• 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.

• Proceedings of the Korea Water Resources Association Conference
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• 2021.06a
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• pp.184-184
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• 2021

2020년의 경우 대기 상층 제트기류가 크게 강화됨에 따라 작은 규모의 저기압의 발달이 평년보다 두 배 이상 증가하였고, 그로 인해 장마가 최대 54일가량 지속되며 1조 371억 원 가량의 대규모 침수피해가 발생하였다. 이와 같이 최근 기후변화로 인한 이상 기후가 빈번하게 발생하고 있으며, 그로 인해 홍수, 태풍과 같은 재난의 강도 및 파급되는 재산피해가 점차 증가하고 있는 추세이다. 따라서 본 연구에서는 기후변화를 고려하여 향후 30년간 강우량 변화 추이를 파악하고, 이에 따라 파급되는 재난피해 규모의 증가 추세를 확인하고자 하였다. 기후변화 시나리오는 IPCC AR6(Intergovernmental Panel on Climate Change - Sixth Assessment Report)에서 제시하고 있는 시나리오 중 극한 시나리오인 SSP5-8.5와 안정화 시나리오인 SSP2-4.5 시나리오를 활용하고자 하였다. GCM(General Circulation Model) 자료는 전 지구적 모형으로 공간적 해상도가 낮은 문제가 있기 때문에, 국내 적용을 위해서는 축소기법을 적용해야 한다. 본 연구에서는 공간적 축소를 위해 통계학적 기법 중 인공지능 기법을 적용하고 Reference data와 종관기상관측(ASOS)의 실측 강우 자료(1905 ~ 2014년)를 통해 학습된 모형의 정확도 검증을 수행하였다. 또한 연 강수량과 연도별 홍수피해의 규모 및 빈도를 확인하여 연도별 강수량 증가에 따른 피해 규모의 증가를 관계식을 도출하였다. 이후 최종적인 축소기법으로 모형을 통해 향후 2050년까지 부산광역시의 예측 강우량을 전망하여 연 강수량의 증가량과 피해 규모의 증가량을 전망해보고자 하였다. 본 연구 결과는 부산광역시의 예방단계 재난관리의 일환으로 적응형 기후변화 대책 수립에 기초 자료로써 활용될 수 있을 것이다.

• Journal of Korean Society of Transportation
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• v.19 no.5
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• pp.21-33
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• 2001

Intelligent Transport Systems (ITS) was first introduced in Korea early 1990's, and Korean government has put a lot of efforts for flourishing it in the entire nation. Regardless of these efforts, private participation is not active enough to accelerate ITS implementation in Korea. Expert group made every endeavor to analyze the current situation, and found out some phenomena. It may be summarized as two folds. Firstly, private sector has a lack of confidence on the future ITS market. Budget in the strategic plan is the only publication and guide that private sector can refer to, and it merely indicates deployment costs. Secondly, direction and procedure of R&D are not well defined. It implies that private sector takes too much risk when they invest for R&D. This research, therefore, focuses on the first issues. Concretely, the goal of the project was to establish and analyze the model for estimation the future ITS market side. Author reviewed both quantitative and qualitative models, and concluded that diffusion model in qualitative model was suitable for ITS market estimation. According to model calibration. it is estimated that 14 trillion Won was the market size in 2020 under normal condition. Impact of this result may seduce Information Technology(IT) related private companies into ITS market. Although this research couldn't cover various topics, it nay dedicate in boosting ITS in Korea. Also, it will be a good starting point for further study for the advancement of ITS.

• Journal of the Korea Society of Computer and Information
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• v.29 no.2
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• pp.87-99
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• 2024

This study aims to identify the competencies required for webtoon artists to survive in the future era of AI commercialization. It explores the current and future use of AI in webtoons, and predicts the role of artists in the future webtoon industry. The study finds that AI will replace human workers in some areas, but human empathy-related fields can be sustained. Artist roles like story projectors, Visual directors, and AI editors were identified as potential models for the changing role of artists. To address terminology ambiguity, a three-step AI categorization mechanical type AI, humanoid type AI, and transcendent type AI was proposed for a more realistic separation of AI capabilities. The researcher suggested these findings as guidelines for developing skills in emerging artists or re-skilling existing ones, emphasizing collaboration with AI for mutual growth rather than a negative acceptance of new technology.

