• Journal of Intelligence and Information Systems
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• v.22 no.4
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• pp.177-192
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• 2016

Machine learning is a field of artificial intelligence. It refers to an area of computer science related to providing machines the ability to perform their own data analysis, decision making and forecasting. For example, one of the representative machine learning models is artificial neural network, which is a statistical learning algorithm inspired by the neural network structure of biology. In addition, there are other machine learning models such as decision tree model, naive bayes model and SVM(support vector machine) model. Among the machine learning models, we use SVM model in this study because it is mainly used for classification and regression analysis that fits well to our study. The core principle of SVM is to find a reasonable hyperplane that distinguishes different group in the data space. Given information about the data in any two groups, the SVM model judges to which group the new data belongs based on the hyperplane obtained from the given data set. Thus, the more the amount of meaningful data, the better the machine learning ability. In recent years, many financial experts have focused on machine learning, seeing the possibility of combining with machine learning and the financial field where vast amounts of financial data exist. Machine learning techniques have been proved to be powerful in describing the non-stationary and chaotic stock price dynamics. A lot of researches have been successfully conducted on forecasting of stock prices using machine learning algorithms. Recently, financial companies have begun to provide Robo-Advisor service, a compound word of Robot and Advisor, which can perform various financial tasks through advanced algorithms using rapidly changing huge amount of data. Robo-Adviser's main task is to advise the investors about the investor's personal investment propensity and to provide the service to manage the portfolio automatically. In this study, we propose a method of forecasting the Korean volatility index, VKOSPI, using the SVM model, which is one of the machine learning methods, and applying it to real option trading to increase the trading performance. VKOSPI is a measure of the future volatility of the KOSPI 200 index based on KOSPI 200 index option prices. VKOSPI is similar to the VIX index, which is based on S&P 500 option price in the United States. The Korea Exchange(KRX) calculates and announce the real-time VKOSPI index. VKOSPI is the same as the usual volatility and affects the option prices. The direction of VKOSPI and option prices show positive relation regardless of the option type (call and put options with various striking prices). If the volatility increases, all of the call and put option premium increases because the probability of the option's exercise possibility increases. The investor can know the rising value of the option price with respect to the volatility rising value in real time through Vega, a Black-Scholes's measurement index of an option's sensitivity to changes in the volatility. Therefore, accurate forecasting of VKOSPI movements is one of the important factors that can generate profit in option trading. In this study, we verified through real option data that the accurate forecast of VKOSPI is able to make a big profit in real option trading. To the best of our knowledge, there have been no studies on the idea of predicting the direction of VKOSPI based on machine learning and introducing the idea of applying it to actual option trading. In this study predicted daily VKOSPI changes through SVM model and then made intraday option strangle position, which gives profit as option prices reduce, only when VKOSPI is expected to decline during daytime. We analyzed the results and tested whether it is applicable to real option trading based on SVM's prediction. The results showed the prediction accuracy of VKOSPI was 57.83% on average, and the number of position entry times was 43.2 times, which is less than half of the benchmark (100 times). A small number of trading is an indicator of trading efficiency. In addition, the experiment proved that the trading performance was significantly higher than the benchmark.

• Journal of Bio-Environment Control
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• v.32 no.3
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• pp.190-196
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• 2023

This study was carried out to collect gas emitted from agricultural heaters using kerosene and to identify the emission concentration of carbon dioxide according to the age of agricultural heating machine. As a result of the linear regression analysis, the carbon dioxide emissions according to the year of agricultural heating machine are R² = 0.84, which follows y = 26.99x+721.98. Distributed analysis was classified into three groups according to the age of agricultural heating machine. As a result of the distributed analysis, it was 2.196×10^-13, which was smaller than the 0.05 probability set for the analysis, which means that there is a difference in at least one group. As a result, the age of the agriculture machine was divided into three groups and the difference between groups was tested. A statistical analysis result was derived that there was a difference in the emission concentration of carbon dioxide according to the age of agricultural heating machine. It is thought that it can be used to investigate greenhouse gas emissions by investigating the amount of carbon dioxide generated by agricultural heaters in the agricultural field of Korea.

• 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.

