• Title/Summary/Keyword: Algorithm trading

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DoS/DDoS attacks Detection Algorithm and System using Packet Counting (패킷 카운팅을 이용한 DoS/DDoS 공격 탐지 알고리즘 및 이를 이용한 시스템)

  • Kim, Tae-Won;Jung, Jae-Il;Lee, Joo-Young
    • Journal of the Korea Society for Simulation
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    • v.19 no.4
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    • pp.151-159
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    • 2010
  • Currently, by using the Internet, We can do varius things such as Web surfing, email, on-line shopping, stock trading on your home or office. However, as being out of the concept of security from the beginning, it is the big social issues that malicious user intrudes into the system through the network, on purpose to steal personal information or to paralyze system. In addition, network intrusion by ordinary people using network attack tools is bringing about big worries, so that the need for effective and powerful intrusion detection system becomes very important issue in our Internet environment. However, it is very difficult to prevent this attack perfectly. In this paper we proposed the algorithm for the detection of DoS attacks, and developed attack detection tools. Through learning in a normal state on Step 1, we calculate thresholds, the number of packets that are coming to each port, the median and the average utilization of each port on Step 2. And we propose values to determine how to attack detection on Step 3. By programing proposed attack detection algorithm and by testing the results, we can see that the difference between the median of packet mounts for unit interval and the average utilization of each port number is effective in detecting attacks. Also, without the need to look into the network data, we can easily be implemented by only using the number of packets to detect attacks.

Rough Set Analysis for Stock Market Timing (러프집합분석을 이용한 매매시점 결정)

  • Huh, Jin-Nyung;Kim, Kyoung-Jae;Han, In-Goo
    • Journal of Intelligence and Information Systems
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    • v.16 no.3
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    • pp.77-97
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    • 2010
  • Market timing is an investment strategy which is used for obtaining excessive return from financial market. In general, detection of market timing means determining when to buy and sell to get excess return from trading. In many market timing systems, trading rules have been used as an engine to generate signals for trade. On the other hand, some researchers proposed the rough set analysis as a proper tool for market timing because it does not generate a signal for trade when the pattern of the market is uncertain by using the control function. The data for the rough set analysis should be discretized of numeric value because the rough set only accepts categorical data for analysis. Discretization searches for proper "cuts" for numeric data that determine intervals. All values that lie within each interval are transformed into same value. In general, there are four methods for data discretization in rough set analysis including equal frequency scaling, expert's knowledge-based discretization, minimum entropy scaling, and na$\ddot{i}$ve and Boolean reasoning-based discretization. Equal frequency scaling fixes a number of intervals and examines the histogram of each variable, then determines cuts so that approximately the same number of samples fall into each of the intervals. Expert's knowledge-based discretization determines cuts according to knowledge of domain experts through literature review or interview with experts. Minimum entropy scaling implements the algorithm based on recursively partitioning the value set of each variable so that a local measure of entropy is optimized. Na$\ddot{i}$ve and Booleanreasoning-based discretization searches categorical values by using Na$\ddot{i}$ve scaling the data, then finds the optimized dicretization thresholds through Boolean reasoning. Although the rough set analysis is promising for market timing, there is little research on the impact of the various data discretization methods on performance from trading using the rough set analysis. In this study, we compare stock market timing models using rough set analysis with various data discretization methods. The research data used in this study are the KOSPI 200 from May 1996 to October 1998. KOSPI 200 is the underlying index of the KOSPI 200 futures which is the first derivative instrument in the Korean stock market. The KOSPI 200 is a market value weighted index which consists of 200 stocks selected by criteria on liquidity and their status in corresponding industry including manufacturing, construction, communication, electricity and gas, distribution and services, and financing. The total number of samples is 660 trading days. In addition, this study uses popular technical indicators as independent variables. The experimental results show that the most profitable method for the training sample is the na$\ddot{i}$ve and Boolean reasoning but the expert's knowledge-based discretization is the most profitable method for the validation sample. In addition, the expert's knowledge-based discretization produced robust performance for both of training and validation sample. We also compared rough set analysis and decision tree. This study experimented C4.5 for the comparison purpose. The results show that rough set analysis with expert's knowledge-based discretization produced more profitable rules than C4.5.

