• Title/Summary/Keyword: 주가지수 예측

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Seasonal Unit Roots in Stock Prices (계절적 변동과 주가의 형성 : 계절적 단위근)

  • Rhee, Il-King
    • The Korean Journal of Financial Management
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    • v.16 no.1
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    • pp.171-191
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    • 1999
  • 시간의 흐름에 걸친 주가시계열의 행동양식에 대한 연구에서는 선형성, 비선형성, 장기기억, 항상성분 등에 대한 명확한 결론을 내리고 있지 못한 실정이다. 주가 시계열과정을 설명하고 예측하기 위한 여러 모형들에 대한 실증연구에는 설명력과 예측력을 완벽하게 갖추고 있지 못하고 있다는 증거들이 제시되고 있다. 계절적 변동을 주가시계열에 적용하지 않는 관계로 이와 같은 결과가 발생할 가능성이 존재한다. 분기별 종합주가지수의 수익률에 계절적 단위근이 존재하고 있음이 실증분석을 통하여 밝혀졌다. 이 시계열에서는 계절적 단위근을 제거하기 위하여서는 제4계 시차 작용소가 적절한 필터임이 인정되었다. 월별 종합주가지수의 수익률에서도 계절적 단위근이 존재하고 있다. 따라서 제12계 시차 작용소를 사용하여 계절적 단위근을 제거하여야 할 것이다. 분기별 수익률에는 제4차 시차 작용소를, 월별수익률에서는 제12차 시차 작용소를 필터로 사용하여 이 시계열들을 차분화하고 이 차분화를 통하여 계절적 단위근을 제거한 후에 이 시계열들의 시계열적 성질과 특성을 탐구해야 할 것이다. 이 과정을 통할 때 시계열 과정에 대한 계량경제학적 모형에 대한 정확한 추론이 가능하게 된다.

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Prediction of the Movement Directions of Index and Stock Prices Using Extreme Gradient Boosting (익스트림 그라디언트 부스팅을 이용한 지수/주가 이동 방향 예측)

  • Kim, HyoungDo
    • The Journal of the Korea Contents Association
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    • v.18 no.9
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    • pp.623-632
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    • 2018
  • Both investors and researchers are attentive to the prediction of stock price movement directions since the accurate prediction plays an important role in strategic decision making on stock trading. According to previous studies, taken together, one can see that different factors are considered depending on stock markets and prediction periods. This paper aims to analyze what data mining techniques show better performance with some representative index and stock price datasets in the Korea stock market. In particular, extreme gradient boosting technique, proving itself to be the fore-runner through recent open competitions, is applied to the prediction problem. Its performance has been analyzed in comparison with other data mining techniques reported good in the prediction of stock price movement directions such as random forests, support vector machines, and artificial neural networks. Through experiments with the index/price datasets of 12 years, it is identified that the gradient boosting technique is the best in predicting the movement directions after 1 to 4 days with a few partial equivalence to the other techniques.

A Genetic Algorithm for Optimal Period Forecasting Of Moving Average (유전자 알고리즘을 이용한 Moving Average의 최적 Period 예측 시스템 구현)

  • Kim, So-Young;Han, Chi-Geun
    • Proceedings of the Korea Information Processing Society Conference
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    • 2002.11c
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    • pp.2447-2450
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    • 2002
  • 주가지수선물시장은 주식투자에 따르는 위험을 효과적으로 관리할 수 있는 제도적 장치로서 오늘날 불안한 주식시장 현황에 있어서 더욱더 중요한 위치를 갖고 있다. 현재 이러한 주가지수선물거래에 있어서 Moving Average 를 예측하고자 하는 여러 트레이딩 시스템을 선보이고 있다. 이 논문에서는 과거의 데이터를 토대로 한 Moving Average Line 분석에 있어서 일반적으로 기존방법보다 효과적이라고 알려진 유전자 알고리즘을 이용하여 Moving Average 의 최적 Period 예측 시스템을 구현한다.

