• Journal of Intelligence and Information Systems
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• v.23 no.3
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• pp.139-153
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• 2017

Corporate bankruptcy can cause great losses not only to stakeholders but also to many related sectors in society. Through the economic crises, bankruptcy have increased and bankruptcy prediction models have become more and more important. Therefore, corporate bankruptcy has been regarded as one of the major topics of research in business management. Also, many studies in the industry are in progress and important. Previous studies attempted to utilize various methodologies to improve the bankruptcy prediction accuracy and to resolve the overfitting problem, such as Multivariate Discriminant Analysis (MDA), Generalized Linear Model (GLM). These methods are based on statistics. Recently, researchers have used machine learning methodologies such as Support Vector Machine (SVM), Artificial Neural Network (ANN). Furthermore, fuzzy theory and genetic algorithms were used. Because of this change, many of bankruptcy models are developed. Also, performance has been improved. In general, the company's financial and accounting information will change over time. Likewise, the market situation also changes, so there are many difficulties in predicting bankruptcy only with information at a certain point in time. However, even though traditional research has problems that don't take into account the time effect, dynamic model has not been studied much. When we ignore the time effect, we get the biased results. So the static model may not be suitable for predicting bankruptcy. Thus, using the dynamic model, there is a possibility that bankruptcy prediction model is improved. In this paper, we propose RNN (Recurrent Neural Network) which is one of the deep learning methodologies. The RNN learns time series data and the performance is known to be good. Prior to experiment, we selected non-financial firms listed on the KOSPI, KOSDAQ and KONEX markets from 2010 to 2016 for the estimation of the bankruptcy prediction model and the comparison of forecasting performance. In order to prevent a mistake of predicting bankruptcy by using the financial information already reflected in the deterioration of the financial condition of the company, the financial information was collected with a lag of two years, and the default period was defined from January to December of the year. Then we defined the bankruptcy. The bankruptcy we defined is the abolition of the listing due to sluggish earnings. We confirmed abolition of the list at KIND that is corporate stock information website. Then we selected variables at previous papers. The first set of variables are Z-score variables. These variables have become traditional variables in predicting bankruptcy. The second set of variables are dynamic variable set. Finally we selected 240 normal companies and 226 bankrupt companies at the first variable set. Likewise, we selected 229 normal companies and 226 bankrupt companies at the second variable set. We created a model that reflects dynamic changes in time-series financial data and by comparing the suggested model with the analysis of existing bankruptcy predictive models, we found that the suggested model could help to improve the accuracy of bankruptcy predictions. We used financial data in KIS Value (Financial database) and selected Multivariate Discriminant Analysis (MDA), Generalized Linear Model called logistic regression (GLM), Support Vector Machine (SVM), Artificial Neural Network (ANN) model as benchmark. The result of the experiment proved that RNN's performance was better than comparative model. The accuracy of RNN was high in both sets of variables and the Area Under the Curve (AUC) value was also high. Also when we saw the hit-ratio table, the ratio of RNNs that predicted a poor company to be bankrupt was higher than that of other comparative models. However the limitation of this paper is that an overfitting problem occurs during RNN learning. But we expect to be able to solve the overfitting problem by selecting more learning data and appropriate variables. From these result, it is expected that this research will contribute to the development of a bankruptcy prediction by proposing a new dynamic model.

• Journal of Intelligence and Information Systems
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• v.23 no.2
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• pp.107-122
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• 2017

Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

• The Korean Journal of Applied Statistics
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• v.30 no.6
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• pp.809-825
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• 2017

The number of TV entertainment shows is increasing. Competition among programs in the entertainment market is intensifying since cable channels air many entertainment TV shows. There is now a need for research on program ratings and the number of episodes. This study presents predictive models for entertainment TV show ratings and number of episodes. We use various data mining techniques such as linear regression, logistic regression, LASSO, random forests, gradient boosting, and support vector machine. The analysis results show that the average program ratings before the first broadcast is affected by broadcasting company, average ratings of the previous season, starting year and number of articles. The average program ratings after the first broadcast is influenced by the rating of the first broadcast, broadcasting company and program type. We also found that the predicted average ratings, starting year, type and broadcasting company are important variables in predicting of the number of episodes.

