• Title/Summary/Keyword: Limit Order Book

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A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures

  • Lee, Yongjae;Kim, Woo Chang
    • Management Science and Financial Engineering
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    • v.19 no.1
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    • pp.37-41
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    • 2013
  • This study presents an application of stochastic model for limit order book (LOB) dynamics to Korean Stock Index Futures (KOSPI 200 Futures). Since KOSPI 200 futures market is widely known as one of the most liquid markets in the world, direct application of an existing model is hardly possible. Therefore, we modified an existing model to successfully model and predict the dynamics of extremely liquid KOSPI 200 futures market.

Classification Algorithm-based Prediction Performance of Order Imbalance Information on Short-Term Stock Price (분류 알고리즘 기반 주문 불균형 정보의 단기 주가 예측 성과)

  • Kim, S.W.
    • Journal of Intelligence and Information Systems
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    • v.28 no.4
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    • pp.157-177
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    • 2022
  • Investors are trading stocks by keeping a close watch on the order information submitted by domestic and foreign investors in real time through Limit Order Book information, so-called price current provided by securities firms. Will order information released in the Limit Order Book be useful in stock price prediction? This study analyzes whether it is significant as a predictor of future stock price up or down when order imbalances appear as investors' buying and selling orders are concentrated to one side during intra-day trading time. Using classification algorithms, this study improved the prediction accuracy of the order imbalance information on the short-term price up and down trend, that is the closing price up and down of the day. Day trading strategies are proposed using the predicted price trends of the classification algorithms and the trading performances are analyzed through empirical analysis. The 5-minute KOSPI200 Index Futures data were analyzed for 4,564 days from January 19, 2004 to June 30, 2022. The results of the empirical analysis are as follows. First, order imbalance information has a significant impact on the current stock prices. Second, the order imbalance information observed in the early morning has a significant forecasting power on the price trends from the early morning to the market closing time. Third, the Support Vector Machines algorithm showed the highest prediction accuracy on the day's closing price trends using the order imbalance information at 54.1%. Fourth, the order imbalance information measured at an early time of day had higher prediction accuracy than the order imbalance information measured at a later time of day. Fifth, the trading performances of the day trading strategies using the prediction results of the classification algorithms on the price up and down trends were higher than that of the benchmark trading strategy. Sixth, except for the K-Nearest Neighbor algorithm, all investment performances using the classification algorithms showed average higher total profits than that of the benchmark strategy. Seventh, the trading performances using the predictive results of the Logical Regression, Random Forest, Support Vector Machines, and XGBoost algorithms showed higher results than the benchmark strategy in the Sharpe Ratio, which evaluates both profitability and risk. This study has an academic difference from existing studies in that it documented the economic value of the total buy & sell order volume information among the Limit Order Book information. The empirical results of this study are also valuable to the market participants from a trading perspective. In future studies, it is necessary to improve the performance of the trading strategy using more accurate price prediction results by expanding to deep learning models which are actively being studied for predicting stock prices recently.

Deep Learning-based Stock Price Prediction Using Limit Order Books and News Headlines (호가창(Limit Order Book)과 뉴스 헤드라인을 이용한 딥러닝 기반 주가 변동 예측)

  • Ryoo, Euirim;Kim, Chaehyeon;Lee, Ki Yong
    • Proceedings of the Korea Information Processing Society Conference
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    • 2021.11a
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    • pp.541-544
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    • 2021
  • 본 논문은 어떤 기업의 주식 주문 정보를 담고 있는 호가창(limit order book)과 해당 기업과 관련된 뉴스 헤드라인을 사용하여 해당 기업의 주가 등락을 예측하는 딥러닝 기반 모델을 제안한다. 제안 모델은 호가창의 중기 변화와 단기 변화를 모두 고려하는 한편, 동기간 발생한 뉴스 헤드라인까지 예측에 고려함으로써 주가 등락 예측 정확도를 높인다. 제안 모델은 호가창의 변화의 특징을 CNN(convolutional neural network)으로 추출하고 뉴스 헤드라인을 Word2vec으로 생성된 단어 임베딩 벡터를 사용하여 나타낸 뒤, 이들 정보를 결합하여 특정 기업 주식의 다음 날 등락여부를 예측한다. NASDAQ 실데이터를 사용한 실험을 통해 제안 모델로 5개 종목(Amazon, Apple, Facebook, Google, Tesla)의 일일 주가 등락을 예측한 결과, 제안 모델은 기존 방법에 비해 정확도를 최대 17.14%, 평균 10.7% 향상시켰다.

