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Analysis of Trading Performance on Intelligent Trading System for Directional Trading (방향성매매를 위한 지능형 매매시스템의 투자성과분석)

  • Choi, Heung-Sik;Kim, Sun-Woong;Park, Sung-Cheol
    • Journal of Intelligence and Information Systems
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    • v.17 no.3
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    • pp.187-201
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    • 2011
  • KOSPI200 index is the Korean stock price index consisting of actively traded 200 stocks in the Korean stock market. Its base value of 100 was set on January 3, 1990. The Korea Exchange (KRX) developed derivatives markets on the KOSPI200 index. KOSPI200 index futures market, introduced in 1996, has become one of the most actively traded indexes markets in the world. Traders can make profit by entering a long position on the KOSPI200 index futures contract if the KOSPI200 index will rise in the future. Likewise, they can make profit by entering a short position if the KOSPI200 index will decline in the future. Basically, KOSPI200 index futures trading is a short-term zero-sum game and therefore most futures traders are using technical indicators. Advanced traders make stable profits by using system trading technique, also known as algorithm trading. Algorithm trading uses computer programs for receiving real-time stock market data, analyzing stock price movements with various technical indicators and automatically entering trading orders such as timing, price or quantity of the order without any human intervention. Recent studies have shown the usefulness of artificial intelligent systems in forecasting stock prices or investment risk. KOSPI200 index data is numerical time-series data which is a sequence of data points measured at successive uniform time intervals such as minute, day, week or month. KOSPI200 index futures traders use technical analysis to find out some patterns on the time-series chart. Although there are many technical indicators, their results indicate the market states among bull, bear and flat. Most strategies based on technical analysis are divided into trend following strategy and non-trend following strategy. Both strategies decide the market states based on the patterns of the KOSPI200 index time-series data. This goes well with Markov model (MM). Everybody knows that the next price is upper or lower than the last price or similar to the last price, and knows that the next price is influenced by the last price. However, nobody knows the exact status of the next price whether it goes up or down or flat. So, hidden Markov model (HMM) is better fitted than MM. HMM is divided into discrete HMM (DHMM) and continuous HMM (CHMM). The only difference between DHMM and CHMM is in their representation of state probabilities. DHMM uses discrete probability density function and CHMM uses continuous probability density function such as Gaussian Mixture Model. KOSPI200 index values are real number and these follow a continuous probability density function, so CHMM is proper than DHMM for the KOSPI200 index. In this paper, we present an artificial intelligent trading system based on CHMM for the KOSPI200 index futures system traders. Traders have experienced on technical trading for the KOSPI200 index futures market ever since the introduction of the KOSPI200 index futures market. They have applied many strategies to make profit in trading the KOSPI200 index futures. Some strategies are based on technical indicators such as moving averages or stochastics, and others are based on candlestick patterns such as three outside up, three outside down, harami or doji star. We show a trading system of moving average cross strategy based on CHMM, and we compare it to a traditional algorithmic trading system. We set the parameter values of moving averages at common values used by market practitioners. Empirical results are presented to compare the simulation performance with the traditional algorithmic trading system using long-term daily KOSPI200 index data of more than 20 years. Our suggested trading system shows higher trading performance than naive system trading.

A Study on the Effect of Using Sentiment Lexicon in Opinion Classification (오피니언 분류의 감성사전 활용효과에 대한 연구)

