• Journal of Intelligence and Information Systems
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• v.23 no.2
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• pp.107-122
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• 2017

Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

• Journal of the Institute of Electronics Engineers of Korea SP
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• v.46 no.3
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• pp.96-104
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• 2009

In this paper, we propose a no-reference objective Quality assessment metrics of image. The blockiness and blurring of edge areas which are sensitive to the human visual system are modeled as step functions. Blocking and blur metrics are obtained by estimating local visibility of blockiness and edge width, For the blocking metric, horizontal and vertical blocking lines are first determined by accumulating weighted differences of adjacent pixels and then the local visibility of blockiness at the intersection of blocking lines is obtained from the total difference of amplitudes of the 2-D step function which is modelled as a blocking region. The blurred input image is first re-blurred by a Gaussian blur kernel and an edge mask image is generated. In edge blocks, the local edge width is calculated from four directional projections (horizontal, vertical and two diagonal directions) using local extrema positions. In addition, the kurtosis and SSIM are used to compute the blur metric. The final no-reference objective metric is computed after those values are combined using an appropriate function. Experimental results show that the proposed objective metrics are highly correlated to the subjective data.

• Journal of KIISE:Software and Applications
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• v.36 no.11
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• pp.936-946
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• 2009

A graph cuts method has recently attracted a lot of attentions for image segmentation, as it can globally minimize energy functions composed of data term that reflects how each pixel fits into prior information for each class and smoothness term that penalizes discontinuities between neighboring pixels. In previous approaches to graph cuts-based automatic image segmentation, GMM(Gaussian mixture models) is generally used, and means and covariance matrixes calculated by EM algorithm were used as prior information for each cluster. However, it is practicable only for clusters with a hyper-spherical or hyper-ellipsoidal shape, as the cluster was represented based on the covariance matrix centered on the mean. For arbitrary-shaped clusters, this paper proposes graph cuts-based image segmentation using mean shift analysis. As a prior information to estimate the data term, we use the set of mean trajectories toward each mode from initial means randomly selected in $L^*u^*{\upsilon}^*$ color space. Since the mean shift procedure requires many computational times, we transform features in continuous feature space into 3D discrete grid, and use 3D kernel based on the first moment in the grid, which are needed to move the means to modes. In the experiments, we investigate the problems of mean shift-based and normalized cuts-based image segmentation methods that are recently popular methods, and the proposed method showed better performance than previous two methods and graph cuts-based automatic image segmentation using GMM on Berkeley segmentation dataset.

• Journal of Korea Water Resources Association
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• v.34 no.4
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• pp.303-316
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• 2001

In this study, Radial Basis Function(RBF) Neural Networks Model, a kind of Hybrid Neural Networks was applied to hydrological forecasting in a small watershed. RBF Neural Networks Model has four kinds of parameters in it and consists of unsupervised and supervised training patterns. And Gaussian Kernel Function(GKF) was used among many kinds of Radial Basis Functions(RBFs). K-Means clustering algorithm was applied to optimize centers and widths which ate the parameters of GKF. The parameters of RBF Neural Networks Model such as centers, widths weights and biases were determined by the training procedures of RBF Neural Networks Model. And, with these parameters the validation procedures of RBF Neural Networks Model were carried out. RBF Neural Networks Model was applied to Wi-Stream basin which is one of the IHP Representative basins in South Korea. 10 rainfall events were selected for training and validation of RBF Neural Networks Model. The results of RBF Neural Networks Model were compared with those of Elman Neural Networks(ENN) Model. ENN Model is composed of One Step Secant BackPropagation(OSSBP) and Resilient BackPropagation(RBP) algorithms. RBF Neural Networks shows better results than ENN Model. RBF Neural Networks Model spent less time for the training of model and can be easily used by the hydrologists with little background knowledge of RBF Neural Networks Model.

• Journal of KIISE:Computing Practices and Letters
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• v.15 no.11
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• pp.836-840
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• 2009

Many researchers have studied flash memory in order to replace hard disk storages. Many FTL algorithms have been proposed to overcome physical constraints of flash memory such as erase-before-write, wear leveling, and poor write performance. Therefore, these constraints should be considered for testing FTL algorithms and the performance evaluation of flash memory. As doing the experiments, we suffer from several problems with costs and settings in experimental configuration. When we, for example, replay the traces of Oracle to evaluate the I/O performance with flash memory, it is hard to extract exact traces of I/O operations in Oracle. Since there are only write operations in the log, it is impossible to gather read operations. In MySQL and SQLite, we can gather the read operations by changing I/O functions in the source codes. But it is not easy to search for the exact points about I/O and even if we can find out the points, we might get wrong results depending on how we modify source codes to get I/O traces. The FlaSim proposed in this paper removes the difficulties when we evaluate the performance of FTL algorithms and flash memory. Our Linux drivers emulate the flash memory as a hard disk. And we can easily obtain the usage statistics of flash memory such as the number of write, read, and erase operations. The FlaSim can be gracefully extended to support the additional modules implemented by novel algorithms and ideas. In this paper, we describe the structure of FTL emulator, development tools and operating methods. We expect this emulator to be helpful for many experiments and research with flash memory.