Deep Learning-based Stock Price Prediction Using Limit Order Books and News Headlines (호가창과 뉴스 헤드라인을 이용한 딥러닝 기반 주가 변동 예측 기법)

  • Ryoo, Euirim;Lee, Ki Yong;Chung, Yon Dohn
    • The Journal of Society for e-Business Studies
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    • v.27 no.1
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    • pp.63-79
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    • 2022
  • Recently, various studies have been conducted on stock price prediction using machine learning and deep learning techniques. Among these studies, the latest studies have attempted to predict stock prices using limit order books, which contain buy and sell order information of stocks. However, most of the studies using limit order books consider only the trend of limit order books over the most recent period of a specified length, and few studies consider both the medium and short term trends of limit order books. Therefore, in this paper, we propose a deep learning-based prediction model that predicts stock price more accurately by considering both the medium and short term trends of limit order books. Moreover, the proposed model considers news headlines during the same period to reflect the qualitative status of the company in the stock price prediction. The proposed model extracts the features of changes in limit order books with CNNs and the features of news headlines using Word2vec, and combines these information to predict whether a particular company's stock will rise or fall the next day. We conducted experiments to predict the daily stock price fluctuations of five stocks (Amazon, Apple, Facebook, Google, Tesla) with the proposed model using the real NASDAQ limit order book data and news headline data, and the proposed model improved the accuracy by up to 17.66%p and the average by 14.47%p on average. In addition, we conducted a simulated investment with the proposed model and earned a minimum of $492.46 and a maximum of $2,840.93 depending on the stock for 21 business days.

Design of the Copyright Protection for ePub e-Book System using Certification Information (인증 정보를 이용한 전자책 ePub의 저작권 보호 시스템 설계)

  • Jang, Seung-Ju
    • Journal of the Korea Institute of Information and Communication Engineering
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    • v.19 no.9
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    • pp.2197-2204
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    • 2015
  • In recent times, the high-tech society has become the most important issue by IT technology and publication network. Today such flows have also been the case in the e-book field. Today's electronic publication is changing day by day. But there are some problems according to the prevalence of e-book. E-book is similar to p-book(paper-book). There is a limit to have perfect feeling of a texture of p-book. In order to purchase an e-book, people use online. People having malicious intent could copy and distribute it illegally. It leads to cyber abuses. This paper aims at the copyright protection of e-book ePub writers. The proposed e-book copyright protection system is designed using e-book production Sigil environment and C program environment. This system uses client-server communication through e-book ePub as authentication information. It discerns whether to permit or not for a client to read the e-book using authentication information. Authentication information includes ID, password, IP address, limited time of authentication information, GUID(Globally Unique Identifier). If authentication information about e-book meets requirements, people can use it. But if not, it blocks people's approach by quitting program.

Correlations between Spatial Distribution of Alien Plants and Land Cover - Focused on National Ecosystem Survey - (외래식물의 공간분포와 토지피복간의 상관성 연구 - 전국자연환경조사 자료를 중심으로 -)