An Integrated Multi-Product Inventory Model for a Two-Echelon Supply Chain under Cap-and-Trade Mechanism (배출권거래제 하에서 2단계 공급사슬에서 다품목의 통합재고모형)

  • Kim, Dae-Hong
    • Journal of Korean Society of Industrial and Systems Engineering
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    • v.42 no.4
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    • pp.61-68
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    • 2019
  • Currently many companies are interested in reduction of the carbon emissions associated with their supply chain activities such as transportation and operations. Operational decisions, such as modifications in order quantities could an effective way in reducing carbon emissions in the supply chain. Cap-and-trade regulation, sometimes called emissions trading, is a market-based tool to limit greenhouse gas emissions. Under cap-and-trade regulation, emission credits are allocated to the firms and the firms trades emissions under cap-and-trade schemes. In this paper, we propose a single-manufacturer single-buyer two-echelon supply chain problem under the cap-and-trade mechanism incorporating the carbon emissions caused by transportation and warehousing activities where a single manufacturer produces a family of items in order to deliver a family of items to a single buyer at a fixed interval of time for effective implementation of Just-In-Time (JIT) Purchasing. An integrated multi-product lot-splitting model of facilitating multiple shipments in small lots between buyer and manufacturer is developed in a JIT Purchasing environment. Also, an iterative heuristic algorithm is developed to derive the common order interval, the number of intervals for each product and the number of shipments between the buyer and the manufacturer during the common interval. A numerical example is given to illustrate the savings in reduction of total cost and carbon emissions by the inventory model incorporating cap-and-trade mechanism compared to the classical inventory model. The proposed inventory model could be useful for the practical solution of two-echelon supply chain inventory problem under cap-and-trade mechanism.

A Study on the Performance Evaluation of Elliptic Curve Cryptography based on a Real Number Field (실수체 기반 타원곡선 암호의 성능 평가에 관한 연구)

  • Woo, Chan-Il;Goo, Eun-Hee;Lee, Seung-Dae
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.14 no.3
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    • pp.1439-1444
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    • 2013
  • Recently, as the use of the applications like online banking and stock trading is increasing by the rapid development of the network, security of data content is becoming more and more important. Accordingly, public key or symmetric key encryption algorithm is widely used in open networks such as the internet for the protection of data. Generally, public key cryptographic systems is based on two famous number theoretic problems namely factoring or discrete logarithm problem. So, public key cryptographic systems is relatively slow compared to symmetric key cryptography systems. Among public key cryptographic systems, the advantage of ECC compared to RSA is that it offers equal security for a far smaller key. For this reason, ECC is faster than RSA. In this paper, we propose a efficient key generation method for elliptic curve cryptography system based on the real number field.

Hansel and Gretel : GFG Detection Scheme Based on In-Game Item Transactions (헨젤과 그레텔 : 게임 내 아이템 거래를 기반으로 한 GFG 탐지 방안)

  • Lee, Gyung Min;Kim, Huy Kang
    • Journal of the Korea Institute of Information Security & Cryptology
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    • v.28 no.6
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    • pp.1415-1425
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    • 2018
  • MMORPG genre is based on the belief that all users in virtual world are equal. All users are able to obtain the corresponding wealth or status as they strive under the same resource, time. However, game bot is the main factor for harming this fair competition, causing benign gamers to feel a relative deprivation and deviate from the game. Game bots mainly form GFG(Gold Farming Group), which collects the goods in the game indiscriminately and adversely affects the economic system of the game. A general game bot detection algorithm is useful for detecting each bot, but it only covers few portions of GFG, not the whole, so it needs a wider range of detecting method. In this paper, we propose a method of detecting GFG based on items used in MMORPG genre. Several items that are mainly traded in the game were selected and the flows of those items were represented by a network. We Identified the characteristics of exchanging items of GFG bots and can identify the GFG's item trade network with real datasets from one of the popular online games.

A Study on Issues and Tasks of Humanity and Social Science in a Fourth Industrial Revolution Era (제4차 산업혁명시대 인문사회학적 쟁점과 과제에 관한 연구)

  • Kim, Jin-Young;Heo, Wan-Gyu
    • Journal of Digital Convergence
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    • v.16 no.11
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    • pp.137-147
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    • 2018
  • To prepare for and implement policies for the Fourth Industrial Revolution, which is characterized by convergence, super-connectivity, and AI, this study summarized the effects and characteristics of individual technologies on our society and discussed the issues with humanity and social science perspectives. As a result, in terms of AI technology, the issues of job losses, project-type works, basic income and robot taxes, accountability of AI, and algorithm inequality were dealt with. Security, cyber hacking and privacy infringement issues were highlighted in big-data technology. In the part of block-chain and bioengineering, the society of decentralization, the concentration, digital divide, and ethical issues were discussed. On-demand economic aspects highlighted the problems of civil ethics and human commercialization. Lastly, the development of VR is discussed including side effects such as cyber-syndrom, avoidance of reality, and so on.