• Journal of Intelligence and Information Systems
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• v.27 no.1
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• pp.23-46
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• 2021

Collaborative filtering, which is often used in personalization recommendations, is recognized as a very useful technique to find similar customers and recommend products to them based on their purchase history. However, the traditional collaborative filtering technique has raised the question of having difficulty calculating the similarity for new customers or products due to the method of calculating similaritiesbased on direct connections and common features among customers. For this reason, a hybrid technique was designed to use content-based filtering techniques together. On the one hand, efforts have been made to solve these problems by applying the structural characteristics of social networks. This applies a method of indirectly calculating similarities through their similar customers placed between them. This means creating a customer's network based on purchasing data and calculating the similarity between the two based on the features of the network that indirectly connects the two customers within this network. Such similarity can be used as a measure to predict whether the target customer accepts recommendations. The centrality metrics of networks can be utilized for the calculation of these similarities. Different centrality metrics have important implications in that they may have different effects on recommended performance. In this study, furthermore, the effect of these centrality metrics on the performance of recommendation may vary depending on recommender algorithms. In addition, recommendation techniques using network analysis can be expected to contribute to increasing recommendation performance even if they apply not only to new customers or products but also to entire customers or products. By considering a customer's purchase of an item as a link generated between the customer and the item on the network, the prediction of user acceptance of recommendation is solved as a prediction of whether a new link will be created between them. As the classification models fit the purpose of solving the binary problem of whether the link is engaged or not, decision tree, k-nearest neighbors (KNN), logistic regression, artificial neural network, and support vector machine (SVM) are selected in the research. The data for performance evaluation used order data collected from an online shopping mall over four years and two months. Among them, the previous three years and eight months constitute social networks composed of and the experiment was conducted by organizing the data collected into the social network. The next four months' records were used to train and evaluate recommender models. Experiments with the centrality metrics applied to each model show that the recommendation acceptance rates of the centrality metrics are different for each algorithm at a meaningful level. In this work, we analyzed only four commonly used centrality metrics: degree centrality, betweenness centrality, closeness centrality, and eigenvector centrality. Eigenvector centrality records the lowest performance in all models except support vector machines. Closeness centrality and betweenness centrality show similar performance across all models. Degree centrality ranking moderate across overall models while betweenness centrality always ranking higher than degree centrality. Finally, closeness centrality is characterized by distinct differences in performance according to the model. It ranks first in logistic regression, artificial neural network, and decision tree withnumerically high performance. However, it only records very low rankings in support vector machine and K-neighborhood with low-performance levels. As the experiment results reveal, in a classification model, network centrality metrics over a subnetwork that connects the two nodes can effectively predict the connectivity between two nodes in a social network. Furthermore, each metric has a different performance depending on the classification model type. This result implies that choosing appropriate metrics for each algorithm can lead to achieving higher recommendation performance. In general, betweenness centrality can guarantee a high level of performance in any model. It would be possible to consider the introduction of proximity centrality to obtain higher performance for certain models.

• Analytical Science and Technology
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• v.28 no.3
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• pp.187-195
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• 2015

The heat of sublimation (HOS) is an essential parameter used to resolve environmental problems in the transfer of organic contaminants to the atmosphere and to assess the risk of toxic chemicals. The experimental measurement of the heat of sublimation is time-consuming, expensive, and complicated. In this study, quantitative structural property relationships (QSPR) were used to develop a simple and predictive model for measuring the heat of sublimation of organic compounds. The population-based forward selection method was applied to select an informative subset of descriptors of learning algorithms, such as by using multiple linear regression (MLR) and the support vector machine (SVM) method. Each individual model and consensus model was evaluated by internal validation using the bootstrap method and y-randomization. The predictions of the performance of the external test set were improved by considering their applicability to the domain. Based on the results of the MLR model, we showed that the heat of sublimation was related to dispersion, H-bond, electrostatic forces, and the dipole-dipole interaction between inter-molecules.

• Journal of Acupuncture Research
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• v.28 no.3
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• pp.85-100
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• 2011

Objectives : The purpose of this thesis is to help the preparation of oriental medicine clinical guidelines for drawing up the standards of oriental medicine demonstration and diagnosis classification about the neck pain. Methods : Statistical analysis about Gyeonghangtong(頸項痛), Nakchim(落枕), Sagyeong(斜頸), Hanggang (項强) classified experts' opinions about neck pain patients by Delphi method is conducted by using oriental medicine diagnosis questionnaire. The result was classified by using linear discriminant analysis (LDA), diagonal linear discriminant analysis (DLDA), diagonal quadratic discriminant analysis (DQDA), K-nearest neighbor classification (KNN), classification and regression trees (CART), support vector machines (SVM). Results : The results are summarized as follows. 1. The result analyzed by using LDA has a hit rate of 84.47% in comparison with the original diagnosis. 2. High hit rate was shown when the test for three categories such as Gyeonghangtong and Hanggang category, Sagyeong caterogy and Nakchim caterogy was conducted. 3. The result analyzed by using DLDA has a hit rate of 58.25% in comparison with the original diagnosis. The result analyzed by using DQDA has a accuracy of 57.28% in comparison with the original diagnosis. 4. The result analyzed by using KNN has a hit rate of 69.90% in comparison with the original diagnosis. 5. The result analyzed by using CART has a hit rate of 69.60% in comparison with the original diagnosis. There was a hit rate of 70.87% When the test of selected 8 significant questions based on analysis of variance was performed. 6. The result analyzed by using SVM has a hit rate of 80.58% in comparison with the original diagnosis. Conclusions : Statistical analysis using oriental medicine diagnosis questionnaire on neck pain generally turned out to have a significant result.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.30 no.3C
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• pp.125-132
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• 2005

