• Title/Summary/Keyword: 시계열 회귀모형

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A Dynamic Analysis of Import Price of Roundwood (원목수입가격(原木輸入價格)의 동태적(動態的) 분석(分析))

  • Han, Sang-Yoel;Kim, Tae-Kyun;Cho, Jae-Hwan;Choi, Kwan
    • Journal of Korean Society of Forest Science
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    • v.88 no.1
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    • pp.1-10
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    • 1999
  • The dynamic relationships among import prices of roundwood are analyzed using the time series approach. A vector autoregression(VAR) model is estimated for six import prices(New Zealand, Chile, Russia, U.S.A., PNG, and Malaysia). Then Granger's causality test, variance decomposition analysis, and impulse response function analysis are also conducted. The major results are summarized as follows : (1) The prices of New Zealand and Russia are caused by only own lagged prices. (2) The prices of Chile and PNG are effected by New Zealand, the price of PNG is effected by New Zealand and Russia, and the price of U.S.A. is effected by those of Chile and PNG, respectively. (3) An exogenous shock in New Zealand will affect the prices of New Zealand, PNG, U.S.A., Chile, Russia. (4) An exogenous shock in Chile may also affect the prices of Chile, U.S.A., Russia.

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Estimation of Potential Supply of Offset from Household Electric Appliances (가정용 전자기기의 잠재 상쇄 공급량 추정)

  • Jin, Hyun Joung;Kim, Jeong In;You, Eun Young;Park, Seo Hwa
    • Environmental and Resource Economics Review
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    • v.24 no.3
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    • pp.463-488
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    • 2015
  • A more detailed design of offset system is needed according to the emission trading system started in 2015. This study aims to estimate the supply of potential offset that can be secured by expanding high-efficiency household electric appliances. The target commodities for analysis are three different householding electric appliances: TV, washing machine, electric fan, refrigerator and air conditioner. By using the ARDL model, we estimated the coefficients of diffusion of these high-efficiency appliances from 2016 to 2022. Then, the potential supply of offset was drawn by calculating the amount of electricity saving by efficiency improvement and by applying the rates of carbon exchange. Supposing that the electricity savings rates of high-efficiency appliances are each 10% and 20%, the accumulated carbon decrement in 2022 was respectively $361,899CO_2t$ and $723,797CO_2t$. The appliance that showed the biggest carbon decrement was air conditioner, and the second biggest was refrigerator and the next was TV, followed by washing machine, electric fan.

Comparison of Models for Stock Price Prediction Based on Keyword Search Volume According to the Social Acceptance of Artificial Intelligence (인공지능의 사회적 수용도에 따른 키워드 검색량 기반 주가예측모형 비교연구)

  • Cho, Yujung;Sohn, Kwonsang;Kwon, Ohbyung
    • 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.

Assessment of stream water quality and pollutant discharge loads affected by recycled irrigation in an agricultural watershed using HSPF and a multi-reservoir model (HSPF와 다중 저류지 모형을 이용한 농업지역 순환관개에 의한 하천 수질 및 배출부하 영향 분석)

  • Kyoung-Seok Lee;Dong Hoon Lee;Youngmi Ahn;Joo-Hyon Kang
    • Journal of Wetlands Research
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    • v.25 no.4
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    • pp.297-305
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    • 2023
  • The recycled irrigation is a type of irrigation that uses downstream water to fulfill irrigation demand in the upstream agricultural areas; the used irrigation water returns back to the downstream. The recycled irrigation is advantageous for securing irrigation water for plant growth, but the returned water typically contains high levels of nutrients due to excess nutrients inputs during the agricultural activities, potentially deteriorating stream water quality. Therefore, quantitative assessment on the effect of the recycled irrigation on the stream water quality is required to establish strategies for effective irrigation water supply and water quality management. For this purpose, a watershed model is generally used; however no functions to simulate the effects of the recycled irrigation are provided in the existing watershed models. In this study, we used multi-reservoir model coupled with the Hydrological Simulation Program-Fortran (HSPF) to estimate the effect of the recycled irrigation on the stream water quality. The study area was the Gwangok stream watershed, a subwatershed of Gyeseong stream watershed in Changnyeong county, Gyeongsangnam-do. The HSPF model was built, calibrated, and used to produce time series data of flow and water quality, which were used as hypothetical observation data to calibrate the multi-reservoir model. The calibrated multi-reservoir model was used for simulating the recycled irrigation. In the multi-reservoir model, the Gwangok watershed consisted of two subsystems, irrigation and the Gwangok stream, and the reactions (plant uptake, adsorption, desorption, and decay) within each subsystem, and fluxes of water and materials between the subsystems, were modeled. Using the developed model, three scenarios with different combinations of the operating conditions of the recycled irrigation were evaluated for their effects on the stream water quality.