Design and Implementation of a Non-Face-to-Face Oriented Location-Based Service Software (비대면 지향의 위치-기반 서비스 소프트웨어 설계 및 구현)

  • Park, Hyuk Gyu;Won, Dong Hyun;Shin, Kwang Sung
    • Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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    • 2021.10a
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    • pp.580-581
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    • 2021
  • There are various Location-Based Services(LBS) that apply GPS technology in mobile devices such as smart-phone and tablet. In this paper, we designed non-face-to-face oriented LBS software in the reality that non-face-to-face services are increasing due to COVID-19. The proposed model searches location information for trading goods or services and utilizes information identified in real time. The proposed scheduling and priority control algorithm provides efficient service allocations and simulation was performed based on web/app to verify this. While commercialized LBS platforms focus on used goods transactions, the designed method is different in that it provides non-face-to-face services and not-direct transactions between individuals. It provides a wide range of transactions and services to users such as small business owners and franchises.

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Detecting gold-farmers' group in MMORPG by analyzing connection pattern (연결패턴 정보 분석을 통한 온라인 게임 내 불량사용자 그룹 탐지에 관한 연구)

  • Seo, Dong-Nam;Woo, Ji-Young;Woo, Kyung-Moon;Kim, Chong-Kwon;Kim, Huy-Kang
    • Journal of the Korea Institute of Information Security & Cryptology
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    • v.22 no.3
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    • pp.585-600
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    • 2012
  • Security issues in online games are increasing as the online game industry grows. Real money trading (RMT) by online game users has become a security issue in several countries including Korea because RMT is related to criminal activities such as money laundering or tax evasion. RMT-related activities are done by professional work forces, namely gold-farmers, and many of them employ the automated program, bot, to gain cyber asset in a quick and efficient way. Online game companies try to prevent the activities of gold-farmers using game bots detection algorithm and block their accounts or IP addresses. However, game bot detection algorithm can detect a part of gold-farmer's network and IP address blocking also can be detoured easily by using the virtual private server or IP spoofing. In this paper, we propose a method to detect gold-farmer groups by analyzing their connection patterns to the online game servers, particularly information on their routing and source locations. We verified that the proposed method can reveal gold-farmers' group effectively by analyzing real data from the famous MMORPG.

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.

Stock Price Prediction by Utilizing Category Neutral Terms: Text Mining Approach (카테고리 중립 단어 활용을 통한 주가 예측 방안: 텍스트 마이닝 활용)

  • Lee, Minsik;Lee, Hong Joo
    • Journal of Intelligence and Information Systems
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    • v.23 no.2
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    • pp.123-138
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    • 2017
  • Since the stock market is driven by the expectation of traders, studies have been conducted to predict stock price movements through analysis of various sources of text data. In order to predict stock price movements, research has been conducted not only on the relationship between text data and fluctuations in stock prices, but also on the trading stocks based on news articles and social media responses. Studies that predict the movements of stock prices have also applied classification algorithms with constructing term-document matrix in the same way as other text mining approaches. Because the document contains a lot of words, it is better to select words that contribute more for building a term-document matrix. Based on the frequency of words, words that show too little frequency or importance are removed. It also selects words according to their contribution by measuring the degree to which a word contributes to correctly classifying a document. The basic idea of constructing a term-document matrix was to collect all the documents to be analyzed and to select and use the words that have an influence on the classification. In this study, we analyze the documents for each individual item and select the words that are irrelevant for all categories as neutral words. We extract the words around the selected neutral word and use it to generate the term-document matrix. The neutral word itself starts with the idea that the stock movement is less related to the existence of the neutral words, and that the surrounding words of the neutral word are more likely to affect the stock price movements. And apply it to the algorithm that classifies the stock price fluctuations with the generated term-document matrix. In this study, we firstly removed stop words and selected neutral words for each stock. And we used a method to exclude words that are included in news articles for other stocks among the selected words. Through the online news portal, we collected four months of news articles on the top 10 market cap stocks. We split the news articles into 3 month news data as training data and apply the remaining one month news articles to the model to predict the stock price movements of the next day. We used SVM, Boosting and Random Forest for building models and predicting the movements of stock prices. The stock market opened for four months (2016/02/01 ~ 2016/05/31) for a total of 80 days, using the initial 60 days as a training set and the remaining 20 days as a test set. The proposed word - based algorithm in this study showed better classification performance than the word selection method based on sparsity. This study predicted stock price volatility by collecting and analyzing news articles of the top 10 stocks in market cap. We used the term - document matrix based classification model to estimate the stock price fluctuations and compared the performance of the existing sparse - based word extraction method and the suggested method of removing words from the term - document matrix. The suggested method differs from the word extraction method in that it uses not only the news articles for the corresponding stock but also other news items to determine the words to extract. In other words, it removed not only the words that appeared in all the increase and decrease but also the words that appeared common in the news for other stocks. When the prediction accuracy was compared, the suggested method showed higher accuracy. The limitation of this study is that the stock price prediction was set up to classify the rise and fall, and the experiment was conducted only for the top ten stocks. The 10 stocks used in the experiment do not represent the entire stock market. In addition, it is difficult to show the investment performance because stock price fluctuation and profit rate may be different. Therefore, it is necessary to study the research using more stocks and the yield prediction through trading simulation.