• Korean Journal of Agricultural and Forest Meteorology
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• v.23 no.4
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• pp.391-404
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• 2021

This study developed a long-term prediction model for the potential yield of garlic based on a genetic algorithm (GA) by utilizing global climate reanalysis data. The GA is used for digging the inherent signals from global climate reanalysis data which are both directly and indirectly connected with the garlic yield potential. Our results indicate that both deterministic and probabilistic forecasts reasonably capture the inter-annual variability of crop yields with temporal correlation coefficients significant at 99% confidence level and superior categorical forecast skill with a hit rate of 93.3% for 2 × 2 and 73.3% for 3 × 3 contingency tables. Furthermore, the GA method, which considers linear and non-linear relationships between predictors and predictands, shows superiority of forecast skill in terms of both stability and skill scores compared with linear method. Since our result can predict the potential yield before the start of farming, it is expected to help establish a long-term plan to stabilize the demand and price of agricultural products and prepare countermeasures for possible problems in advance.

• Journal of Intelligence and Information Systems
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• v.18 no.2
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• pp.143-156
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• 2012

People easily believe that news and stock index are closely related. They think that securing news before anyone else can help them forecast the stock prices and enjoy great profit, or perhaps capture the investment opportunity. However, it is no easy feat to determine to what extent the two are related, come up with the investment decision based on news, or find out such investment information is valid. If the significance of news and its impact on the stock market are analyzed, it will be possible to extract the information that can assist the investment decisions. The reality however is that the world is inundated with a massive wave of news in real time. And news is not patterned text. This study suggests the stock-index invest model based on "News Big Data" opinion mining that systematically collects, categorizes and analyzes the news and creates investment information. To verify the validity of the model, the relationship between the result of news opinion mining and stock-index was empirically analyzed by using statistics. Steps in the mining that converts news into information for investment decision making, are as follows. First, it is indexing information of news after getting a supply of news from news provider that collects news on real-time basis. Not only contents of news but also various information such as media, time, and news type and so on are collected and classified, and then are reworked as variable from which investment decision making can be inferred. Next step is to derive word that can judge polarity by separating text of news contents into morpheme, and to tag positive/negative polarity of each word by comparing this with sentimental dictionary. Third, positive/negative polarity of news is judged by using indexed classification information and scoring rule, and then final investment decision making information is derived according to daily scoring criteria. For this study, KOSPI index and its fluctuation range has been collected for 63 days that stock market was open during 3 months from July 2011 to September in Korea Exchange, and news data was collected by parsing 766 articles of economic news media M company on web page among article carried on stock information>news>main news of portal site Naver.com. In change of the price index of stocks during 3 months, it rose on 33 days and fell on 30 days, and news contents included 197 news articles before opening of stock market, 385 news articles during the session, 184 news articles after closing of market. Results of mining of collected news contents and of comparison with stock price showed that positive/negative opinion of news contents had significant relation with stock price, and change of the price index of stocks could be better explained in case of applying news opinion by deriving in positive/negative ratio instead of judging between simplified positive and negative opinion. And in order to check whether news had an effect on fluctuation of stock price, or at least went ahead of fluctuation of stock price, in the results that change of stock price was compared only with news happening before opening of stock market, it was verified to be statistically significant as well. In addition, because news contained various type and information such as social, economic, and overseas news, and corporate earnings, the present condition of type of industry, market outlook, the present condition of market and so on, it was expected that influence on stock market or significance of the relation would be different according to the type of news, and therefore each type of news was compared with fluctuation of stock price, and the results showed that market condition, outlook, and overseas news was the most useful to explain fluctuation of news. On the contrary, news about individual company was not statistically significant, but opinion mining value showed tendency opposite to stock price, and the reason can be thought to be the appearance of promotional and planned news for preventing stock price from falling. Finally, multiple regression analysis and logistic regression analysis was carried out in order to derive function of investment decision making on the basis of relation between positive/negative opinion of news and stock price, and the results showed that regression equation using variable of market conditions, outlook, and overseas news before opening of stock market was statistically significant, and classification accuracy of logistic regression accuracy results was shown to be 70.0% in rise of stock price, 78.8% in fall of stock price, and 74.6% on average. This study first analyzed relation between news and stock price through analyzing and quantifying sensitivity of atypical news contents by using opinion mining among big data analysis techniques, and furthermore, proposed and verified smart investment decision making model that could systematically carry out opinion mining and derive and support investment information. This shows that news can be used as variable to predict the price index of stocks for investment, and it is expected the model can be used as real investment support system if it is implemented as system and verified in the future.

