• Title/Summary/Keyword: 포트폴리오 선택

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Performance Comparison of Reinforcement Learning Algorithms for Futures Scalping (해외선물 스캘핑을 위한 강화학습 알고리즘의 성능비교)

  • Jung, Deuk-Kyo;Lee, Se-Hun;Kang, Jae-Mo
    • The Journal of the Convergence on Culture Technology
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    • v.8 no.5
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    • pp.697-703
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    • 2022
  • Due to the recent economic downturn caused by Covid-19 and the unstable international situation, many investors are choosing the derivatives market as a means of investment. However, the derivatives market has a greater risk than the stock market, and research on the market of market participants is insufficient. Recently, with the development of artificial intelligence, machine learning has been widely used in the derivatives market. In this paper, reinforcement learning, one of the machine learning techniques, is applied to analyze the scalping technique that trades futures in minutes. The data set consists of 21 attributes using the closing price, moving average line, and Bollinger band indicators of 1 minute and 3 minute data for 6 months by selecting 4 products among futures products traded at trading firm. In the experiment, DNN artificial neural network model and three reinforcement learning algorithms, namely, DQN (Deep Q-Network), A2C (Advantage Actor Critic), and A3C (Asynchronous A2C) were used, and they were trained and verified through learning data set and test data set. For scalping, the agent chooses one of the actions of buying and selling, and the ratio of the portfolio value according to the action result is rewarded. Experiment results show that the energy sector products such as Heating Oil and Crude Oil yield relatively high cumulative returns compared to the index sector products such as Mini Russell 2000 and Hang Seng Index.

Forecasting Long-Memory Volatility of the Australian Futures Market (호주 선물시장의 장기기억 변동성 예측)

  • Kang, Sang Hoon;Yoon, Seong-Min
    • International Area Studies Review
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    • v.14 no.2
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    • pp.25-40
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    • 2010
  • Accurate forecasting of volatility is of considerable interest in financial volatility research, particularly in regard to portfolio allocation, option pricing and risk management because volatility is equal to market risk. So, we attempted to delineate a model with good ability to forecast and identified stylized features of volatility, with a focus on volatility persistence or long memory in the Australian futures market. In this context, we assessed the long-memory property in the volatility of index futures contracts using three conditional volatility models, namely the GARCH, IGARCH and FIGARCH models. We found that the FIGARCH model better captures the long-memory property than do the GARCH and IGARCH models. Additionally, we found that the FIGARCH model provides superior performance in one-day-ahead volatility forecasts. As discussed in this paper, the FIGARCH model should prove a useful technique in forecasting the long-memory volatility in the Australian index futures market.

Adequacy Analysis of Tunnel Management System in terms of Operational Safety (터널관리시스템의 안전운영 적정성 분석)

  • Park, Bumjin;Roh, Chang-Gyun;Moon, Byeongsup
    • The Journal of The Korea Institute of Intelligent Transport Systems
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    • v.14 no.5
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    • pp.1-12
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    • 2015
  • Length and the number of tunnels has increased 10% annually. Tunnel construction has positive effect in nature and driving condition. However, the structure of tunnels lead to a greater probability of major accidents. For this reason, tunnel is focusing its attention on the rapid incident handling and disaster management to build a tunnel management system in recently. In this study, tunnel management system adequacy analyzed in terms of operational safety using IPA and AHP analysis. IPA analysis results using the portfolio chart, incident management factors has a large gap between important and satisfaction. Disaster management is analyzed high ranking in priority. However, incident management factors are derived first priority in AHP analysis. This study determined that the results are meaningful to practitioners in the field is determined. In addition, practitioners comments should be reflected primarily for tunnel operational safely.