  • Kim, Seungwoo;Kim, Namgyu
    • Journal of Intelligence and Information Systems
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    • v.20 no.1
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    • pp.133-148
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    • 2014
  • Recently, with the advent of various information channels, the number of has continued to grow. The main cause of this phenomenon can be found in the significant increase of unstructured data, as the use of smart devices enables users to create data in the form of text, audio, images, and video. In various types of unstructured data, the user's opinion and a variety of information is clearly expressed in text data such as news, reports, papers, and various articles. Thus, active attempts have been made to create new value by analyzing these texts. The representative techniques used in text analysis are text mining and opinion mining. These share certain important characteristics; for example, they not only use text documents as input data, but also use many natural language processing techniques such as filtering and parsing. Therefore, opinion mining is usually recognized as a sub-concept of text mining, or, in many cases, the two terms are used interchangeably in the literature. Suppose that the purpose of a certain classification analysis is to predict a positive or negative opinion contained in some documents. If we focus on the classification process, the analysis can be regarded as a traditional text mining case. However, if we observe that the target of the analysis is a positive or negative opinion, the analysis can be regarded as a typical example of opinion mining. In other words, two methods (i.e., text mining and opinion mining) are available for opinion classification. Thus, in order to distinguish between the two, a precise definition of each method is needed. In this paper, we found that it is very difficult to distinguish between the two methods clearly with respect to the purpose of analysis and the type of results. We conclude that the most definitive criterion to distinguish text mining from opinion mining is whether an analysis utilizes any kind of sentiment lexicon. We first established two prediction models, one based on opinion mining and the other on text mining. Next, we compared the main processes used by the two prediction models. Finally, we compared their prediction accuracy. We then analyzed 2,000 movie reviews. The results revealed that the prediction model based on opinion mining showed higher average prediction accuracy compared to the text mining model. Moreover, in the lift chart generated by the opinion mining based model, the prediction accuracy for the documents with strong certainty was higher than that for the documents with weak certainty. Most of all, opinion mining has a meaningful advantage in that it can reduce learning time dramatically, because a sentiment lexicon generated once can be reused in a similar application domain. Additionally, the classification results can be clearly explained by using a sentiment lexicon. This study has two limitations. First, the results of the experiments cannot be generalized, mainly because the experiment is limited to a small number of movie reviews. Additionally, various parameters in the parsing and filtering steps of the text mining may have affected the accuracy of the prediction models. However, this research contributes a performance and comparison of text mining analysis and opinion mining analysis for opinion classification. In future research, a more precise evaluation of the two methods should be made through intensive experiments.

Success Factor in the K-Pop Music Industry: focusing on the mediated effect of Internet Memes (대중음악 흥행 요인에 대한 연구: 인터넷 밈(Internet Meme)의 매개효과를 중심으로)

  • YuJeong Sim;Minsoo Shin
    • Journal of Service Research and Studies
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    • v.13 no.1
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    • pp.48-62
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    • 2023
  • As seen in the recent K-pop craze, the size and influence of the Korean music industry is growing even bigger. At least 6,000 songs are released a year in the Korean music market, but not many can be said to have been successful. Many studies and attempts are being made to identify the factors that make the hit music. Commercial factors such as media exposure and promotion as well as the quality of music play an important role in the commercial success of music. Recently, there have been many marketing campaigns using Internet memes in the pop music industry, and Internet memes are activities or trends that spread in various forms, such as images and videos, as cultural units that spread among people. Depending on the Internet environment and the characteristics of digital communication, contents are expanded and reproduced in the form of various memes, which causes a greater response to consumers. Previously, the phenomenon of Internet memes has occurred naturally, but artists who are aware of the marketing effects have recently used it as an element of marketing. In this paper, the mediated effect of Internet memes in relation to the success factors of popular music was analyzed, and a prediction model reflecting them was proposed. As a result of the analysis, the factors with the mediated effect of 'cover effect' and 'challenge effect' were the same. Among the internal success factors, there were mediated effects in "Singer Recognition," the genres of "POP, Dance, Ballad, Trot and Electronica," and among the external success factors, mediated effects in "Planning Company Capacity," "The Number of Music Broadcasting Programs," and "The Number of News Articles." Predictive models reflecting cover effects and challenge effects showed F1-score at 0.6889 and 0.7692, respectively. This study is meaningful in that it has collected and analyzed actual chart data and presented commercial directions that can be used in practice, and found that there are many success factors of popular music and the mediating effects of Internet memes.