• Journal of the Korea Society of Computer and Information
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• v.21 no.6
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• pp.9-19
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• 2016

In finance literature, stock liquidity showing how stocks can be cashed out in the market has received rich attentions from both academicians and practitioners. The reasons are plenty. First, it is known that stock liquidity affects significantly asset pricing. Second, macroeconomic announcements influence liquidity in the stock market. Therefore, stock liquidity itself affects investors' decision and managers' decision as well. Though there exist a great deal of literature about stock liquidity in finance literature, it is quite clear that there are no studies attempting to investigate the stock liquidity issue as one of decision making problems. In finance literature, most of stock liquidity studies had dealt with limited views such as how much it influences stock price, which variables are associated with describing the stock liquidity significantly, etc. However, this paper posits that stock liquidity issue may become a serious decision-making problem, and then be handled by using data mining techniques to estimate its future extent with statistical validity. In this sense, we collected financial data set from a number of manufacturing companies listed in KRX (Korea Exchange) during the period of 2010 to 2013. The reason why we selected dataset from 2010 was to avoid the after-shocks of financial crisis that occurred in 2008. We used Fn-GuidPro system to gather total 5,700 financial data set. Stock liquidity measure was computed by the procedures proposed by Amihud (2002) which is known to show best metrics for showing relationship with daily return. We applied five data mining techniques (or classifiers) such as Bayesian network, support vector machine (SVM), decision tree, neural network, and ensemble method. Bayesian networks include GBN (General Bayesian Network), NBN (Naive BN), TAN (Tree Augmented NBN). Decision tree uses CART and C4.5. Regression result was used as a benchmarking performance. Ensemble method uses two types-integration of two classifiers, and three classifiers. Ensemble method is based on voting for the sake of integrating classifiers. Among the single classifiers, CART showed best performance with 48.2%, compared with 37.18% by regression. Among the ensemble methods, the result from integrating TAN, CART, and SVM was best with 49.25%. Through the additional analysis in individual industries, those relatively stabilized industries like electronic appliances, wholesale & retailing, woods, leather-bags-shoes showed better performance over 50%.

• Journal of Intelligence and Information Systems
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• v.25 no.1
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• pp.127-137
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• 2019

Recidivism prediction has been a subject of constant research by experts since the early 1970s. But it has become more important as committed crimes by recidivist steadily increase. Especially, in the 1990s, after the US and Canada adopted the 'Recidivism Risk Assessment Report' as a decisive criterion during trial and parole screening, research on recidivism prediction became more active. And in the same period, empirical studies on 'Recidivism Factors' were started even at Korea. Even though most recidivism prediction studies have so far focused on factors of recidivism or the accuracy of recidivism prediction, it is important to minimize the prediction misclassification cost, because recidivism prediction has an asymmetric error cost structure. In general, the cost of misrecognizing people who do not cause recidivism to cause recidivism is lower than the cost of incorrectly classifying people who would cause recidivism. Because the former increases only the additional monitoring costs, while the latter increases the amount of social, and economic costs. Therefore, in this paper, we propose an XGBoost(eXtream Gradient Boosting; XGB) based recidivism prediction model considering asymmetric error cost. In the first step of the model, XGB, being recognized as high performance ensemble method in the field of data mining, was applied. And the results of XGB were compared with various prediction models such as LOGIT(logistic regression analysis), DT(decision trees), ANN(artificial neural networks), and SVM(support vector machines). In the next step, the threshold is optimized to minimize the total misclassification cost, which is the weighted average of FNE(False Negative Error) and FPE(False Positive Error). To verify the usefulness of the model, the model was applied to a real recidivism prediction dataset. As a result, it was confirmed that the XGB model not only showed better prediction accuracy than other prediction models but also reduced the cost of misclassification most effectively.

• Journal of Intelligence and Information Systems
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• v.27 no.1
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• pp.103-128
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• 2021

Recently, investors' interest and the influence of stock-related information dissemination are being considered as significant factors that explain stock returns and volume. Besides, companies that develop, distribute, or utilize innovative new technologies such as artificial intelligence have a problem that it is difficult to accurately predict a company's future stock returns and volatility due to macro-environment and market uncertainty. Market uncertainty is recognized as an obstacle to the activation and spread of artificial intelligence technology, so research is needed to mitigate this. Hence, the purpose of this study is to propose a machine learning model that predicts the volatility of a company's stock price by using the internet search volume of artificial intelligence-related technology keywords as a measure of the interest of investors. To this end, for predicting the stock market, we using the VAR(Vector Auto Regression) and deep neural network LSTM (Long Short-Term Memory). And the stock price prediction performance using keyword search volume is compared according to the technology's social acceptance stage. In addition, we also conduct the analysis of sub-technology of artificial intelligence technology to examine the change in the search volume of detailed technology keywords according to the technology acceptance stage and the effect of interest in specific technology on the stock market forecast. To this end, in this study, the words artificial intelligence, deep learning, machine learning were selected as keywords. Next, we investigated how many keywords each week appeared in online documents for five years from January 1, 2015, to December 31, 2019. The stock price and transaction volume data of KOSDAQ listed companies were also collected and used for analysis. As a result, we found that the keyword search volume for artificial intelligence technology increased as the social acceptance of artificial intelligence technology increased. In particular, starting from AlphaGo Shock, the keyword search volume for artificial intelligence itself and detailed technologies such as machine learning and deep learning appeared to increase. Also, the keyword search volume for artificial intelligence technology increases as the social acceptance stage progresses. It showed high accuracy, and it was confirmed that the acceptance stages showing the best prediction performance were different for each keyword. As a result of stock price prediction based on keyword search volume for each social acceptance stage of artificial intelligence technologies classified in this study, the awareness stage's prediction accuracy was found to be the highest. The prediction accuracy was different according to the keywords used in the stock price prediction model for each social acceptance stage. Therefore, when constructing a stock price prediction model using technology keywords, it is necessary to consider social acceptance of the technology and sub-technology classification. The results of this study provide the following implications. First, to predict the return on investment for companies based on innovative technology, it is most important to capture the recognition stage in which public interest rapidly increases in social acceptance of the technology. Second, the change in keyword search volume and the accuracy of the prediction model varies according to the social acceptance of technology should be considered in developing a Decision Support System for investment such as the big data-based Robo-advisor recently introduced by the financial sector.