This paper describes a computer vision system based on active IR illumination for real-time gaze discrimination system. Unlike most of the existing gaze discrimination techniques, which often require assuming a static head to work well and require a cumbersome calibration process for each person, our gaze discrimination system can perform robust and accurate gaze estimation without calibration and under rather significant head movement. This is made possible by a new gaze calibration procedure that identifies the mapping from pupil parameters to screen coordinates using generalized regression neural networks (GRNNs). With GRNNs, the mapping does not have to be an analytical function and head movement is explicitly accounted for by the gaze mapping function. Futhermore, the mapping function can generalize to other individuals not used in the training. To further improve the gaze estimation accuracy, we employ a reclassification scheme that deals with the classes that tend to be misclassified. This leads to a 10% improvement in classification error. The angular gaze accuracy is about 5°horizontally and 8°vertically. The effectiveness of our gaze tracker is demonstrated by experiments that involve gaze-contingent interactive graphic display.

• The Journal of Korea Institute of Information, Electronics, and Communication Technology
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• v.3 no.1
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• pp.38-46
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• 2010

This paper describes a computer vision system based on active IR illumination for real-time gaze discrimination system. Unlike most of the existing gaze discrimination techniques, which often require assuming a static head to work well and require a cumbersome calibration process for each person, our gaze discrimination system can perform robust and accurate gaze estimation without calibration and under rather significant head movement. This is made possible by a new gaze calibration procedure that identifies the mapping from pupil parameters to screen coordinates using generalized regression neural networks (GRNNs). With GRNNs, the mapping does not have to be an analytical function and head movement is explicitly accounted for by the gaze mapping function. Furthermore, the mapping function can generalize to other individuals not used in the training. To further improve the gaze estimation accuracy, we employ a reclassification scheme that deals with the classes that tend to be misclassified. This leads to a 10% improvement in classification error. The angular gaze accuracy is about $5^{\circ}$horizontally and $8^{\circ}$vertically. The effectiveness of our gaze tracker is demonstrated by experiments that involve gaze-contingent interactive graphic display.

• The Journal of the Korea Contents Association
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• v.16 no.11
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• pp.488-498
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• 2016

Much of the information is stored as data, research has been activated for analyzing the data and predicting the special circumstances. In the case of power data, the studies, such as research of renewable energy utilization, power prediction depending on site characteristics, smart grid, and micro-grid, is actively in progress. In this paper, we propose a power prediction model using the substation environment data. In this case, we try to verify the power prediction result to reflect the multiple arguments on the power and weather data, rather than a simple power data. The validation process is the effect of multiple factors compared to other two methods, one of power prediction result considering power data and the other result using power pattern data that have been made in the similar weather data. Our system shows that it can achieve max prediction error of less than 15%.

• KIPS Transactions on Software and Data Engineering
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• v.5 no.8
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• pp.393-400
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• 2016

Recently, there have been various researches on efficient and automatic analysis on urban environment methods that utilize the computer vision and machine learning technology. Among many new analyses, urban safety analysis has received a major attention. In order to predict more accurately on safety score and reflect the human visual perception, it is necessary to consider the generic and local information that are most important to human perception. In this paper, we use Double-column Convolutional Neural network consisting of generic and local columns for the prediction of urban safety. The input of generic and local column used re-sized and random cropped images from original images, respectively. In addition, a new learning method is proposed to solve the problem of over-fitting in a particular column in the learning process. For the performance comparison of our Double-column Convolutional Neural Network, we compare two Support Vector Regression and three Convolutional Neural Network models using Root Mean Square Error and correlation analysis. Our experimental results demonstrate that our Double-column Convolutional Neural Network model show the best performance with Root Mean Square Error of 0.7432 and Pearson/Spearman correlation coefficient of 0.853/0.840.