An Empirical Test of the Dynamic Optimality Condition for Exhaustible Resources -An Input Distance Function- (투입물거리함수를 통한 고갈자원의 동태적 최적이용 여부 검증)

  • Lee, Myunghun
    • Environmental and Resource Economics Review
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    • v.15 no.4
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    • pp.673-692
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    • 2006
  • In order to test for the dynamic optimality condition for the use of nonrenewable resource, it is necessary to estimate the shadow value of the resource in situ. In the previous literatures, a time series for in situ price has been derived either as the difference between marginal revenue and marginal cost or by differentiating with respect to the quantity of ore extracted the restricted cost function in which the quantity of ore is quasi-fixed. However, not only inconsistent estimates are likely to be generated due to the nonmalleability of capital, but the estimate of marginal revenue will be affected by market power. Since firms will likely fail to minimize the cost of the reproducible inputs subject to market prices under realistic circumstances where imperfect factor markets, strikes, or government regulations are present, the shadow in situ values obtained by estimating the restricted cost function can be biased. This paper provides a valid methodology for checking the dynamic optimality condition for a nonrenewable resource by using the input distance function. Our methodology has some advantages over previous ones: only data on quantities of inputs and outputs are required; nor is the maintained hypothesis of cost minimization required; adoption of linear programming enables us to circumvent autocorrelated errors problem caused by use of time series or panel data. The dynamic optimality condition for domestic coal mining does not hold for constant discount rates ranging from 2 to 20 percent over the period 1970~1993. The dynamic optimality condition also does not hold for variable rates ranging from fourth to four times the real interest rate.

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A Time Series Graph based Convolutional Neural Network Model for Effective Input Variable Pattern Learning : Application to the Prediction of Stock Market (효과적인 입력변수 패턴 학습을 위한 시계열 그래프 기반 합성곱 신경망 모형: 주식시장 예측에의 응용)

  • Lee, Mo-Se;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.24 no.1
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    • pp.167-181
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    • 2018
  • Over the past decade, deep learning has been in spotlight among various machine learning algorithms. In particular, CNN(Convolutional Neural Network), which is known as the effective solution for recognizing and classifying images or voices, has been popularly applied to classification and prediction problems. In this study, we investigate the way to apply CNN in business problem solving. Specifically, this study propose to apply CNN to stock market prediction, one of the most challenging tasks in the machine learning research. As mentioned, CNN has strength in interpreting images. Thus, the model proposed in this study adopts CNN as the binary classifier that predicts stock market direction (upward or downward) by using time series graphs as its inputs. That is, our proposal is to build a machine learning algorithm that mimics an experts called 'technical analysts' who examine the graph of past price movement, and predict future financial price movements. Our proposed model named 'CNN-FG(Convolutional Neural Network using Fluctuation Graph)' consists of five steps. In the first step, it divides the dataset into the intervals of 5 days. And then, it creates time series graphs for the divided dataset in step 2. The size of the image in which the graph is drawn is $40(pixels){\times}40(pixels)$, and the graph of each independent variable was drawn using different colors. In step 3, the model converts the images into the matrices. Each image is converted into the combination of three matrices in order to express the value of the color using R(red), G(green), and B(blue) scale. In the next step, it splits the dataset of the graph images into training and validation datasets. We used 80% of the total dataset as the training dataset, and the remaining 20% as the validation dataset. And then, CNN classifiers are trained using the images of training dataset in the final step. Regarding the parameters of CNN-FG, we adopted two convolution filters ($5{\times}5{\times}6$ and $5{\times}5{\times}9$) in the convolution layer. In the pooling layer, $2{\times}2$ max pooling filter was used. The numbers of the nodes in two hidden layers were set to, respectively, 900 and 32, and the number of the nodes in the output layer was set to 2(one is for the prediction of upward trend, and the other one is for downward trend). Activation functions for the convolution layer and the hidden layer were set to ReLU(Rectified Linear Unit), and one for the output layer set to Softmax function. To validate our model - CNN-FG, we applied it to the prediction of KOSPI200 for 2,026 days in eight years (from 2009 to 2016). To match the proportions of the two groups in the independent variable (i.e. tomorrow's stock market movement), we selected 1,950 samples by applying random sampling. Finally, we built the training dataset using 80% of the total dataset (1,560 samples), and the validation dataset using 20% (390 samples). The dependent variables of the experimental dataset included twelve technical indicators popularly been used in the previous studies. They include Stochastic %K, Stochastic %D, Momentum, ROC(rate of change), LW %R(Larry William's %R), A/D oscillator(accumulation/distribution oscillator), OSCP(price oscillator), CCI(commodity channel index), and so on. To confirm the superiority of CNN-FG, we compared its prediction accuracy with the ones of other classification models. Experimental results showed that CNN-FG outperforms LOGIT(logistic regression), ANN(artificial neural network), and SVM(support vector machine) with the statistical significance. These empirical results imply that converting time series business data into graphs and building CNN-based classification models using these graphs can be effective from the perspective of prediction accuracy. Thus, this paper sheds a light on how to apply deep learning techniques to the domain of business problem solving.