• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.17 no.1
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• pp.229-249
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• 2022

This paper investigates machine learning models for predicting the designation of administrative issues in the KOSDAQ market through various techniques. When a company in the Korean stock market is designated as administrative issue, the market recognizes the event itself as negative information, causing losses to the company and investors. The purpose of this study is to evaluate alternative methods for developing a artificial intelligence service to examine a possibility to the designation of administrative issues early through the financial ratio of companies and to help investors manage portfolio risks. In this study, the independent variables used 21 financial ratios representing profitability, stability, activity, and growth. From 2011 to 2020, when K-IFRS was applied, financial data of companies in administrative issues and non-administrative issues stocks are sampled. Logistic regression analysis, decision tree, support vector machine, random forest, and LightGBM are used to predict the designation of administrative issues. According to the results of analysis, LightGBM with 82.73% classification accuracy is the best prediction model, and the prediction model with the lowest classification accuracy is a decision tree with 71.94% accuracy. As a result of checking the top three variables of the importance of variables in the decision tree-based learning model, the financial variables common in each model are ROE(Net profit) and Capital stock turnover ratio, which are relatively important variables in designating administrative issues. In general, it is confirmed that the learning model using the ensemble had higher predictive performance than the single learning model.

• Communications for Statistical Applications and Methods
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• v.31 no.5
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• pp.585-599
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• 2024

Options pricing remains a critical aspect of finance, dominated by traditional models such as Black-Scholes and binomial tree. However, as market dynamics become more complex, numerical methods such as Monte Carlo simulation are accommodating uncertainty and offering promising alternatives. In this paper, we examine how effective different options pricing methods, from traditional models to machine learning algorithms, are at predicting KOSPI200 option prices and maximizing investment returns. Using a dataset of 2023, we compare the performance of models over different time frames and highlight the strengths and limitations of each model. In particular, we find that machine learning models are not as good at predicting prices as traditional models but are adept at identifying undervalued options and producing significant returns. Our findings challenge existing assumptions about the relationship between forecast accuracy and investment profitability and highlight the potential of advanced methods in exploring dynamic financial environments.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.25 no.2
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• pp.178-186
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• 2021

COVID-19 occurred in China in December 2019 and spread to the world. Untact culture becoming commonplace due to the spread of COVID-19, is accelerating digital transformation across society. The government is increasing government fund to overcome national crisis situations such as COVID-19. In order to efficiently execute these government funds, the government and policy financial institutions need to come up with two measures. One is to establish a transparent government fund execution process, and the other is to secure the objectivity of the review process. In this paper, to solve this problem, we designed the execution process of government funds from the government to end users with Consortium Blockchain, and designed a machine learning algorithm for internal review of policy financial institutions. The research data proposed in this paper will be helpful in setting the future government policy direction for government fund execution.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.32 no.2
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• pp.405-416
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• 2022

Current AI technology is improving the quality of life by using machine learning based on data. When using machine learning, transmitting distributed data and collecting it in one place goes through a de-identification process because there is a risk of privacy infringement. De-identification data causes information damage and omission, which degrades the performance of the machine learning process and complicates the preprocessing process. Accordingly, Google announced joint learning in 2016, a method of de-identifying data and learning without the process of collecting data into one server. This paper analyzed the effectiveness by comparing the difference between the learning performance of data that went through the de-identification process of K anonymity and differential privacy reproduction data using actual financial data. As a result of the experiment, the accuracy of original data learning was 79% for k=2, 76% for k=5, 52% for k=7, 50% for 𝜖=1, and 82% for 𝜖=0.1, and 86% for Federated learning.

• Journal of Intelligence and Information Systems
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• v.23 no.4
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• pp.127-146
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• 2017

Services using artificial intelligence have begun to emerge in daily life. Artificial intelligence is applied to products in consumer electronics and communications such as artificial intelligence refrigerators and speakers. In the financial sector, using Kensho's artificial intelligence technology, the process of the stock trading system in Goldman Sachs was improved. For example, two stock traders could handle the work of 600 stock traders and the analytical work for 15 people for 4weeks could be processed in 5 minutes. Especially, big data analysis through machine learning among artificial intelligence fields is actively applied throughout the financial industry. The stock market analysis and investment modeling through machine learning theory are also actively studied. The limits of linearity problem existing in financial time series studies are overcome by using machine learning theory such as artificial intelligence prediction model. The study of quantitative financial data based on the past stock market-related numerical data is widely performed using artificial intelligence to forecast future movements of stock price or indices. Various other studies have been conducted to predict the future direction of the market or the stock price of companies by learning based on a large amount of text data such as various news and comments related to the stock market. Investing on commodity asset, one of alternative assets, is usually used for enhancing the stability and safety of traditional stock and bond asset portfolio. There are relatively few researches on the investment model about commodity asset than mainstream assets like equity and bond. Recently machine learning techniques are widely applied on financial world, especially on stock and bond investment model and it makes better trading model on this field and makes the change on the whole financial area. In this study we made investment model using Support Vector Machine among the machine learning models. There are some researches on commodity asset focusing on the price prediction of the specific commodity but it is hard to find the researches about investment model of commodity as asset allocation using machine learning model. We propose a method of forecasting four major commodity indices, portfolio made of commodity futures, and individual commodity futures, using SVM model. The four major commodity indices are Goldman Sachs Commodity Index(GSCI), Dow Jones UBS Commodity Index(DJUI), Thomson Reuters/Core Commodity CRB Index(TRCI), and Rogers International Commodity Index(RI). We selected each two individual futures among three sectors as energy, agriculture, and metals that are actively traded on CME market and have enough liquidity. They are Crude Oil, Natural Gas, Corn, Wheat, Gold and Silver Futures. We made the equally weighted portfolio with six commodity futures for comparing with other commodity indices. We set the 19 macroeconomic indicators including stock market indices, exports & imports trade data, labor market data, and composite leading indicators as the input data of the model because commodity asset is very closely related with the macroeconomic activities. They are 14 US economic indicators, two Chinese economic indicators and two Korean economic indicators. Data period is from January 1990 to May 2017. We set the former 195 monthly data as training data and the latter 125 monthly data as test data. In this study, we verified that the performance of the equally weighted commodity futures portfolio rebalanced by the SVM model is better than that of other commodity indices. The prediction accuracy of the model for the commodity indices does not exceed 50% regardless of the SVM kernel function. On the other hand, the prediction accuracy of equally weighted commodity futures portfolio is 53%. The prediction accuracy of the individual commodity futures model is better than that of commodity indices model especially in agriculture and metal sectors. The individual commodity futures portfolio excluding the energy sector has outperformed the three sectors covered by individual commodity futures portfolio. In order to verify the validity of the model, it is judged that the analysis results should be similar despite variations in data period. So we also examined the odd numbered year data as training data and the even numbered year data as test data and we confirmed that the analysis results are similar. As a result, when we allocate commodity assets to traditional portfolio composed of stock, bond, and cash, we can get more effective investment performance not by investing commodity indices but by investing commodity futures. Especially we can get better performance by rebalanced commodity futures portfolio designed by SVM model.