• Journal of Intelligence and Information Systems
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• v.23 no.4
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• pp.147-168
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• 2017

There have been many studies on accurate stock market forecasting in academia for a long time, and now there are also various forecasting models using various techniques. Recently, many attempts have been made to predict the stock index using various machine learning methods including Deep Learning. Although the fundamental analysis and the technical analysis method are used for the analysis of the traditional stock investment transaction, the technical analysis method is more useful for the application of the short-term transaction prediction or statistical and mathematical techniques. Most of the studies that have been conducted using these technical indicators have studied the model of predicting stock prices by binary classification - rising or falling - of stock market fluctuations in the future market (usually next trading day). However, it is also true that this binary classification has many unfavorable aspects in predicting trends, identifying trading signals, or signaling portfolio rebalancing. In this study, we try to predict the stock index by expanding the stock index trend (upward trend, boxed, downward trend) to the multiple classification system in the existing binary index method. In order to solve this multi-classification problem, a technique such as Multinomial Logistic Regression Analysis (MLOGIT), Multiple Discriminant Analysis (MDA) or Artificial Neural Networks (ANN) we propose an optimization model using Genetic Algorithm as a wrapper for improving the performance of this model using Multi-classification Support Vector Machines (MSVM), which has proved to be superior in prediction performance. In particular, the proposed model named GA-MSVM is designed to maximize model performance by optimizing not only the kernel function parameters of MSVM, but also the optimal selection of input variables (feature selection) as well as instance selection. In order to verify the performance of the proposed model, we applied the proposed method to the real data. The results show that the proposed method is more effective than the conventional multivariate SVM, which has been known to show the best prediction performance up to now, as well as existing artificial intelligence / data mining techniques such as MDA, MLOGIT, CBR, and it is confirmed that the prediction performance is better than this. Especially, it has been confirmed that the 'instance selection' plays a very important role in predicting the stock index trend, and it is confirmed that the improvement effect of the model is more important than other factors. To verify the usefulness of GA-MSVM, we applied it to Korea's real KOSPI200 stock index trend forecast. Our research is primarily aimed at predicting trend segments to capture signal acquisition or short-term trend transition points. The experimental data set includes technical indicators such as the price and volatility index (2004 ~ 2017) and macroeconomic data (interest rate, exchange rate, S&P 500, etc.) of KOSPI200 stock index in Korea. Using a variety of statistical methods including one-way ANOVA and stepwise MDA, 15 indicators were selected as candidate independent variables. The dependent variable, trend classification, was classified into three states: 1 (upward trend), 0 (boxed), and -1 (downward trend). 70% of the total data for each class was used for training and the remaining 30% was used for verifying. To verify the performance of the proposed model, several comparative model experiments such as MDA, MLOGIT, CBR, ANN and MSVM were conducted. MSVM has adopted the One-Against-One (OAO) approach, which is known as the most accurate approach among the various MSVM approaches. Although there are some limitations, the final experimental results demonstrate that the proposed model, GA-MSVM, performs at a significantly higher level than all comparative models.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.11 no.4
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• pp.1419-1429
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• 2010

Industry structure and environment of the domestic bank have been changed by an influx of large foreign-banks and advanced financial products when the currency crisis erupted in Korea. In a competitive environment, accurate forecasts of changes and tendencies are essential for the survival and development. Forecast of whether to approve loan applications for customer or not is an important matter because that is related to profit generation and risk management on the bank. Therefore, this paper proposes the method to improve forecast accuracy of loan underwriting. Processes in experiments are as follows. First, we select the predictor variables which affect significantly to the result of loan underwriting by correlation analysis and feature selection technique, and then cluster the customers by the 2-Step clustering technique based on selected variables. Second, we find the most accurate forecasting model for each clustering by applying LR, NN and SVM. Finally, we compare the forecasting accuracy of the proposed method with the forecasting accuracy of existing application way.

