• KIPS Transactions on Software and Data Engineering
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• v.12 no.2
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• pp.59-76
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• 2023

Since the COVID-19 era, the rise in apartment prices has been unconventional. In this uncertain real estate market, price prediction research is very important. In this paper, a model is created to predict the actual transaction price of future apartments after building a vast data set of 870,000 from 2015 to 2020 through data collection and crawling on various real estate sites and collecting as many variables as possible. This study first solved the multicollinearity problem by removing and combining variables. After that, a total of five variable selection algorithms were used to extract meaningful independent variables, such as Forward Selection, Backward Elimination, Stepwise Selection, L1 Regulation, and Principal Component Analysis(PCA). In addition, a total of four machine learning and deep learning algorithms were used for deep neural network(DNN), XGBoost, CatBoost, and Linear Regression to learn the model after hyperparameter optimization and compare predictive power between models. In the additional experiment, the experiment was conducted while changing the number of nodes and layers of the DNN to find the most appropriate number of nodes and layers. In conclusion, as a model with the best performance, the actual transaction price of apartments in 2021 was predicted and compared with the actual data in 2021. Through this, I am confident that machine learning and deep learning will help investors make the right decisions when purchasing homes in various economic situations.

• Journal of Intelligence and Information Systems
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• v.26 no.1
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• pp.135-149
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• 2020

Artificial intelligences are changing world. Financial market is also not an exception. Robo-Advisor is actively being developed, making up the weakness of traditional asset allocation methods and replacing the parts that are difficult for the traditional methods. It makes automated investment decisions with artificial intelligence algorithms and is used with various asset allocation models such as mean-variance model, Black-Litterman model and risk parity model. Risk parity model is a typical risk-based asset allocation model which is focused on the volatility of assets. It avoids investment risk structurally. So it has stability in the management of large size fund and it has been widely used in financial field. XGBoost model is a parallel tree-boosting method. It is an optimized gradient boosting model designed to be highly efficient and flexible. It not only makes billions of examples in limited memory environments but is also very fast to learn compared to traditional boosting methods. It is frequently used in various fields of data analysis and has a lot of advantages. So in this study, we propose a new asset allocation model that combines risk parity model and XGBoost machine learning model. This model uses XGBoost to predict the risk of assets and applies the predictive risk to the process of covariance estimation. There are estimated errors between the estimation period and the actual investment period because the optimized asset allocation model estimates the proportion of investments based on historical data. these estimated errors adversely affect the optimized portfolio performance. This study aims to improve the stability and portfolio performance of the model by predicting the volatility of the next investment period and reducing estimated errors of optimized asset allocation model. As a result, it narrows the gap between theory and practice and proposes a more advanced asset allocation model. In this study, we used the Korean stock market price data for a total of 17 years from 2003 to 2019 for the empirical test of the suggested model. The data sets are specifically composed of energy, finance, IT, industrial, material, telecommunication, utility, consumer, health care and staple sectors. We accumulated the value of prediction using moving-window method by 1,000 in-sample and 20 out-of-sample, so we produced a total of 154 rebalancing back-testing results. We analyzed portfolio performance in terms of cumulative rate of return and got a lot of sample data because of long period results. Comparing with traditional risk parity model, this experiment recorded improvements in both cumulative yield and reduction of estimated errors. The total cumulative return is 45.748%, about 5% higher than that of risk parity model and also the estimated errors are reduced in 9 out of 10 industry sectors. The reduction of estimated errors increases stability of the model and makes it easy to apply in practical investment. The results of the experiment showed improvement of portfolio performance by reducing the estimated errors of the optimized asset allocation model. Many financial models and asset allocation models are limited in practical investment because of the most fundamental question of whether the past characteristics of assets will continue into the future in the changing financial market. However, this study not only takes advantage of traditional asset allocation models, but also supplements the limitations of traditional methods and increases stability by predicting the risks of assets with the latest algorithm. There are various studies on parametric estimation methods to reduce the estimated errors in the portfolio optimization. We also suggested a new method to reduce estimated errors in optimized asset allocation model using machine learning. So this study is meaningful in that it proposes an advanced artificial intelligence asset allocation model for the fast-developing financial markets.

• Journal of Broadcast Engineering
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• v.19 no.5
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• pp.578-589
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• 2014

Window image is displayed through a monitor screen when we execute the application programs on the computer. This includes webpage, video player and a number of applications. The webpage delivers a variety of information by various types in comparison with other application. Unlike a natural image captured from a camera, the window image like a webpage includes diverse components such as text, logo, icon, subimage and so on. Each component delivers various types of information to users. However, the components with different characteristic need to be divided locally, because text and image are served by various type. In this paper, we divide window images into many sub blocks, and classify each divided region into background, text and subimage. The detected subimages can be applied into 2D-to-3D conversion, image retrieval, image browsing and so forth. There are many subimage classification methods. In this paper, we utilize AdaBoost for verifying that the machine learning-based algorithm can be efficient for subimage detection. In the experiment, we showed that the subimage detection ratio is 93.4 % and false alarm is 13 %.

