The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Discovering contemporaneous and temporal dependence structure of Korean stock market using a dynamic Gaussian Bayesian network

동적 베이지안 네트워크 모형을 이용한 한국 주식시장의 동시적 및 시간적 연관관계 연구

  • So-Yeon Park (Department of Statistics, Ewha Womans University) ;
  • Rosy Oh (Department of Mathematics, Korea Military Academy) ;
  • Man-Suk Oh (Department of Statistics, Ewha Womans University)
  • 박소연 (이화여자대학교 통계학과) ;
  • 오로지 (육군사관학교 수학과) ;
  • 오만숙 (이화여자대학교 통계학과)
  • Received : 2024.02.29
  • Accepted : 2024.04.15
  • Published : 2024.12.31
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Abstract

This study investigates the dependence structure among the factors of Korean stock market using a dynamic Gaussian Bayesian network (DGBN). DGBN is an extension of static Gaussian Bayesian network to account for not only contemporaneous dependence but also temporal dependence that may present in the data obverved over time. The DGBN structure learned from data observed from 2015 to 2022 showed how domestic and global factors of Korean stock market interact each other in one calendar day. It also showed how the factors in previous day affect the present day factors. These results would provide important insights to the effects of domestic and global factors on Korean stock market.

이 연구는 동적 가우시안 베이지안 네트워크(dynamic Gaussian Bayesian network; DGBN) 모형을 이용하여 한국 주식시장에 영향을 미치는 요인들 간의 동시적, 시간적 연관 구조를 탐색한다. DGBN은 기존의 베이지안 네트워크를 확장하여 시계열 자료에서 동일시점 뿐만 아니라 시간에 따른 연관성을 그래프로 보여주는 머신러닝 기법의 일종이다. 2015년부터 2022년까지의 기간동안 관측된 한국 주식시장 관련 국내외 요인들의 관측값을 사용하여 학습된 DGBN을 통하여 동일한 주식 개장일에 어떻게 국내외 요인들이 서로 상호작용 하는지 알 수 있었다. 또한, 한국 주식시장에서 주식 개장일 기준 하루 전 요인 관측값이 현재 일자 자신을 포함한 전체 요인에게 어떻게 영향을 주는지 보여주었다. 이같은 결과는 국내외 경제적 요인들이 한국 주식시장에 미치는 영향을 이해하는데 중요한 인사이트를 제공하며, 이는 개인 투자자의 투자 결정과 향후 금융 시장 및 경제 정책 수립에 유용한 정보를 제공할 것으로 예상된다.

Keywords

Acknowledgement

이 논문은 정부의 재원으로 한국연구재단의 지원을 받아 수행된 기초연구사업임 (NRF-2022R1AC1091256).

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