Develop of Instructional Process Plan and Performance Assessment Instrument for 'Energy and Transportation Technology' Unit at the Subject 'Technology-Home Economics' in Middle School (중학교 기술·가정과 '에너지와 수송 기술' 단원의 수업과정안 및 수행평가 도구 개발)

  • Yi, Sang-bong;Lee, Do-Hyun
    • 대한공업교육학회지
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    • v.40 no.2
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    • pp.196-215
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    • 2015
  • The purpose of this study was to develop the instructional process plan and performance assessment instrument to do problem-solving activity for 'Energy and Transportation Technology' unit at the subject 'Technology-Home Economics' in middle school. This study was conducted by the following these stage. First, it was documents research and analysis of the 'Energy and Transportation Technology' unit. Second, topics for transportation technology hands-on and problem-solving activity were selected, and the organized for designed instructional process plan and performance assessment instrument related transportation technology in the development step. Third, developed instructional process plan and performance assessment instrument were conducted in order to amend and improved by expert and have gone through the field test for further improvement. The theme of transportation technology for hand-on and problem-solving activity was 'Created a hovercraft', and were consist of instructional process plan for 8 class period and performance assessment instrument in 4 type of observation, assessment finished, portfolios and student self-assessment.

Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm

  • Jang, Phil-Sik
    • Journal of the Korea Society of Computer and Information
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    • v.27 no.11
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    • pp.147-155
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    • 2022
  • In this study, we developed a system to dynamically balance a daily stock portfolio and performed trading simulations using gradient boosting and genetic algorithms. We collected various stock market data from stocks listed on the KOSPI and KOSDAQ markets, including investor-specific transaction data. Subsequently, we indexed the data as a preprocessing step, and used feature engineering to modify and generate variables for training. First, we experimentally compared the performance of three popular gradient boosting algorithms in terms of accuracy, precision, recall, and F1-score, including XGBoost, LightGBM, and CatBoost. Based on the results, in a second experiment, we used a LightGBM model trained on the collected data along with genetic algorithms to predict and select stocks with a high daily probability of profit. We also conducted simulations of trading during the period of the testing data to analyze the performance of the proposed approach compared with the KOSPI and KOSDAQ indices in terms of the CAGR (Compound Annual Growth Rate), MDD (Maximum Draw Down), Sharpe ratio, and volatility. The results showed that the proposed strategies outperformed those employed by the Korean stock market in terms of all performance metrics. Moreover, our proposed LightGBM model with a genetic algorithm exhibited competitive performance in predicting stock price movements.

A Model for Supporting Information Security Investment Decision-Making Considering the Efficacy of Countermeasures (정보보호 대책의 효과성을 고려한 정보보호 투자 의사결정 지원 모형)

  • Byeongjo Park;Tae-Sung Kim
    • Information Systems Review
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    • v.25 no.4
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    • pp.27-45
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    • 2023
  • The importance of information security has grown alongside the development of information and communication technology. However, companies struggle to select suitable countermeasures within their limited budgets. Sönmez and Kılıç (2021) proposed a model using AHP and mixed integer programming to determine the optimal investment combination for mitigating information security breaches. However, their model had limitations: 1) a lack of objective measurement for countermeasure efficacy against security threats, 2) unrealistic scenarios where risk reduction surpassed pre-investment levels, and 3) cost duplication when using a single countermeasure for multiple threats. This paper enhances the model by objectively quantifying countermeasure efficacy using the beta probability distribution. It also resolves unrealistic scenarios and the issue of duplicating investments for a single countermeasure. An empirical analysis was conducted on domestic SMEs to determine investment budgets and risk levels. The improved model outperformed Sönmez and Kılıç's (2021) optimization model. By employing the proposed effectiveness measurement approach, difficulty to evaluate countermeasures can be quantified. Utilizing the improved optimization model allows for deriving an optimal investment portfolio for each countermeasure within a fixed budget, considering information security costs, quantities, and effectiveness. This aids in securing the information security budget and effectively addressing information security threats.

Development of a Stock Trading System Using M & W Wave Patterns and Genetic Algorithms (M&W 파동 패턴과 유전자 알고리즘을 이용한 주식 매매 시스템 개발)

  • Yang, Hoonseok;Kim, Sunwoong;Choi, Heung Sik
    • 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.

