyalty, with lower recommendation activity. Fourth, to analyze satisfaction differences, one-way ANOVA was conducted. It shows that groups which show high satisfaction in the five main factors also show high menu satisfaction and high overall satisfaction. This results show that segmented marketing strategies are necessary because customers are considering price, atmosphere, comfort, taste, location when they choose coffee shop and demographics show different attributes based on segmented groups. For example, atmosphere oriented group is satisfied with shop interior and comfort while dissatisfied with price because most of the customers in this group are early 20s and do not have great financial capability. Thus, price discounting marketing strategies based on individual situations through CRM system is critical. Comfort oriented group shows high satisfaction level about location and shop comfort. Also, in this group, there are many early 20s female customers, students, and self-employed people. This group customers show high word of mouth tendency, hence providing positive brand image to the customers would be important. In case of taste oriented group, while the scores of taste and location are high, word of mouth score is low. This group is mainly composed of educated and professional many late 20s customers, therefore, menu differentiation, increasing quality of coffee taste and price discrimination is critical to increase customers' satisfaction. However, it is hard to generalize the results of study to other coffee shop brand, because this study have researched only one domestic coffee shop, Caffe Bene. Thus if future study expand the scope of locations, brands, and occupations, the results of the study would provide more generalizable results. Finally, research of customer satisfactions of menu, trust, loyalty, and switching cost would be critical in the future study.

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Development of Predictive Models for Rights Issues Using Financial Analysis Indices and Decision Tree Technique (경영분석지표와 의사결정나무기법을 이용한 유상증자 예측모형 개발)

  • Kim, Myeong-Kyun;Cho, Yoonho
    • Journal of Intelligence and Information Systems
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    • v.18 no.4
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    • pp.59-77
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    • 2012
  • This study focuses on predicting which firms will increase capital by issuing new stocks in the near future. Many stakeholders, including banks, credit rating agencies and investors, performs a variety of analyses for firms' growth, profitability, stability, activity, productivity, etc., and regularly report the firms' financial analysis indices. In the paper, we develop predictive models for rights issues using these financial analysis indices and data mining techniques. This study approaches to building the predictive models from the perspective of two different analyses. The first is the analysis period. We divide the analysis period into before and after the IMF financial crisis, and examine whether there is the difference between the two periods. The second is the prediction time. In order to predict when firms increase capital by issuing new stocks, the prediction time is categorized as one year, two years and three years later. Therefore Total six prediction models are developed and analyzed. In this paper, we employ the decision tree technique to build the prediction models for rights issues. The decision tree is the most widely used prediction method which builds decision trees to label or categorize cases into a set of known classes. In contrast to neural networks, logistic regression and SVM, decision tree techniques are well suited for high-dimensional applications and have strong explanation capabilities. There are well-known decision tree induction algorithms such as CHAID, CART, QUEST, C5.0, etc. Among them, we use C5.0 algorithm which is the most recently developed algorithm and yields performance better than other algorithms. We obtained data for the rights issue and financial analysis from TS2000 of Korea Listed Companies Association. A record of financial analysis data is consisted of 89 variables which include 9 growth indices, 30 profitability indices, 23 stability indices, 6 activity indices and 8 productivity indices. For the model building and test, we used 10,925 financial analysis data of total 658 listed firms. PASW Modeler 13 was used to build C5.0 decision trees for the six prediction models. Total 84 variables among financial analysis data are selected as the input variables of each model, and the rights issue status (issued or not issued) is defined as the output variable. To develop prediction models using C5.0 node (Node Options: Output type = Rule set, Use boosting = false, Cross-validate = false, Mode = Simple, Favor = Generality), we used 60% of data for model building and 40% of data for model test. The results of experimental analysis show that the prediction accuracies of data after the IMF financial crisis (59.04% to 60.43%) are about 10 percent higher than ones before IMF financial crisis (68.78% to 71.41%). These results indicate that since the IMF financial crisis, the reliability of financial analysis indices has increased and the firm intention of rights issue has been more obvious. The experiment results also show that the stability-related indices have a major impact on conducting rights issue in the case of short-term prediction. On the other hand, the long-term prediction of conducting rights issue is affected by financial analysis indices on profitability, stability, activity and productivity. All the prediction models include the industry code as one of significant variables. This means that companies in different types of industries show their different types of patterns for rights issue. We conclude that it is desirable for stakeholders to take into account stability-related indices and more various financial analysis indices for short-term prediction and long-term prediction, respectively. The current study has several limitations. First, we need to compare the differences in accuracy by using different data mining techniques such as neural networks, logistic regression and SVM. Second, we are required to develop and to evaluate new prediction models including variables which research in the theory of capital structure has mentioned about the relevance to rights issue.

Performance Improvement on Short Volatility Strategy with Asymmetric Spillover Effect and SVM (비대칭적 전이효과와 SVM을 이용한 변동성 매도전략의 수익성 개선)

  • Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.26 no.1
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    • pp.119-133
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    • 2020
  • Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.

