• Journal of Intelligence and Information Systems
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• v.29 no.2
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• pp.129-148
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• 2023

Bitcoin is a blockchain technology-based digital currency that has been recognized as a representative cryptocurrency and a financial investment asset. Due to its highly volatile nature, Bitcoin has gained a lot of attention from investors and the public. Based on this popularity, numerous studies have been conducted on price and trend prediction using machine learning and deep learning. This study employed LSTM (Long Short Term Memory) and CNN (Convolutional Neural Networks), which have shown potential for predictive performance in the finance domain, to enhance the classification accuracy in Bitcoin price trend prediction. XAI(eXplainable Artificial Intelligence) techniques were applied to the predictive model to enhance its explainability and interpretability by providing a comprehensive explanation of the model. In the empirical experiment, CNN was applied to technical indicators and Google trend data to build a Bitcoin price trend prediction model, and the CNN model using both technical indicators and Google trend data clearly outperformed the other models using neural networks, SVM, and LSTM. Then SHAP(Shapley Additive exPlanations) was applied to the predictive model to obtain explanations about the output values. Important prediction drivers in input variables were extracted through global interpretation, and the interpretation of the predictive model's decision process for each instance was suggested through local interpretation. The results show that our proposed research framework demonstrates both improved classification accuracy and explainability by using CNN, Google trend data, and SHAP.

• Information Systems Review
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• v.24 no.1
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• pp.105-123
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• 2022

Thanks to the remarkable success of Artificial Intelligence (A.I.) techniques, a new possibility for its application on the real-world problem has begun. One of the prominent applications is the bankruptcy prediction model as it is often used as a basic knowledge base for credit scoring models in the financial industry. As a result, there has been extensive research on how to improve the prediction accuracy of the model. However, despite its impressive performance, it is difficult to implement machine learning (ML)-based models due to its intrinsic trait of obscurity, especially when the field requires or values an explanation about the result obtained by the model. The financial domain is one of the areas where explanation matters to stakeholders such as domain experts and customers. In this paper, we propose a novel approach to incorporate financial domain knowledge into local rule generation to provide explanations for the bankruptcy prediction model at instance level. The result shows the proposed method successfully selects and classifies the extracted rules based on the feasibility and information they convey to the users.

• Journal of the Korean Operations Research and Management Science Society
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• v.23 no.1
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• pp.161-181
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• 1998

Translating expert knowledge into production rules has been the most difficult and time-consuming when building expert systems (Buchanan et al. 1983). Especially, buidling hierarchical structure, i. e. developing sequential or dominant relationship among production rules is one of the most important and difficult processes. Hierarchical relationship among rules has been typically determined in the course of interviewing human experts. Since this interviewing procedure is rather subjective, however, the hierarchically structured rules produced in terms of interviewing is widely exposed to the severe discussion about their validity (Nisbett and Wilson 1977 : Ericsson and Simon 1980 : Kellog 1982). We thus need an objective method to effectively translate human expert knowledge into structured rules. As such a method, this paper suggests the order anlaysis technique that has been studied in psychometries (Cliff 1977 : Reynolds 1981 : Wise 1983). In this paper we briefly introduce the order analysis and explain how it can be applied to building hierarchical structure of production rules. We also illustrate how bankrupcy prediction rules of small-medium companies can be developed using this order analysis technique. Further, we validata the effectiveness of these rules developed by the order analysis, in comparison with those built by other methods. The rules developed by the proposed outperform those of the other traditional methods in effectively screening the bankrupted firms.

• Journal of the Korean Operations Research and Management Science Society
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• v.26 no.4
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• pp.55-70
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• 2001

Artificial neural network(ANN) models have been widely used for the classification problems in business such as bankruptcy prediction, credit evaluation, etc. Although the application of ANN to classification of consumers＇ choice behavior is a promising research area, there have been only a few researches. In general, most of the researches have reported that the classification performance of the ANN models were better than conventional statistical model Because the survey data on consumer behavior may include much noise and missing data, ANN model will be more robust than conventional statistical models welch need various assumptions. The purpose of this paper is to study the potential of the ANN model for forecasting consumers＇ choice behavior based on survey data. The data was collected by questionnaires to the shoppers of department stores and discount stores. Then the correct classification rates of the ANN models for the training and test sample with that of multiple discriminant analysis(MDA) and logistic regression(Logit) model. The performance of the ANN models were betted than the performance of the MDA and Logit model with respect to correct classification rate. By using input variables identified as significant in the stepwise MDA, the performance of the ANN models were improved.

