• 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.

• Journal of Intelligence and Information Systems
• /
• v.19 no.3
• /
• pp.1-23
• /
• 2013

To discover significant social issues such as unemployment, economy crisis, social welfare etc. that are urgent issues to be solved in a modern society, in the existing approach, researchers usually collect opinions from professional experts and scholars through either online or offline surveys. However, such a method does not seem to be effective from time to time. As usual, due to the problem of expense, a large number of survey replies are seldom gathered. In some cases, it is also hard to find out professional persons dealing with specific social issues. Thus, the sample set is often small and may have some bias. Furthermore, regarding a social issue, several experts may make totally different conclusions because each expert has his subjective point of view and different background. In this case, it is considerably hard to figure out what current social issues are and which social issues are really important. To surmount the shortcomings of the current approach, in this paper, we develop a prototype system that semi-automatically detects social issue keywords representing social issues and problems from about 1.3 million news articles issued by about 10 major domestic presses in Korea from June 2009 until July 2012. Our proposed system consists of (1) collecting and extracting texts from the collected news articles, (2) identifying only news articles related to social issues, (3) analyzing the lexical items of Korean sentences, (4) finding a set of topics regarding social keywords over time based on probabilistic topic modeling, (5) matching relevant paragraphs to a given topic, and (6) visualizing social keywords for easy understanding. In particular, we propose a novel matching algorithm relying on generative models. The goal of our proposed matching algorithm is to best match paragraphs to each topic. Technically, using a topic model such as Latent Dirichlet Allocation (LDA), we can obtain a set of topics, each of which has relevant terms and their probability values. In our problem, given a set of text documents (e.g., news articles), LDA shows a set of topic clusters, and then each topic cluster is labeled by human annotators, where each topic label stands for a social keyword. For example, suppose there is a topic (e.g., Topic1 = {(unemployment, 0.4), (layoff, 0.3), (business, 0.3)}) and then a human annotator labels "Unemployment Problem" on Topic1. In this example, it is non-trivial to understand what happened to the unemployment problem in our society. In other words, taking a look at only social keywords, we have no idea of the detailed events occurring in our society. To tackle this matter, we develop the matching algorithm that computes the probability value of a paragraph given a topic, relying on (i) topic terms and (ii) their probability values. For instance, given a set of text documents, we segment each text document to paragraphs. In the meantime, using LDA, we can extract a set of topics from the text documents. Based on our matching process, each paragraph is assigned to a topic, indicating that the paragraph best matches the topic. Finally, each topic has several best matched paragraphs. Furthermore, assuming there are a topic (e.g., Unemployment Problem) and the best matched paragraph (e.g., Up to 300 workers lost their jobs in XXX company at Seoul). In this case, we can grasp the detailed information of the social keyword such as "300 workers", "unemployment", "XXX company", and "Seoul". In addition, our system visualizes social keywords over time. Therefore, through our matching process and keyword visualization, most researchers will be able to detect social issues easily and quickly. Through this prototype system, we have detected various social issues appearing in our society and also showed effectiveness of our proposed methods according to our experimental results. Note that you can also use our proof-of-concept system in http://dslab.snu.ac.kr/demo.html.

• Economic and Environmental Geology
• /
• v.8 no.3
• /
• pp.117-124
• /
• 1975

Wet chemical analysis (for $MnO_2$, MnO, and $H_2O$(+)) and electron microprobe analysis (for $Fe_2O_3$ and PbO) give $MnO_2$ 74.91, MnO 11.33, $Fe_2O_3$ (total Fe) 4.19, PbO 0.03, $H_2O$ (+) 9.46, sum 99.92%. 'Available oxygen determined by oxalate titration method is allotted to $MnO_2$ from total Mn, and the remaining Mn is calculated as MnO. Traces of Ba, Ca, Mg, K, Cu, Zn, and Al were found. Li and Na were not found. The existence of (OH) is verified from the infrared absorption spectra. The analysis corresponds to the formula $Mn^{4+}{_{4.85}}(Mn^{2+}{_{0.90}}Fe^{3+}{_{0.30}})_{1.20}O_{8.09}(OH)_{5.91}$, on the basis of O=14, 'or ideally $Mn^{4+}{_{5-x}}(Mn^{2+},Fe^{3+})_{1+x}O_{8}(OH)_{6}$ ($x{\approx}0.2$). X-ray single crystal study could not be made because of the distortion of single crystals. But the x-ray powder pattern is satisfactorily indexed by an orthorhombic cell with a 9.324, b 14.05, c $7.956{\AA}$., Z=4. The indexed powder diffraction lines are 9.34(s) (100), 7.09(s) (020), 4.62(m) (200, 121), 4.17(m) (130), 3.547(s) (112), 3.212(vw) (041), 3.101(s) (300), 2.597(w) (013), 2.469(m) (331), 2.214(vw)(420), 2.098(vw) (260), 2.014 (vw) (402), 1.863(w) (500), 1.664(w) (314), 1.554(vw) (600), 1.525(m) (601), 1.405(m) (0.10.0). DTA curve shows the endothermic peaks at $250-370^{\circ}C$ and $955^{\circ}C$. The former is due to the dehydration: and oxidation forming$(Mn,\;Fe)_2O_3$(cubic, a $9.417{\AA}$), and the latter is interpreted as the formation of a hausmannite-type oxide (tetragonal, a 5.76, c $9.51{\AA}$) from $(Mn,\;Fe)_2O_3$. Infrared absorption spectral curve shows Mn-O stretching vibrations at $515cm^{-1}$ and $545cm^{-1}$, O-H bending vibration at $1025cm^{-1}$ and O-H stretching vibration at $3225cm^{-1}$. Opaque. Reflectance 13-15%. Bireflectance distinct in air and strong in oil. Reflection pleochroism changes from whitish to light grey. Between crossed nicols, color changes from yellowish brown with bluish tint to grey in air and yellowish brown to grey through bluish brown in oil. No internal reflections. Etching reactions: HCl(conc.) and $H_2SO_4+H_2O_2$-grey tarnish; $SnCl_2$(sat.)-dark color; $HNO_3$(conc.)-grey color; $H_2O_2$-tarnish with effervescence. It is black in color. Luster dull. Cleavage one direction perfect. Streak brownish black to dark brown. H. (Mohs) 2-3, very fragile. Specific gravity 3.59(obs.), 3.57(calc.). It occurs as radiating groups of flakes, flower-like aggregates, colloform bands, dendritic or arborescent masses composed of fine grains in the cementation zone of the supergene manganese oxide deposits of the Janggun mine, Bonghwa-gun, southeastern Korea. Associated minerals are calcite, nsutite, todorokite, and some undetermined manganese dioxide minerals. The name is for the mine, the first locality. The mineral and name were approved before publication by the Commission on New Minerals and Mineral Names, I.M.A.