• Journal of the Korea Convergence Society
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• v.9 no.5
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• pp.33-41
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• 2018

The purpose of this study is to develop more accurate and robust emotion prediction neural network (EPNN) model by combining heart rate variability (HRV) and neural network. For the sake of improving the prediction performance more reliably, the proposed EPNN model is based on various types of activation functions like hyperbolic tangent, linear, and Gaussian functions, all of which are embedded in hidden nodes to improve its performance. In order to verify the validity of the proposed EPNN model, a number of HRV metrics were calculated from 20 valid and qualified participants whose emotions were induced by using money game. To add more rigor to the experiment, the participants' valence and arousal were checked and used as output node of the EPNN. The experiment results reveal that the F-Measure for Valence and Arousal is 80% and 95%, respectively, proving that the EPNN yields very robust and well-balanced performance. The EPNN performance was compared with competing models like neural network, logistic regression, support vector machine, and random forest. The EPNN was more accurate and reliable than those of the competing models. The results of this study can be effectively applied to many types of wearable computing devices when ubiquitous digital health environment becomes feasible and permeating into our everyday lives.

• Proceedings of the Korea Water Resources Association Conference
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• 2021.06a
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• pp.116-116
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• 2021

자연 하천에서의 부유사 농도 계측은 주로 재래식 채집방식을 활용한 직접계측 방식에 의존하여 비용과 시간이 많이 소요되며 점 계측 방식으로 고해상도의 시공간 자료를 측정하기엔 한계가 존재한다. 이러한 한계점을 극복하기 위해 최근 위성영상과 드론을 활용하여 촬영된 다분광 혹은 초분광 영상을 통해 고해상도의 부유사 농도 시공간분포를 측정하는 기법에 대한 연구가 활발히 진행되고 있다. 하지만, 다른 하천 물리량 계측에 비해 부유사 계측 연구는 하천에 따라 부유사가 비균질적으로 분포하여 원격탐사를 통해 정확하고 전역적인 농도 분포를 재현하기는 어려운 실정이다. 이러한 부유사의 비균질성은 부유사의 입도분포, 광물특성, 침강성 등이 하천에서 다양하게 분포하기 때문이며 이로 인해 부유사는 지역별로 다양한 분광특성을 가지게 된다. 따라서, 본 연구에서는 이러한 영향을 고려한 전역적인 부유사 농도 예측 모형을 개발하기 위해 실내 실험을 통해 부유사 특성별 고유 분광 라이브러리를 구축하고 실규모 수로에서 다양한 부유사 조건에 대한 초분광 스펙트럼과 부유사 농도를 측정하는 실험을 수행하였다. 실제 부유사 농도는 광학 기반 센서인 LISST-200X와 샘플링을 통한 실험실 분석을 통해 계측되었으며, 초분광 스펙트럼 자료는 초분광 카메라를 통해 촬영한 영상에서 부유사 계측 지점에 대한 픽셀의 스펙트럼을 추출하여 구축하였다. 이렇게 생성된 자료들의 분광 다양성을 주성분 분석(Principle Component Analysis; PCA)를 통해 분석하였으며, 부유사의 입도 분포, 부유사 종류, 수온 등과의 상관관계를 통해 분광 특성과 가장 상관관계가 높은 물리적 인자를 규명하였다. 더불어 구축된 자료를 바탕으로 기계학습 기반 주요 특징 선택 알고리즘인 재귀적 특징 제거법 (Recursive Feature Elimination)과 기계학습기반 회귀 모형인 Support Vector Regression을 결합하여 초분광 영상 기반 부유사 농도 예측 모형을 개발하였으며, 이 결과를 원격탐사 계측 연구에서 일반적으로 사용되어 오던 최적 밴드비 분석 (Optimal Band Ratio Analysis; OBRA) 방법으로 도출된 회귀식과 비교하였다. 그 결과, 기존의 OBRA 기반 방법은 비선형성을 증가시켜도 좁은 영역의 파장대만을 고려하는 한계점으로 인해 부유사의 다양한 분광 특성을 반영하지 못하였으며, 본 연구에서 제시한 기계학습 기반 예측 모형은 420 nm~1000 nm에 걸쳐 폭 넓은 파장대를 고려함과 동시에 높은 정확도를 산출하였다. 최종적으로 개발된 모형을 적용해 다양한 유사 조건에 대한 부유사 시공간 분포를 매핑한 결과, 시공간적으로 고해상도의 부유사 농도 분포를 산출하는 것으로 밝혀졌다.