• Convergence Security Journal
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• v.22 no.3
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• pp.79-86
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• 2022

Voice phishing is a cyber crime in which fake financial institutions, the Public Prosecutor's Office, and the National Police Agency are impersonated to find out an individual's Certification number and credit card number or withdraw a deposit. Recently, voice phishing has been carried out in a subtle and secret way. Analyzing the trend of voice phishing that occurred in '18~'21, it was found that there is a seasonality that occurs rapidly at a time when the movement of money is intensifying in the trend of voice phishing, giving ambiguity to time series analysis. In this research, we adjusted seasonality using the X-12 seasonality adjustment methodology for accurate prediction of voice phishing occurrence trends, and predicted the occurrence of voice phishing in 2022 using the ARIMA model.

• Journal of Intelligence and Information Systems
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• v.21 no.3
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• pp.79-99
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• 2015

The prediction of bankruptcy has been extensively studied in the accounting and finance field. It can have an important impact on lending decisions and the profitability of financial institutions in terms of risk management. Many researchers have focused on constructing a more robust bankruptcy prediction model. Early studies primarily used statistical techniques such as multiple discriminant analysis (MDA) and logit analysis for bankruptcy prediction. However, many studies have demonstrated that artificial intelligence (AI) approaches, such as artificial neural networks (ANN), decision trees, case-based reasoning (CBR), and support vector machine (SVM), have been outperforming statistical techniques since 1990s for business classification problems because statistical methods have some rigid assumptions in their application. In previous studies on corporate bankruptcy, many researchers have focused on developing a bankruptcy prediction model using financial ratios. However, there are few studies that suggest the specific types of bankruptcy. Previous bankruptcy prediction models have generally been interested in predicting whether or not firms will become bankrupt. Most of the studies on bankruptcy types have focused on reviewing the previous literature or performing a case study. Thus, this study develops a model using data mining techniques for predicting the specific types of bankruptcy as well as the occurrence of bankruptcy in Korean small- and medium-sized construction firms in terms of profitability, stability, and activity index. Thus, firms will be able to prevent it from occurring in advance. We propose a hybrid approach using two artificial neural networks (ANNs) for the prediction of bankruptcy types. The first is a back-propagation neural network (BPN) model using supervised learning for bankruptcy prediction and the second is a self-organizing map (SOM) model using unsupervised learning to classify bankruptcy data into several types. Based on the constructed model, we predict the bankruptcy of companies by applying the BPN model to a validation set that was not utilized in the development of the model. This allows for identifying the specific types of bankruptcy by using bankruptcy data predicted by the BPN model. We calculated the average of selected input variables through statistical test for each cluster to interpret characteristics of the derived clusters in the SOM model. Each cluster represents bankruptcy type classified through data of bankruptcy firms, and input variables indicate financial ratios in interpreting the meaning of each cluster. The experimental result shows that each of five bankruptcy types has different characteristics according to financial ratios. Type 1 (severe bankruptcy) has inferior financial statements except for EBITDA (earnings before interest, taxes, depreciation, and amortization) to sales based on the clustering results. Type 2 (lack of stability) has a low quick ratio, low stockholder's equity to total assets, and high total borrowings to total assets. Type 3 (lack of activity) has a slightly low total asset turnover and fixed asset turnover. Type 4 (lack of profitability) has low retained earnings to total assets and EBITDA to sales which represent the indices of profitability. Type 5 (recoverable bankruptcy) includes firms that have a relatively good financial condition as compared to other bankruptcy types even though they are bankrupt. Based on the findings, researchers and practitioners engaged in the credit evaluation field can obtain more useful information about the types of corporate bankruptcy. In this paper, we utilized the financial ratios of firms to classify bankruptcy types. It is important to select the input variables that correctly predict bankruptcy and meaningfully classify the type of bankruptcy. In a further study, we will include non-financial factors such as size, industry, and age of the firms. Thus, we can obtain realistic clustering results for bankruptcy types by combining qualitative factors and reflecting the domain knowledge of experts.

• Journal of Intelligence and Information Systems
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• v.18 no.4
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• pp.59-77
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• 2012