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.

Research of university students' awareness of career development and their preparation for employment (대학생의 진로개발과 취업준비에 대한 인식 연구)

  • Park, Ki-Moon;Lee, Kyu-Nyo
    • 대한공업교육학회지
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    • v.34 no.2
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    • pp.103-127
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    • 2009
  • The purpose of this study is to offer the basic data regarding the problems of the employment training activities and their solutions by way of the research and analysis of the awareness of career development of university students and their preparation for employment opportunities. The results of the study are as follows. First, it is necessary that the students themselves make plans for future jobs and their preparation for them, from the start of their university work. This includes taking employment preparation courses as liberal arts requirements. It also needs to have a systematic association with some organizations such as employment preparation centers. Second, it is necessary that the career portfolios of university students be accepted as materials for objective evaluation so that the companies use them at the time of hiring new employees. If those materials are stored and managed in a database even after their graduation, they will be the strong foundation for the competitive power of the university.Third, it is necessary that university students establish the orientation of employment training in advance, according to their personal and disciplinary possibilities by diagnosing the level of basic employment ability they possess and that they find out the appropriate programs, both personal and disciplinary, to enforce the abilities they need to develop further. Accordingly, it is necessary to have an evaluation system in order to assess student's basic employment abilities, so as to increase the degree of their employment preparation and its support strategy based on the evaluation. Fourth, in the higher education level, university students' lower awareness (M=2.86) of their discipline satisfaction, their major selection, and the university's employment opportunity service shows that it is necessary that there be close connection between learning and work. For short-term purpose, the quantitative and qualitative evaluation must be preceded about the various employment training programs and self-development programs offered by the university. From the long-term perspective, it is urgently necessary that the university ensure the human resources development experts for the purpose of diagnosing employment services within the university.

A Study on Development of Achievement Standards and Assessment Standards of Vocational Inquiry Section for 2005 College Scholastic Ability Test - Focus on Food and Nutrition Subject in the Field of Home Economics Order - (2005 수능 직업탐구영역의 과목별 성취기준과 평가기준 개발 - 식품과 영양 과목을 중심으로 -)

  • Na Hyeon-Ju;Min Kyung-Hee;Lee Hwa-young;Pyo Jum-sun;Ha Mi-ok;Jang Myung-Hee
    • Journal of Korean Home Economics Education Association
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    • v.17 no.2
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    • pp.197-219
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    • 2005
  • This study attempted, in accordance with the National Educational Curriculum, to develop achievement assessment standards for a course within the field of home economics which has been widely adopted by Korean vocational high schools, namely, the food and nutrition subject. Focus was also placed on strengthening the management of the curriculum for this food and nutrition course, as well as on establishing proper assessment standards by developing model assessment tools which can be used to assess the subject. The results of this study can be summarized as follows : First, based on an analysis of the related literature and materials. the desired notion of the achievement and assessment standards was established, and their significance ascertained the achievement and assessment standards for the food and nutrition course were set and the type of model assessment tool which should be developed, as well as the method in which it should be applied. was established Second. by analyzing the curriculums and the contents of the textbooks used in the food and nutrition subject, the researcher was able to compile the 70 factors which could to be used to develop the achievement and assessments standards, and then classify these into 6 main categories and 32 sub-categories. Based on the characteristics of these factors and learners' academic performance levels the number of factors was expanded to 89 in order to establish the achievement standards. In turn, these achievement standards were used, in accordance with the learners' achievement and teaming activity levels, to develop three different levels of assessment standards. namely, upper, middle, and lower ones. Third. a model assessment tool was developed which could be used by individual school units as a reference in terms of achievement and assessment standards, and that could be modified to meet each school's circumstances. In order to create the model assessment tool a 100-question questionnaire was formulated that contained various types of questions, such as essay, report, theoretical and practical, portfolio, as well as multiple choice-type questions. Lastly, the researcher introduced measures to effectively use the achievement and assessment standards developed for the food and nutrition course, as well as the model assessment tool in school units.

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