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A Study on the Prediction Model of Stock Price Index Trend based on GA-MSVM that Simultaneously Optimizes Feature and Instance Selection (입력변수 및 학습사례 선정을 동시에 최적화하는 GA-MSVM 기반 주가지수 추세 예측 모형에 관한 연구)

  • Lee, Jong-sik;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.23 no.4
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    • pp.147-168
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    • 2017
  • There have been many studies on accurate stock market forecasting in academia for a long time, and now there are also various forecasting models using various techniques. Recently, many attempts have been made to predict the stock index using various machine learning methods including Deep Learning. Although the fundamental analysis and the technical analysis method are used for the analysis of the traditional stock investment transaction, the technical analysis method is more useful for the application of the short-term transaction prediction or statistical and mathematical techniques. Most of the studies that have been conducted using these technical indicators have studied the model of predicting stock prices by binary classification - rising or falling - of stock market fluctuations in the future market (usually next trading day). However, it is also true that this binary classification has many unfavorable aspects in predicting trends, identifying trading signals, or signaling portfolio rebalancing. In this study, we try to predict the stock index by expanding the stock index trend (upward trend, boxed, downward trend) to the multiple classification system in the existing binary index method. In order to solve this multi-classification problem, a technique such as Multinomial Logistic Regression Analysis (MLOGIT), Multiple Discriminant Analysis (MDA) or Artificial Neural Networks (ANN) we propose an optimization model using Genetic Algorithm as a wrapper for improving the performance of this model using Multi-classification Support Vector Machines (MSVM), which has proved to be superior in prediction performance. In particular, the proposed model named GA-MSVM is designed to maximize model performance by optimizing not only the kernel function parameters of MSVM, but also the optimal selection of input variables (feature selection) as well as instance selection. In order to verify the performance of the proposed model, we applied the proposed method to the real data. The results show that the proposed method is more effective than the conventional multivariate SVM, which has been known to show the best prediction performance up to now, as well as existing artificial intelligence / data mining techniques such as MDA, MLOGIT, CBR, and it is confirmed that the prediction performance is better than this. Especially, it has been confirmed that the 'instance selection' plays a very important role in predicting the stock index trend, and it is confirmed that the improvement effect of the model is more important than other factors. To verify the usefulness of GA-MSVM, we applied it to Korea's real KOSPI200 stock index trend forecast. Our research is primarily aimed at predicting trend segments to capture signal acquisition or short-term trend transition points. The experimental data set includes technical indicators such as the price and volatility index (2004 ~ 2017) and macroeconomic data (interest rate, exchange rate, S&P 500, etc.) of KOSPI200 stock index in Korea. Using a variety of statistical methods including one-way ANOVA and stepwise MDA, 15 indicators were selected as candidate independent variables. The dependent variable, trend classification, was classified into three states: 1 (upward trend), 0 (boxed), and -1 (downward trend). 70% of the total data for each class was used for training and the remaining 30% was used for verifying. To verify the performance of the proposed model, several comparative model experiments such as MDA, MLOGIT, CBR, ANN and MSVM were conducted. MSVM has adopted the One-Against-One (OAO) approach, which is known as the most accurate approach among the various MSVM approaches. Although there are some limitations, the final experimental results demonstrate that the proposed model, GA-MSVM, performs at a significantly higher level than all comparative models.

Long-term Relationships of KOSPI, BSI, and Macro Economic variables (주가.기대심리.거시경제변수의 장기균형 관계 :Cointegration을 중심으로)

  • Chang, Byoung-Ky;Choi, Jong-Il
    • The Korean Journal of Financial Management
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    • v.18 no.2
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    • pp.125-144
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    • 2001
  • 본 연구는 선행연구들과 달리 경제변수로 설명할 수 없는 경제주체들의 심리적 요소가 주가에 영향을 미칠 수 있다는 관점에서 주가와 거시경제변수 및 경제주체들의 기대심리간의 장기 균형 및 동학구조관계를 분석한다. 주가는 기업의 내재가치를 나타내며 이는 상당부분 현재와 미래의 경제상황에 의해 영향을 받을 것이다. 미래경제상황을 정확히 예측할 수는 없으나 경제 주체들은 미래경제상황을 예측하게 되며 그 예측은 주가에 반영될 수 있다. 검증결과 BSI 전망치와 같은 경제주체들의 기대심리가 주가결정에 가장 중요한 단일 변수인 것으로 나타났다. 이변량 공적분검증을 실시한 결과 실질주가지수는 BSI와 장기균형관계에 있는 반면 다른 거시경제변수와는 공적분관계에 있지 않은 것으로 나타났다. 다변량 공적분분석에서도 BSI가 포함된 경우에만 KOSPI/P와 장기균형관계에 있는 것으로 나타났다. 벡터오차수정모형으로 동태적 관계를 분석한 결과, 이변량과 다변량 분석 모두에서 이들 두 변수의 오차수정항이 통계적으로 유의하여 장기균형으로부터 이탈에 대하여 상호 조정하는 것으로 나타났다.