  • Jung, Tae-Jun;Shin, Hyun-Chul;Shin, Young-Kyu;Kim, Myung-Jin
    • Journal of Environmental Impact Assessment
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    • v.22 no.5
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    • pp.455-466
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    • 2013
  • The aim of this study is to seek application plans of National Ecosystem Survey database based on comparison and examination of feasible analysis methods for distribution characteristics of alien plants. In order to set up a correlation analysis method between alien plants and environmental factors, we had reviewed the 3rd National Ecosystem Survey guide book and consequently, two kinds of analysis method were tested. One was 1/25,000 scale map boundary based analysis and the other was representative mountain area based analysis. In this study we restricted the research area to select reliable surveyed database from whole "2011 National Ecosystem Survey flora database" according to two major criteria. First, an area defined by 1/25,000 scale map boundary and representative mountain area where the number of surveyed flora records should be within top 20%. Second, land cover map should also be built up inside that area. As a result, 25 map boundaries and 25 representative mountain areas were extracted to be analyzed. To limit a boundary for every representative mountain area we had analyzed distribution of environmental factors around that area by manual inspection with SPOT-5 remote sensed satellite image then designated 3km buffer zone from each alien plant location in that area. After then, naturalized index (NI) and urbanized index (UI) was calculated and correlations analysis was carried out. With the result of correlation analysis by map boundary only agricultural land area showed significant value of r (0.4~0.6, correlated) and the rest of factors did not. In the case of representative mountain area, the result showed that agricultural land, road and forest area showed significant value of r (0.6~0.8, highly correlated) which was corresponding to existing researches. Therefore, representative mountain area based method is preferable when using the alien plants database of National Ecosystem Survey for species distribution analysis. And also, considering the way of database utilization is strongly suggested at the first stage of survey planning for promoting active use of national ecosystem survey database.

Study on Establishment of Space Operation Plan for Yangpyeong-gun Public Library (양평군 공공도서관 공간 운영 계획 수립에 관한 연구)

  • Inho Chang;Younghee Noh;Woojung Kwak
    • Journal of the Korean BIBLIA Society for library and Information Science
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    • v.35 no.1
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    • pp.301-324
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    • 2024
  • In this study, we attempted to propose operational directions for each space in order to transform the newly built library in Yangpyeong-gun into a space for cultural enjoyment and creativity development for local residents. To this end, the purpose is to understand the space composition status of Yangpyeong-gun public libraries and establish an operation plan (draft) for the space to be constructed. To this end, we analyzed the names, operation status, and cases of similar spaces in other libraries, and analyzed the spatial characteristics of library cases to establish a space operation plan for the Yangpyeong-gun public library. As a result of the study, it is important to utilize spaces such as children's resource rooms to improve early reading habits for infants and children, contribute to development, and develop various senses, and small theaters should be planned with a focus on large-scale performances. Furniture and space for reading and relaxation should be provided next to Byeokmyeonga & Bookstair, and it should be operated as a communication space where small talk is possible within a certain limit. It is necessary to operate the multipurpose room by activating experiential creative activities and creative performances. It is necessary for the club room to establish an operation plan through regular communication and opinion sharing. The maker space space is a space that supports various creative activities, and the general data room is a place that provides materials on all topics and must be operated by regularly communicating with users and reflecting their opinions. Lastly, I would like to suggest that the family room should be used like a book cafe where children and parents can freely drink tea together in the same space.

On the Bibliographies of Chinese Historical Books - Classifying and cataloguing system of six historical bibliographies - (중국의 사지서목에 대하여 -육사예문$\cdot$경적지의 분류 및 편목체재 비교를 중심으로-)