This study focuses on predicting which firms will increase capital by issuing new stocks in the near future. Many stakeholders, including banks, credit rating agencies and investors, performs a variety of analyses for firms' growth, profitability, stability, activity, productivity, etc., and regularly report the firms' financial analysis indices. In the paper, we develop predictive models for rights issues using these financial analysis indices and data mining techniques. This study approaches to building the predictive models from the perspective of two different analyses. The first is the analysis period. We divide the analysis period into before and after the IMF financial crisis, and examine whether there is the difference between the two periods. The second is the prediction time. In order to predict when firms increase capital by issuing new stocks, the prediction time is categorized as one year, two years and three years later. Therefore Total six prediction models are developed and analyzed. In this paper, we employ the decision tree technique to build the prediction models for rights issues. The decision tree is the most widely used prediction method which builds decision trees to label or categorize cases into a set of known classes. In contrast to neural networks, logistic regression and SVM, decision tree techniques are well suited for high-dimensional applications and have strong explanation capabilities. There are well-known decision tree induction algorithms such as CHAID, CART, QUEST, C5.0, etc. Among them, we use C5.0 algorithm which is the most recently developed algorithm and yields performance better than other algorithms. We obtained data for the rights issue and financial analysis from TS2000 of Korea Listed Companies Association. A record of financial analysis data is consisted of 89 variables which include 9 growth indices, 30 profitability indices, 23 stability indices, 6 activity indices and 8 productivity indices. For the model building and test, we used 10,925 financial analysis data of total 658 listed firms. PASW Modeler 13 was used to build C5.0 decision trees for the six prediction models. Total 84 variables among financial analysis data are selected as the input variables of each model, and the rights issue status (issued or not issued) is defined as the output variable. To develop prediction models using C5.0 node (Node Options: Output type = Rule set, Use boosting = false, Cross-validate = false, Mode = Simple, Favor = Generality), we used 60% of data for model building and 40% of data for model test. The results of experimental analysis show that the prediction accuracies of data after the IMF financial crisis (59.04% to 60.43%) are about 10 percent higher than ones before IMF financial crisis (68.78% to 71.41%). These results indicate that since the IMF financial crisis, the reliability of financial analysis indices has increased and the firm intention of rights issue has been more obvious. The experiment results also show that the stability-related indices have a major impact on conducting rights issue in the case of short-term prediction. On the other hand, the long-term prediction of conducting rights issue is affected by financial analysis indices on profitability, stability, activity and productivity. All the prediction models include the industry code as one of significant variables. This means that companies in different types of industries show their different types of patterns for rights issue. We conclude that it is desirable for stakeholders to take into account stability-related indices and more various financial analysis indices for short-term prediction and long-term prediction, respectively. The current study has several limitations. First, we need to compare the differences in accuracy by using different data mining techniques such as neural networks, logistic regression and SVM. Second, we are required to develop and to evaluate new prediction models including variables which research in the theory of capital structure has mentioned about the relevance to rights issue.

• KIPS Transactions on Software and Data Engineering
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• v.12 no.6
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• pp.259-266
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• 2023

It is very difficult to measure the performance of the machine learning model in the business service stage. Therefore, managing the performance of the model through the operational department is not done effectively. Academically, various studies have been conducted on the concept drift detection method to determine whether the model status is appropriate. The operational department wants to know quantitatively the performance of the operating model, but concept drift can only detect the state of the model in relation to the data, it cannot estimate the quantitative performance of the model. In this study, we propose a performance prediction model (PPM) that quantitatively estimates precision through the statistics of concept drift. The proposed model induces artificial drift in the sampling data extracted from the training data, measures the precision of the sampling data, creates a dataset of drift and precision, and learns it. Then, the difference between the actual precision and the predicted precision is compared through the test data to correct the error of the performance prediction model. The proposed PPM was applied to two models, a loan underwriting model and a credit card fraud detection model that can be used in real business. It was confirmed that the precision was effectively predicted.

• The Transactions of the Korea Information Processing Society
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• v.1 no.2
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• pp.225-236
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• 1994

Many research result conducted by neural network researchers claimed that the degree of generalization of the neural network system is higher or at least equal to that of statistical methods. However, those successful results could be brought only if the neural network was trained by appropriately sound data, having a little of noisy data and being large enough to control noisy data. Real data used in a lot of fields, especially business fields, were not so sound that the network have frequently failed to obtain satisfactory prediction accuracy, the degree of generalization. Enhancing the degree of generalization with noisy data is discussed in this study. The suggestion, which was obtained through a series of experiments, to enhance the degree of generalization is to remove inconsistent data by checking overlapping and inconsistencies. Furthermore, the previous conclusion by other reports is also confirmed that the learning mechanism of neural network takes average value of two inconsistent data included in training set［2］. The interim results of on-going research project are reported in this paper These are ann architecture of the neural network adopted in this project and the whole idea of developing on-line credit evaluation system,being intergration of the expert(resoning)system and the neural network(learning system.Another definite result is corroborated through this study that quickprop,being agopted as a learing algorithm, also has more speedy learning process than does back propagation even in very noisy environment.

• Journal of Digital Convergence
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• v.15 no.2
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• pp.121-133
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• 2017

The propose of study is to examine the characteristics of companies with high possibility to form an internal control weakness using forecasting model. This study use the actual listed/unlisted companies' data from K_financial institution. The first conclusion is that discriminant model is more valid than logit model to predict internal control weak companies. A discriminant model for predicting the vulnerability of internal control has high classification accuracy and has low the Type II error that is incorrectly classifying vulnerable companies to normal companies. The second conclusion is that the characteristic of weak internal control companies have a low credit rating, low asset soundness assessment, high delinquency rates, lower operating cash flow, high debt ratios, and minus operating profit to the net sales ratio. As not only a case of listed companies but unlisted companies which did not occur in previous studies are extended in this study, research results including the forecasting model can be used as a predictive tool of financial institutions predicting companies with high potential internal control weakness to prevent asset losses.