• Science of Emotion and Sensibility
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• v.21 no.1
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• pp.177-186
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• 2018

The mechanism of emotion is complex and influenced by a variety of factors, so that it is crucial to analyze emotion in broad and diversified perspectives. In this study, we classified neutral and negative emotions(sadness, fear, surprise) using arousal evaluation, which is one of the psychological evaluation scales, as well as physiological signals. We have not only revealed the difference between physiological signals coupled to the emotions, but also assessed how accurate these emotions can be classified by our emotional recognizer based on neural network algorithm. A total of 146 participants(mean age $20.1{\pm}4.0$, male 41%) were emotionally stimulated while their physiological signals of the electrocardiogram, blood flow, and dermal activity were recorded. In addition, the participants evaluated their psychological states on the emotional rating scale in response to the emotional stimuli. Heart rate(HR), standard deviation(SDNN), blood flow(BVP), pulse wave transmission time(PTT), skin conduction level(SCL) and skin conduction response(SCR) were calculated before and after the emotional stimulation. As a result, the difference between physiological responses was verified corresponding to the emotions, and the highest emotion classification performance of 86.9% was obtained using the combined analysis of arousal and physiological features. This study suggests that negative emotion can be categorized by psychological and physiological evaluation along with the application of machine learning algorithm, which can contribute to the science and technology of detecting human emotion.

• Journal of Convergence for Information Technology
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• v.11 no.11
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• pp.57-65
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• 2021

We propose a novel method to detect abnormal data of specific symptoms using deep learning in air pollution measurement system. Existing methods generally detect abnomal data by classifying data showing unusual patterns different from the existing time series data. However, these approaches have limitations in detecting specific symptoms. In this paper, we use DeepLab V3+ model mainly used for foreground segmentation of images, whose structure has been changed to handle one-dimensional data. Instead of images, the model receives time-series data from multiple sensors and can detect data showing specific symptoms. In addition, we improve model's performance by reducing the complexity of noisy form time series data by using 'piecewise aggregation approximation'. Through the experimental results, it can be confirmed that anomaly data detection can be performed successfully.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.18 no.4
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• pp.44-57
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• 2019

Various studies have been conducted to solve traffic congestions in many metropolitan cities through accurate traffic flow prediction. Most studies are based on the assumption that past traffic patterns repeat in the future. Models based on such an assumption fall short in case irregular traffic patterns abruptly occur. Instead, the approaches such as predicting traffic pattern through big data analytics and artificial intelligence have emerged. Specifically, deep learning algorithms such as RNN have been prevalent for tackling the problems of predicting temporal traffic flow as a time series. However, these algorithms do not perform well in terms of long-term prediction. In this paper, we take into account various external factors that may affect the traffic flows. We model the correlation between the multi-dimensional context information with temporal traffic speed pattern using deep neural networks. Our model trained with the traffic data from TOPIS system by Seoul, Korea can predict traffic speed on a specific date with the accuracy reaching nearly 90%. We expect that the accuracy can be improved further by taking into account additional factors such as accidents and constructions for the prediction.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2022.05a
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• pp.15-17
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• 2022

In the aftermath of the avian influenza that occurred from the second half of 2020 to the beginning of 2021, 17.8 million laying hens were slaughtered. Although the government invested more than 100 billion won for egg imports as a measure to stabilize prices, the effort was not that easy. The sharp volatility of egg prices negatively affected both consumers and poultry farmers, so measures were needed to stabilize egg prices. To this end, the egg prices were successfully predicted in this study by using the analysis algorithm of a machine learning regression. For price prediction, a total of 8 independent variables, including monthly broiler chicken production statistics for 2012-2021 of the Korean Poultry Association and the slaughter performance of the national statistics portal (kosis), have been selected to be used. The Root Mean Square Error (RMSE), which indicates the difference between the predicted price and the actual price, is at the level of 103 (won), which can be interpreted as explaining the egg prices relatively well predicted. Accurate prediction of egg prices lead to flexible adjustment of egg production weeks for laying hens, which can help decision-making about stocking of laying hens. This result is expected to help secure egg price stability.