  • Kang Soon-Ae
    • Journal of the Korean Society for Library and Information Science
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    • v.24
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    • pp.289-332
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    • 1993
  • In china, six bibliographies of offical historical books are evaluated at the most important things among the systematically-editing bibliographies. These bibliographies would be usful to study the orign of classical sciences and their development, bibliographic research of Chinese classics, bibliographic judgement on genuine books, titles, authors, volumes. They could be refered to research into graving, correcting, and existence of ancient books. therefore, these bibliographies would be applied to estimation the phase of scientific and cultural development. The study of these bibliographies has been not yet made in Korea. This thesis lays its importance on the background of their appearance, their classification norms, organizing system of their catalogue, and comparison between their difference. 1. Editing and compiling of Chilyak (칠약) by Liu Chin (유흠) and official histories played an important role of entering an apperance of historical book's bibliographies. Chilyak has been lost. However, its classification and compiling system of classical books would be traced by Hansoyemunji(한서예문지) of which basic system is similar to Chilyak. It classified books according to their scientific characteristic. If a few books didn't have their own categories, they were combined by the circles parallel to the books' characteristic. With the books classified under the same scientific characteristic, they were again divided into the scientific schools or structures. It also arranged the same kinds of books according to the chronology. The some books wi th duplicate subjects were classified multiplely by their duplicate subject. 2. Ssu-ma Chon's (사마천) The Historical Records (Saki, 사기) and Pan Ku's (반고) The History of the Former Han Dynasty (Hanso, 한서) has also took effects on appearance of historical books' bibliographies. Covering overall history, Saki was structured by the five parts: The basic annals(본기), the chronological tables (표), the documents (서), the hereditary houses (세가), biographies (열전). The basic annals dealt with kings and courts' affairs according to the chronology. The chronological tables was the records of the annals. The documents described overall the social and cultural systems. The hereditary houses recorded courts' meritorious officials and public figures. The biographies showed exemplars of seventy peoples selected by their social status. Pan Ku(반구)'s The History of the Former Han Dynasty(한서) deserved to be called the prototype for the offical histories after Saki's (사기; The Historical Records) apperance. Although it modelled on Saki, it had set up its own cataloguing system. It was organized by four parts; the basic annals (본기), the chronological tables (표), treatises(지), biographies (열전). The documents in the Hanso(한서) was converted into treatises(지). The hereditary houses and biographies were merged. For the first time, the treatise with The Yemunji could operate function for historical bibliographies. 3. There were six historical bibliographies: Hansoyemunji(한서예문지), Susokyongjeokji (수서경적지), Kudangsokyongjeokji(구당서경적지), Shindangsoyemunji (신당서예문지), Songsayemunji (송사예문지), Myongsayemunji (명사예문지). 1) Modelling on Liu Chin's Chilyak except Chipryak(집략), Hansoyemunji divided the characteristic of the books and documents into six parts: Yukrye(육예), Cheja(제자), Shibu(시부), Pyongsoh(병서), Susul(수술), Pangki(방기). Under six parts, there were thirty eight orders in Hansoyemunji. To its own classification, Hansoyemunji applied the Chilyak's theory of classification that the books or documents were managed according to characteristic of sciences, the difference of schools, the organization of sentences. However the overlapped subjects were deleted and unified into one. The books included into an unsuitable subject were corrected and converted into another. The Hansoyemunji consisted of main preface (Taesoh 대서), minor preface (Sosoh 소서) , the general preface (Chongso 총서). It also recorded the introduction of books and documents, the origin of sciences, the outline of subjects, and the establishment of orders. The books classified by the subject had title, author, and volumes. They were rearranged by titles and the chronological publication year. Sometimes author was the first access point to catalogue the books. If it was necessary for the books to take footnotes, detail notes were formed. The Volume number written consecutively to order and subject could clarify the quantity of books. 