• Korean Journal of Remote Sensing
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• v.21 no.2
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• pp.121-133
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• 2005

Texture imaging, which means texture image creation by co-occurrence relation, has been known as one of the useful image analysis methodologies. For this purpose, most commercial remote sensing software provides texture analysis function named GLCM (Grey Level Co-occurrence Matrix). In this study, texture-imaging program based on GLCM algorithm is newly implemented. As well, texture imaging modules for GLDV (Grey Level Difference Vector) are contained in this program. As for GLCM/GLDV Texture imaging parameters, it composed of six types of second order texture functions such as Homogeneity, Dissimilarity, Energy, Entropy, Angular Second Moment, and Contrast. As for co-occurrence directionality in GLCM/GLDV, two direction modes such as Omni-mode and Circular mode newly implemented in this program are provided with basic eight-direction mode. Omni-mode is to compute all direction to avoid directionality complexity in the practical level, and circular direction is to compute texture parameters by circular direction surrounding a target pixel in a kernel. At the second phase of this study, some case studies with artificial image and actual satellite imagery are carried out to analyze texture images in different parameters and modes by correlation matrix analysis. It is concluded that selection of texture parameters and modes is the critical issues in an application based on texture image fusion.

• Korean Journal of Breeding Science
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• v.42 no.1
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• pp.50-55
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• 2010

The R-r:standard (R-r:std) allele of maize R gene complex consists of S subcomplex and P component; the S subcomplex regulates anthocyanin pigmentation of seed aleurone layer, and the P component confers pigmentation of the other plant parts. The S subcomplex contains two functional genes, S1 and S2 components. In the presence of Pl gene some alleles of R gene induce anthocyanin pigmentation of pericarp. In the present study, the effects of different R alleles on the anthocyanin pigmentation of pericarp in the presence of Pl gene were analyzed in order to identify the R gene component responsible for pericarp pigmentation. The results show that R-ch and r-ch alleles condition similar degrees of pericarp pigmentation, and that R-r:Ecuador (R-r:Ec) conditions stronger pigmentation. The r-ch allele, which is inferred that its S subcomplex has lost function but the P component is normal, induces pericarp pigmentation in the presence of Pl gene. On the contrary, the R-g:g1111 allele, derived from R-r:Ec and inferred that its S subcomplex functions normal but the P component has lost its function, did not induce pericarp pigmentation in the presence of Pl gene. Moreover, PCR analysis of genomic DNA's of R-ch and r-ch indicate that R-ch maintains both P and S1 components, whereas r-ch lacks for the S1 component. Taken together, The results suggest that the P components of R alleles inducing pericarp pigmentation in the presence of Pl gene are responsible for pericarp pigmentation.

• The Transactions of the Korea Information Processing Society
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• v.13 no.2
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• pp.48-59
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• 2024

As functions that support virtualization on their own in hardware are developed, user applications having various workloads are operating efficiently in the virtualization system. SR-IOV is a virtualization support function that takes direct access to PCI devices, thus giving a high I/O performance by minimizing the need for hypervisor or operating system interventions. With SR-IOV, network I/O acceleration can be realized in virtualization systems that have relatively long I/O paths compared to bare-metal systems and frequent context switches between the user area and kernel area. To take performance advantages of SR-IOV, network resource management policies that can derive optimal network performance when SR-IOV is applied to an instance such as a virtual machine(VM) or container are being actively studied.This paper evaluates and analyzes the network performance of SR-IOV implementing I/O acceleration is compared with Virtio in terms of 1) network delay, 2) network throughput, 3) network fairness, 4) performance interference, and 5) multi-network. The contributions of this paper are as follows. First, the network I/O process of Virtio and SR-IOV was clearly explained in the virtualization system, and second, the evaluation results of the network performance of Virtio and SR-IOV were analyzed based on various performance metrics. Third, the system overhead and the possibility of optimization for the SR-IOV network in a virtualization system with high VM density were experimentally confirmed. The experimental results and analysis of the paper are expected to be referenced in the network resource management policy for virtualization systems that operate network-intensive services such as smart factories, connected cars, deep learning inference models, and crowdsourcing.

• Journal of Intelligence and Information Systems
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• v.26 no.1
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• pp.119-133
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• 2020

Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.

• Journal of Intelligence and Information Systems
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• v.25 no.2
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• pp.39-55
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• 2019

Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.