• Journal of Intelligence and Information Systems
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• v.25 no.1
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• pp.63-83
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• 2019

Investors prefer to look for trading points based on the graph shown in the chart rather than complex analysis, such as corporate intrinsic value analysis and technical auxiliary index analysis. However, the pattern analysis technique is difficult and computerized less than the needs of users. In recent years, there have been many cases of studying stock price patterns using various machine learning techniques including neural networks in the field of artificial intelligence(AI). In particular, the development of IT technology has made it easier to analyze a huge number of chart data to find patterns that can predict stock prices. Although short-term forecasting power of prices has increased in terms of performance so far, long-term forecasting power is limited and is used in short-term trading rather than long-term investment. Other studies have focused on mechanically and accurately identifying patterns that were not recognized by past technology, but it can be vulnerable in practical areas because it is a separate matter whether the patterns found are suitable for trading. When they find a meaningful pattern, they find a point that matches the pattern. They then measure their performance after n days, assuming that they have bought at that point in time. Since this approach is to calculate virtual revenues, there can be many disparities with reality. The existing research method tries to find a pattern with stock price prediction power, but this study proposes to define the patterns first and to trade when the pattern with high success probability appears. The M & W wave pattern published by Merrill(1980) is simple because we can distinguish it by five turning points. Despite the report that some patterns have price predictability, there were no performance reports used in the actual market. The simplicity of a pattern consisting of five turning points has the advantage of reducing the cost of increasing pattern recognition accuracy. In this study, 16 patterns of up conversion and 16 patterns of down conversion are reclassified into ten groups so that they can be easily implemented by the system. Only one pattern with high success rate per group is selected for trading. Patterns that had a high probability of success in the past are likely to succeed in the future. So we trade when such a pattern occurs. It is a real situation because it is measured assuming that both the buy and sell have been executed. We tested three ways to calculate the turning point. The first method, the minimum change rate zig-zag method, removes price movements below a certain percentage and calculates the vertex. In the second method, high-low line zig-zag, the high price that meets the n-day high price line is calculated at the peak price, and the low price that meets the n-day low price line is calculated at the valley price. In the third method, the swing wave method, the high price in the center higher than n high prices on the left and right is calculated as the peak price. If the central low price is lower than the n low price on the left and right, it is calculated as valley price. The swing wave method was superior to the other methods in the test results. It is interpreted that the transaction after checking the completion of the pattern is more effective than the transaction in the unfinished state of the pattern. Genetic algorithms(GA) were the most suitable solution, although it was virtually impossible to find patterns with high success rates because the number of cases was too large in this simulation. We also performed the simulation using the Walk-forward Analysis(WFA) method, which tests the test section and the application section separately. So we were able to respond appropriately to market changes. In this study, we optimize the stock portfolio because there is a risk of over-optimized if we implement the variable optimality for each individual stock. Therefore, we selected the number of constituent stocks as 20 to increase the effect of diversified investment while avoiding optimization. We tested the KOSPI market by dividing it into six categories. In the results, the portfolio of small cap stock was the most successful and the high vol stock portfolio was the second best. This shows that patterns need to have some price volatility in order for patterns to be shaped, but volatility is not the best.

• Korean Journal of Remote Sensing
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• v.39 no.5_3
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• pp.979-995
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• 2023

As wildfires are difficult to predict, real-time monitoring is crucial for a timely response. Geostationary satellite images are very useful for active fire detection because they can monitor a vast area with high temporal resolution (e.g., 2 min). Existing satellite-based active fire detection algorithms detect thermal outliers using threshold values based on the statistical analysis of brightness temperature. However, the difficulty in establishing suitable thresholds for such threshold-based methods hinders their ability to detect fires with low intensity and achieve generalized performance. In light of these challenges, machine learning has emerged as a potential-solution. Until now, relatively simple techniques such as random forest, Vanilla convolutional neural network (CNN), and U-net have been applied for active fire detection. Therefore, this study proposed an active fire detection algorithm using state-of-the-art (SOTA) deep learning techniques using data from the Advanced Himawari Imager and evaluated it over East Asia and Australia. The SOTA model was developed by applying EfficientNet and lion optimizer, and the results were compared with the model using the Vanilla CNN structure. EfficientNet outperformed CNN with F1-scores of 0.88 and 0.83 in East Asia and Australia, respectively. The performance was better after using weighted loss, equal sampling, and image augmentation techniques to fix data imbalance issues compared to before the techniques were used, resulting in F1-scores of 0.92 in East Asia and 0.84 in Australia. It is anticipated that timely responses facilitated by the SOTA deep learning-based approach for active fire detection will effectively mitigate the damage caused by wildfires.

• Journal of Intelligence and Information Systems
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• v.25 no.2
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• pp.39-55
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• 2019

Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.