• 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.

• Journal of KIISE:Software and Applications
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• v.34 no.1
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• pp.1-10
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• 2007

This paper proposes a new indexing mechanism for MPEG-7 visual descriptors, especially Dominant Color and Contour Shape descriptors, that guarantees an efficient similarity search for the multimedia database whose visual meta-data are represented with MPEG-7. Since the similarity metric used in the Dominant Color descriptor is based on Gaussian mixture model, the descriptor itself could be transform into a color histogram in which the distribution of the color values follows the Gauss distribution. Then, the transformed Dominant Color descriptor (i.e., the color histogram) is indexed in the proposed indexing mechanism. For the indexing of Contour Shape descriptor, we have used a two-pass algorithm. That is, in the first pass, since the similarity of two shapes could be roughly measured with the global parameters such as eccentricity and circularity used in Contour shape descriptor, the dissimilar image objects could be excluded with these global parameters first. Then, the similarities between the query and remaining image objects are measured with the peak parameters of Contour Shape descriptor. This two-pass approach helps to reduce the computational resources to measure the similarity of image objects using Contour Shape descriptor. This paper also proposes two integration schemes of visual descriptors for an efficient retrieval of multimedia database. The one is to use the weight of descriptor as a yardstick to determine the number of selected similar image objects with respect to that descriptor, and the other is to use the weight as the degree of importance of the descriptor in the global similarity measurement. Experimental results show that the proposed indexing and integration schemes produce a remarkable speed-up comparing to the exact similarity search, although there are some losses in the accuracy because of the approximated computation in indexing. The proposed schemes could be used to build a multimedia database represented in MPEG-7 that guarantees an efficient retrieval.

• Journal of the Korean Society of Laryngology, Phoniatrics and Logopedics
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• v.14 no.2
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• pp.110-116
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• 2003

Background and Objectives : Laryngeal cancer discrimination using voice signals is a non-invasive method that can carry out the examination rapidly and simply without giving discomfort to the patients. n appropriate analysis parameters and classifiers are developed, this method can be used effectively in various applications including telemedicine. This study examines voice analysis parameters used for laryngeal disease discrimination to help discriminate laryngeal diseases by voice signal analysis. The study also estimates the laryngeal cancer discrimination activity of the Gaussian mixture model (GMM) classifier based on the statistical modelling of voice analysis parameters. Materials and Methods : The Multi-dimensional voice program (MDVP) parameters, which have been widely used for the analysis of laryngeal cancer voice, sometimes fail to analyze the voice of a laryngeal cancer patient whose cycle is seriously damaged. Accordingly, it is necessary to develop a new method that enables an analysis of high reliability for the voice signals that cannot be analyzed by the MDVP. To conduct the experiments of laryngeal cancer discrimination, the authors used three types of voices collected at the Department of Otorhinorlaryngology, Pusan National University Hospital. 50 normal males voice data, 50 voices of males with benign laryngeal diseases and 105 voices of males laryngeal cancer. In addition, the experiment also included 11 voices data of males with laryngeal cancer that cannot be analyzed by the MDVP, Only monosyllabic vowel /a/ was used as voice data. Since there were only 11 voices of laryngeal cancer patients that cannot be analyzed by the MDVP, those voices were used only for discrimination. This study examined the linear predictive cepstral coefficients (LPCC) and the met-frequency cepstral coefficients (MFCC) that are the two major cepstrum analysis methods in the area of acoustic recognition. Results : The results showed that this met frequency scaling process was effective in acoustic recognition but not useful for laryngeal cancer discrimination. Accordingly, the linear frequency cepstral coefficients (LFCC) that excluded the met frequency scaling from the MFCC was introduced. The LFCC showed more excellent discrimination activity rather than the MFCC in predictability of laryngeal cancer. Conclusion : In conclusion, the parameters applied in this study could discriminate accurately even the terminal laryngeal cancer whose periodicity is disturbed. Also it is thought that future studies on various classification algorithms and parameters representing pathophysiology of vocal cords will make it possible to discriminate benign laryngeal diseases as well, in addition to laryngeal cancer.

• The Journal of the Acoustical Society of Korea
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• v.22 no.7
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• pp.519-527
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• 2003

Speech is much influenced by the existence of outliers which are introduced by such an unexpected happenings as additive background noise, change of speaker's utterance pattern and voice detection errors. These kinds of outliers may result in severe degradation of speaker recognition performance. In this paper, we proposed the GMM based on robust principal component analysis (RPCA-GMM) using M-estimation to solve the problems of both ouliers and high dimensionality of training feature vectors in speaker identification. Firstly, a new feature vector with reduced dimension is obtained by robust PCA obtained from M-estimation. The robust PCA transforms the original dimensional feature vector onto the reduced dimensional linear subspace that is spanned by the leading eigenvectors of the covariance matrix of feature vector. Secondly, the GMM with diagonal covariance matrix is obtained from these transformed feature vectors. We peformed speaker identification experiments to show the effectiveness of the proposed method. We compared the proposed method (RPCA-GMM) with transformed feature vectors to the PCA and the conventional GMM with diagonal matrix. Whenever the portion of outliers increases by every 2%, the proposed method maintains almost same speaker identification rate with 0.03% of little degradation, while the conventional GMM and the PCA shows much degradation of that by 0.65% and 0.55%, respectively This means that our method is more robust to the existence of outlier.