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An Empirical Study on the Characteristics of Stock Returns in Chinese Stock Market -Focusing on the period of 1995 to 2007 - (중국 주식시장의 수익률 특성에 관한 실증연구 - 1995년부터 2007년 기간을 중심으로 -)

  • Kim, Kyung Won;Choi, Joon Hwan
    • International Area Studies Review
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    • v.13 no.3
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    • pp.287-308
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    • 2009
  • This article examines the distributional characteristics of the return of Chinese stock market indices. The majority of previous empirical researches have tended to focus upon the simple stock market index. However, this study focuses on the four indices which represent the characteristics of each stock market index. The empirical findings indicate that the returns of the four chinese indices are not normally distributed at conventional levels. The Ljimg-Box -statistics indicate the returns of the index of A shares are not serially autocorrelated. However, the returns of the index of B shares are serially autocorrelated. The empirical findings also indicate returns of the four chinese indices are not serially autocorrelated. The statistics of Regression Specification Error Test and ARCH indicate the returns of all four indices are not serially linear. The findings also indicate that E- GARCH model is the most fittest model for the returns of the four chinese indices and the forecast error can be reduced by using student t distribution rather normal distribution.

A Study on Determining the Prediction Models for Predicting Stock Price Movement (주가 운동양태 예측을 위한 예측 모델결정에 관한 연구)

  • Jeon Jin-Ho;Cho Young-Hee;Lee Gye-Sung
    • The Journal of the Korea Contents Association
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    • v.6 no.6
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    • pp.26-32
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    • 2006
  • Predictions on stock prices have been a hot issue in stock market as people get more interested in stock investments. Assuming that the stock price is moving by a trend in a specific pattern, we believe that a model can be derived from past data to describe the change of the price. The best model can help predict the future stock price. In this paper, our model derivation is based on automata over temporal data to which the model is explicable. We use Bayesian Information Criterion(BIC) to determine the best number of states of the model. We confirm the validity of Bayesian Information Criterion and apply it to building models over stock price indices. The model derived for predicting daily stock price are compared with real price. The comparisons show the predictions have been found to be successful over the data sets we chose.

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Developing Stock Pattern Searching System using Sequence Alignment Algorithm (서열 정렬 알고리즘을 이용한 주가 패턴 탐색 시스템 개발)

  • Kim, Hyong-Jun;Cho, Hwan-Gue
    • Journal of KIISE:Computer Systems and Theory
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    • v.37 no.6
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    • pp.354-367
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    • 2010
  • There are many methods for analyzing patterns in time series data. Although stock data represents a time series, there are few studies on stock pattern analysis and prediction. Since people believe that stock price changes randomly we cannot predict stock prices using a scientific method. In this paper, we measured the degree of the randomness of stock prices using Kolmogorov complexity, and we showed that there is a strong correlation between the degree and the accuracy of stock price prediction using our semi-global alignment method. We transformed the stock price data to quantized string sequences. Then we measured randomness of stock prices using Kolmogorov complexity of the string sequences. We use KOSPI 690 stock data during 28 years for our experiments and to evaluate our methodology. When a high Kolmogorov complexity, the stock price cannot be predicted, when a low complexity, the stock price can be predicted, but the prediction ratio of stock price changes of interest to investors, is 12% prediction ratio for short-term predictions and a 54% prediction ratio for long-term predictions.

KOSPI directivity forecasting by time series model (시계열 모형을 이용한 주가지수 방향성 예측)

  • Park, In-Chan;Kwon, O-Jin;Kim, Tae-Yoon
    • Journal of the Korean Data and Information Science Society
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    • v.20 no.6
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    • pp.991-998
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    • 2009
  • This paper deals with directivity forecasting of time series which is useful for futures trading in stock market. Directivity forecasting of time series is to forecast whether a given time series will rise or fall at next observation time point. For directional forecasting, we consider time regression model and ARIMA model. In particular, we study two statistics, intra-model and extra-model deviation and then show usefulness of intra-model deviation.

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News based Stock Market Sentiment Lexicon Acquisition Using Word2Vec (Word2Vec을 활용한 뉴스 기반 주가지수 방향성 예측용 감성 사전 구축)

  • Kim, Daye;Lee, Youngin
    • The Journal of Bigdata
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    • v.3 no.1
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    • pp.13-20
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    • 2018
  • Stock market prediction has been long dream for researchers as well as the public. Forecasting ever-changing stock market, though, proved a Herculean task. This study proposes a novel stock market sentiment lexicon acquisition system that can predict the growth (or decline) of stock market index, based on economic news. For this purpose, we have collected 3-year's economic news from January 2015 to December 2017 and adopted Word2Vec model to consider the context of words. To evaluate the result, we performed sentiment analysis to collected news data with the automated constructed lexicon and compared with closings of the KOSPI (Korea Composite Stock Price Index), the South Korean stock market index based on economic news.