Epidemiological Studies of Clonorchiasis - II. Current Status and Natural Transition of the Endemicity of Clonorchis sinensis in Goyang Gun, a Low Endemic Area in Korea (간흡충증(肝吸虫症) 역학(疫學) - II. 저도유행지(低度流行地) 고양지방(高陽地方)에 있어서의 간흡충감염(肝吸虫感染)의 현황(現況)과 자연추이(自然推移))

  • Kim, D.C.;Lee, O.Y.;Lee, J.S.;Ahn, J.S.;Chang, Y.M.;Son, S.C.;See, S.H.
    • Journal of agricultural medicine and community health
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    • v.8 no.1
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    • pp.66-80
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    • 1983
  • As a part of the epidemiological studies of clonorchiasis in Korea, this study was conducted to evaluate the current endemicity and the natural transition of the Clonorchis infection in Goyang Gun a low endemic area in recent years, prior to the introduction of praziquantel which will eventually influence to the status of the prevalence. The data obtained in this study in 1983 were evaluated for natural transition of the infection in comparison with those obtained 16 years ago in 1967 by the author (Kim, 1974). The areas of investigation, villages and schools surveyed, methods and techniques used in this study were the same as in 1967, except for the contents of the questionnaire for raw freshwater fish consumption by the local inhabitants. 1) The current prevalence rate of Clonorchis infection among the inhabitants was 7.5% on the average out of a total of 479 persons examined. The prevalence rate was 9.0% in the riverside area and 4.2% in the inland area. Among the schoolchildren, the prevalence rate was 1.1% out of a total of 1 319 examined. By area, it was 1.4% in the riverside area and 0.7% in the inland area. By sex, the prevalence rate was 13.3% in the male and 1.3% in the female in the inhabitants and no difference was seen in the schoolchildren. 2) In the natural transition of the infection, the prevalence rate in the inhabitants has decreased from 22.5% in 1967 to 7.5% in 1983, and in the schoolchildren, from 9.5% in 1967 to 1.1% in 1983. The reduction rate was higher in the riverside area than in the inland area. 3) In the prevalence rate by age, 1.2% was seen in the 10-14 age group and gradually increased to 8.1% in the 30-39 age group and reached peak 18.1% in the 40-49 age group. By sex, in the male, the prevalence rates have increased to 31.9% and 33.3% in the 40-49 and 50-59 age groups, respectively and decreased thereafter. In the female, the prevalence rate less than 5% was seen only in between the 10-14 and 30-39 age groups. 4) In the natural transition of the prevalence rate by age, sharp decrease was seen in the male from around 50% in 1967 between 15-19 and 30-39 age groups. The generation over 40s showed less decrease. In the female, the prevalence rate has decreased from 13% in 1967 to 5% in 1983 in the middle age groups and dropped to 0% in the rest of the age groups. 5) The intensity of the infection among clonorchiasis cases by mean EPmg (number of eggs per mg feces) value was 1.4. In the inhabitants, the value was 2.0 in the riverside area and 0.4 in the inland area. While in the schoolchildren, the value was 0.2 in both riverside and inland areas. 6) In the transition of the intensity of the infection, EPmg among the inhabitants has decreased from 3.9 in 1967 to 2.0 in 1983 in the riverside area, and from 2.9 to 0.4 in the inland area. In the schoolchildren, the reduction was similar in both riverside and inland areas resulting from 1.0-1.1 in 1967 to 0.2 in 1983. 7) In the intensity of the infection by age, EPmg 3.4 was peak at the 40-49 age group and 0.2-1.0 was seen in the rest of the age groups. The mean value was 1.5 in the male and 0.6 in the female. 8) In the natural transition of the intensity of the infection, the EPmg has decreased from 2.7 in 1967 to 1.4 in 1983. By age, reduction was seen in all of the age groups, particularly in the young and the old age groups of 50s and over, except in the 40-49 age group in which reverse phenomenon was seen. By sex, it has decreased from 3.5 in 1967 to 1.5 in 1983 in the male and from 1.0 to 0.6 in the female. 9) In the distribution of the clonorchiasis cases by the range of EPmg value, 70.3% of the cases were placed in the range of 0.1-0.9 as the most and 16.2% in 1.0-4.9 as the next. With such figures, those included in the range less than 0.9 as light infection were 78.4% and under 5.0-9.9 up to moderate infection 99.3% of the cases were covered. The cases were distributed up to 20.0-39.9 in the male and to 1.0-4.9 in the female. 10) In the transition of the distribution of the clonorchiasis cases by EPmg, the highest intensity reached up to 60.0-79.9 in 1967 and to 20.0-39.9 in 1983. In the range of light infection, under 0.1-0.9, the distribution in rate was 64.5% in 1967 and 78.4% in 1983. Up to the range of moderate infection, under 5.0-9.9, 91.7% in 1967 and 97.3% in 1983 were seen respectively. 11) In a survey for raw freshwater fish consumption among the local inhabitants,78.3 of the clonorchiasis cases interviewed admitted their experience of the raw consumption. However, those who practised in the past two years were 34.8% 55.6% of those who have such experience in the past professed that they did not practise raw freshwater fish consumption in the past two years. 12) The major cause of the reduction of the raw freshwater fish consumption among the inhabitants were the wide spread water pollution in the locality. The most common reason professed for stopping raw freshwater fish consumption among the inhabitants was the risk of the fluke infection. 13) In animal survey, 3.1% of dogs were found infected with Clonorchis, decreasing from 21.6% in 1967. 14) The distribution of the first intermediate host, Parafossarulus manchouricus has greatly diminished in this locality and found only in two localized ponds. No Clonorchis infection was found from the snails examined. 15) The second intermediate freshwater fish host has been further limited by extended water pollution. No susceptible fish host could be examined. 16) In conclusion, the endemicity of Clonorchis infection in Croyang Gun, low endemic area, has significantly decreased during the past 16 years. The major cause of the regressive transition of the infection was the water pollution of the freshwater system of this locality. This has upset the ecosystems of the intermediate host of Clonorchis sinensis in many areas of waterbodies and further discouraged to a significant extent the local inhabitants from raw freshwater fish consumption.

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