• Asia pacific journal of information systems
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• v.32 no.4
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• pp.770-802
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• 2022

With the development of deep learning techniques, text mining is producing breakthrough performance improvements, promising future applications, and practical use cases across many fields. Likewise, even though several attempts have been made in the field of financial information, few cases apply the current technological trends. Recently, companies and government agencies have attempted to conduct research and apply text mining in the field of financial information. First, in this study, we investigate various works using text mining to show what studies have been conducted in the financial sector. Second, to broaden the view of financial application, we provide a description of several text mining techniques that can be used in the field of financial information and summarize various paradigms in which these technologies can be applied. Third, we also provide practical cases for applying the latest text mining techniques in the field of financial information to provide more tangible guidance for those who will use text mining techniques in finance. Lastly, we propose potential future research topics in the field of financial information and present the research methods and utilization plans. This study can motivate researchers studying financial issues to use text mining techniques to gain new insights and improve their work from the rich information hidden in text data.

• Journal of Korean Institute of Industrial Engineers
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• v.38 no.4
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• pp.258-261
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• 2012

In this paper, I propose a new asset allocation framework to cope with the dynamic nature of the financial market. The investment performance can be much improved by protecting the capital from the market crashes, and such crashes can be pre-identified with high probabilities by regime detection analysis via a specialized unsupervised machine learning technique.

• The Journal of Information Systems
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• v.29 no.3
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• pp.119-144
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• 2020

Purpose Real estate usually takes charge of the highest proportion of physical properties which individual, organizations, and government hold and instability of real estate market affects the economic condition seriously for each economic subject. Consequently, practices for predicting the real estate market have attention for various reasons, such as financial investment, administrative convenience, and wealth management. Additionally, development of machine learning algorithms and computing hardware enhances the expectation for more precise and useful prediction models in real estate market. Design/methodology/approach In response to the demand, this paper aims to provide a framework for forecasting the real estate market with machine learning algorithms. The framework consists of demonstrating the prediction efficiency of each machine learning algorithm, interpreting the interior feature effects of prediction model with a state-of-art algorithm, LIME(Local Interpretable Model-agnostic Explanation), and comparing the results in different cities. Findings This research could not only enhance the academic base for information system and real estate fields, but also resolve information asymmetry on real estate market among economic subjects. This research revealed that macroeconomic indicators, real estate-related indicators, and Google Trends search indexes can predict real-estate prices quite well.

• Journal of the Korean Society of Industry Convergence
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• v.27 no.2_1
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• pp.257-268
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• 2024

Soccer is type of sport that carries a high risk of injury. Injury is not only cause in the unlucky soccer carrier and also team performance as well as financial effects can be worse since soccer is a team-based game. The duration of recovery from a soccer injury typically relies on its type and severity. Therefore, we conduct this research in order to predict the probability of players injury type using machine learning technologies in this paper. Furthermore, we compare different machine learning models to find the best fit model. This paper utilizes various supervised classification machine learning models, including Decision Tree, Random Forest, K-Nearest Neighbors (KNN), and Naive Bayes. Moreover, based on our finding the KNN and Decision models achieved the highest accuracy rates at 70%, surpassing other models. The Random Forest model followed closely with an accuracy score of 62%. Among the evaluated models, the Naive Bayes model demonstrated the lowest accuracy at 56%. We gathered information about 54 professional soccer players who are playing in the top five European leagues based on their career history. We gathered information about 54 professional soccer players who are playing in the top five European leagues based on their career history.

• Management Science and Financial Engineering
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• v.16 no.1
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• pp.81-117
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• 2010

Semi-supervised learning incorporates unlabeled examples, whose labels are unknown, as well as labeled examples into learning process. Although transductive support vector machine (TSVM), one of semi-supervised learning models, was proposed about a decade ago, its application to large-scaled data has still been limited due to its high computational complexity. Our previous research addressed this limitation by introducing a branch-and-bound algorithm for finding an optimal solution to TSVM. In this paper, we propose three new techniques to enhance the performance of the branch-and-bound algorithm. The first one tightens min-cut bound, one of two bounding strategies. Another technique exploits a graph-based approximation to a support vector machine problem to avoid the most time-consuming step. The last one tries to fix the labels of unlabeled examples whose labels can be obviously predicted based on labeled examples. Experimental results are presented which demonstrate that the proposed techniques can reduce drastically the number of subproblems and eventually computational time.