2) Refering to Classfication System by Seven Norms (칠분법) and Classification System by Four Norms(사분법), Susokyongjeokji(수서경적지) had accomplished the classification by four norms. In fact, its classification largely imitated Wanhyosoh(완효서)'s Chilrok(칠록), Susokyongjeokji's system of classification consisted of four parts-Kyung(경), Sa(사), Cha(자), Chip(칩). The four parts were divided into 40 orders. Its appendix was again divided into two parts, Buddihism and Taiosm. Under the two parts there were fifteen orders. Totally Susokyongjeokji was made of six parts and fifty five orders. In comparison with Hansoyemunji(한서예문지), it clearly showed the conception of Kyung, Sa, Cha, Chip. Especially it deserved to be paid attention that Hansoyemunji laied history off Chunchu(춘추) and removed history to Sabu(사부). However Chabu(사부) put many contrary subjects such as Cheja(제자), Kiye(기예), Sulsu(술수), Sosol(소설) into the same boundary, which committed errors insufficient theoretical basis. Anothor demerit of Susokyongjeokji was that it dealt with Taiosm scriptures and Buddism scriptures at the appendix because they were considered as quasi-religion. Its compilation of bibliographical facts consisted of main preface(Taesoh 대서), minor preface(Sosoh 소서), general preface (Chongsoh 총서), postscript (Husoh 후서). Its bibliological facts mainly focused on the titles. Its recorded authors' birth date and their position. It wrote the lost and existence of books consecutive to total number of books, which revealed total of the lost books in Su Dynasty. 3) Modelling on the basis of Kokumsorok(고분서록) and Naewaekyongrok(내외경록), Kudangsokyongjeokji(구당서경적지) had four parts and fourty five orders. It was estimated as the important role of establishing basic frame of classification by four norms in classification theory's history. However it had also its own limit. Editing and compling orders of Kudangsokyongjeokji had been not progressively changed. Its orders imitated by and large Susokyongjeokji. In Its system of organizing catalogue, with its minor preface and general preface deleting, Kudangsokyongjeokji by titles after orders sometimes broke out confusion because of unclear boundaries between orders. 4) Shindangsoyemunji(신당서예문지), adding 28,469 books to Kudangsokyongjeokji, recorded 82,384 books which were divided by four parts and fourty four orders. In comparison with Kudangkyongjeokj, Sindangsoyemunji corrected unclear order's norm. It merged the analogical norms four orders (for instance, Kohun 고훈 and Sohakryu 소학류) and seperated the different norms four orders (for example, Hyokyong 효경 and Noneuhryu 논어류, Chamwi 참위 and Kyonghaeryu 경해류, Pyonryon 편년 and Wisaryu 위사류). Recording kings' behaviors and speeches (Kikochuryu 기거주류) in the historical parts induced the concept of specfication category. For the first time, part of Chipbu (집부) set up the order of classification norm for historical and literatural books and documents (Munsaryu 문사류). Its editing and compiling had been more simplified than Kudangsokyongjeokji. Introduction was written at first part of bibliographies. Appendants except bibliographic items such subject, author, title, volume number, total were omitted. 5) Songsayemunji(송사예문지) were edited in the basis of combining Puksong(북송) and Namsong(남송), depending on Sabukuksayemunji(사부국사예문지). Generally Songsayemunji had lost a lot of bibliographical facts of many books. They were duplicated and wrongly classified books because it committed an error of the incorrectly annalistic editing. Particularly Namsong showed more open these defaults. Songsayemunji didin't include the books published since the king Youngchong(영종). Its system of classification was more better controlled. Chamwiryu(참위류) in the part of Kyongbu(경부) was omitted. In the part of history(Sabu 사부), recordings of kings' behaviors and speeches more merged in the annals. Historical abstract documents (Sachoryu 사초류) were seperately arranged. In the part of Chabu(자부), Myongdangkyongmaekryu(명당경맥류) and Euisulryu(의술류) were combined. Ohangryu(오행류) were laied off Shikuryu(시구류). In the part of Chipbu(집부), historical and literatural books (Munsaryu 문사류) were independentely arranged. There were the renamed orders; from Wisa(위사) to Paesa(패사), Chapsa (잡사) to Pyolsa(열사), Chapchonki(잡전기) to Chonki(전기), Ryusoh(류서) to Ryusa(류서). Introduction had only main preface. The books of each subject catalogued by title, the volume number, and author and arranged mainly by authors. Annotations were written consecutively after title and the volume number. In the afternote the number of not-treated books were revealed. Difference from Singdangsohyemunji(신당서예문지) were that the concept and boundary of orders became more clearer. It also wrote the number of books consecutive to main subject. 6) Modelling on Chonkyongdangsomok (경당서목), Myongsayemunji(명사예문지) was compiled in the basis of books and documents published in the Ming Danasty. In classification system, Myongsayemunji partly merged and the seperated some orders for it. It also deleted and renamed some of orders. In case of necessity, combining of orders' norm was occured particulary in the part of Sabu(사부) and Chabu(자부). Therefore these merging of orders norm didn't offer sufficient theretical background. For example, such demerits were seen in the case that historical books edited by annals were combined with offical historical ones which were differently compiled and edited from the former. In the part of Chabu(자부), it broke out another confusion that Pubga(법가), Meongga(명가), Mukga(묵가), Chonghweongka's(종횡가) thoughts were classified in the Chapka(잡가). Scriptures of Taiosim and Buddhism were seperated from each other. There were some deleted books such as Mokrokryu(목록류), Paesaryu(패사류) in the part of history (Sabu 사부) and Chosaryu(초사류) in the part of Chipbu(집부). The some in the each orders had been renamed. Imitating compiling system of Songsayemunji(송사예문지), with reffering to its differ-ence, Myongsayemunji(명사예문지) wrote the review and the change of the books by author. The number of not-treated books didn't appear at the total. It also deleted the total following main subject.

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