• Journal of Intelligence and Information Systems
• /
• v.26 no.4
• /
• pp.173-198
• /
• 2020

For a long time, many studies have been conducted on predicting the success of campaigns for customers in academia, and prediction models applying various techniques are still being studied. Recently, as campaign channels have been expanded in various ways due to the rapid revitalization of online, various types of campaigns are being carried out by companies at a level that cannot be compared to the past. However, customers tend to perceive it as spam as the fatigue of campaigns due to duplicate exposure increases. Also, from a corporate standpoint, there is a problem that the effectiveness of the campaign itself is decreasing, such as increasing the cost of investing in the campaign, which leads to the low actual campaign success rate. Accordingly, various studies are ongoing to improve the effectiveness of the campaign in practice. This campaign system has the ultimate purpose to increase the success rate of various campaigns by collecting and analyzing various data related to customers and using them for campaigns. In particular, recent attempts to make various predictions related to the response of campaigns using machine learning have been made. It is very important to select appropriate features due to the various features of campaign data. If all of the input data are used in the process of classifying a large amount of data, it takes a lot of learning time as the classification class expands, so the minimum input data set must be extracted and used from the entire data. In addition, when a trained model is generated by using too many features, prediction accuracy may be degraded due to overfitting or correlation between features. Therefore, in order to improve accuracy, a feature selection technique that removes features close to noise should be applied, and feature selection is a necessary process in order to analyze a high-dimensional data set. Among the greedy algorithms, SFS (Sequential Forward Selection), SBS (Sequential Backward Selection), SFFS (Sequential Floating Forward Selection), etc. are widely used as traditional feature selection techniques. It is also true that if there are many risks and many features, there is a limitation in that the performance for classification prediction is poor and it takes a lot of learning time. Therefore, in this study, we propose an improved feature selection algorithm to enhance the effectiveness of the existing campaign. The purpose of this study is to improve the existing SFFS sequential method in the process of searching for feature subsets that are the basis for improving machine learning model performance using statistical characteristics of the data to be processed in the campaign system. Through this, features that have a lot of influence on performance are first derived, features that have a negative effect are removed, and then the sequential method is applied to increase the efficiency for search performance and to apply an improved algorithm to enable generalized prediction. Through this, it was confirmed that the proposed model showed better search and prediction performance than the traditional greed algorithm. Compared with the original data set, greed algorithm, genetic algorithm (GA), and recursive feature elimination (RFE), the campaign success prediction was higher. In addition, when performing campaign success prediction, the improved feature selection algorithm was found to be helpful in analyzing and interpreting the prediction results by providing the importance of the derived features. This is important features such as age, customer rating, and sales, which were previously known statistically. Unlike the previous campaign planners, features such as the combined product name, average 3-month data consumption rate, and the last 3-month wireless data usage were unexpectedly selected as important features for the campaign response, which they rarely used to select campaign targets. It was confirmed that base attributes can also be very important features depending on the type of campaign. Through this, it is possible to analyze and understand the important characteristics of each campaign type.

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