• Journal of Intelligence and Information Systems
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• v.20 no.1
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• pp.35-48
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• 2014

According to the 2013 construction market outlook report, the liquidation of construction companies is expected to continue due to the ongoing residential construction recession. Bankruptcies of construction companies have a greater social impact compared to other industries. However, due to the different nature of the capital structure and debt-to-equity ratio, it is more difficult to forecast construction companies' bankruptcies than that of companies in other industries. The construction industry operates on greater leverage, with high debt-to-equity ratios, and project cash flow focused on the second half. The economic cycle greatly influences construction companies. Therefore, downturns tend to rapidly increase the bankruptcy rates of construction companies. High leverage, coupled with increased bankruptcy rates, could lead to greater burdens on banks providing loans to construction companies. Nevertheless, the bankruptcy prediction model concentrated mainly on financial institutions, with rare construction-specific studies. The bankruptcy prediction model based on corporate finance data has been studied for some time in various ways. However, the model is intended for all companies in general, and it may not be appropriate for forecasting bankruptcies of construction companies, who typically have high liquidity risks. The construction industry is capital-intensive, operates on long timelines with large-scale investment projects, and has comparatively longer payback periods than in other industries. With its unique capital structure, it can be difficult to apply a model used to judge the financial risk of companies in general to those in the construction industry. Diverse studies of bankruptcy forecasting models based on a company's financial statements have been conducted for many years. The subjects of the model, however, were general firms, and the models may not be proper for accurately forecasting companies with disproportionately large liquidity risks, such as construction companies. The construction industry is capital-intensive, requiring significant investments in long-term projects, therefore to realize returns from the investment. The unique capital structure means that the same criteria used for other industries cannot be applied to effectively evaluate financial risk for construction firms. Altman Z-score was first published in 1968, and is commonly used as a bankruptcy forecasting model. It forecasts the likelihood of a company going bankrupt by using a simple formula, classifying the results into three categories, and evaluating the corporate status as dangerous, moderate, or safe. When a company falls into the "dangerous" category, it has a high likelihood of bankruptcy within two years, while those in the "safe" category have a low likelihood of bankruptcy. For companies in the "moderate" category, it is difficult to forecast the risk. Many of the construction firm cases in this study fell in the "moderate" category, which made it difficult to forecast their risk. Along with the development of machine learning using computers, recent studies of corporate bankruptcy forecasting have used this technology. Pattern recognition, a representative application area in machine learning, is applied to forecasting corporate bankruptcy, with patterns analyzed based on a company's financial information, and then judged as to whether the pattern belongs to the bankruptcy risk group or the safe group. The representative machine learning models previously used in bankruptcy forecasting are Artificial Neural Networks, Adaptive Boosting (AdaBoost) and, the Support Vector Machine (SVM). There are also many hybrid studies combining these models. Existing studies using the traditional Z-Score technique or bankruptcy prediction using machine learning focus on companies in non-specific industries. Therefore, the industry-specific characteristics of companies are not considered. In this paper, we confirm that adaptive boosting (AdaBoost) is the most appropriate forecasting model for construction companies by based on company size. We classified construction companies into three groups - large, medium, and small based on the company's capital. We analyzed the predictive ability of AdaBoost for each group of companies. The experimental results showed that AdaBoost has more predictive ability than the other models, especially for the group of large companies with capital of more than 50 billion won.