• Title/Summary/Keyword: Pattern mining

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Development of Yóukè Mining System with Yóukè's Travel Demand and Insight Based on Web Search Traffic Information (웹검색 트래픽 정보를 활용한 유커 인바운드 여행 수요 예측 모형 및 유커마이닝 시스템 개발)

  • Choi, Youji;Park, Do-Hyung
    • Journal of Intelligence and Information Systems
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    • v.23 no.3
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    • pp.155-175
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    • 2017
  • As social data become into the spotlight, mainstream web search engines provide data indicate how many people searched specific keyword: Web Search Traffic data. Web search traffic information is collection of each crowd that search for specific keyword. In a various area, web search traffic can be used as one of useful variables that represent the attention of common users on specific interests. A lot of studies uses web search traffic data to nowcast or forecast social phenomenon such as epidemic prediction, consumer pattern analysis, product life cycle, financial invest modeling and so on. Also web search traffic data have begun to be applied to predict tourist inbound. Proper demand prediction is needed because tourism is high value-added industry as increasing employment and foreign exchange. Among those tourists, especially Chinese tourists: Youke is continuously growing nowadays, Youke has been largest tourist inbound of Korea tourism for many years and tourism profits per one Youke as well. It is important that research into proper demand prediction approaches of Youke in both public and private sector. Accurate tourism demands prediction is important to efficient decision making in a limited resource. This study suggests improved model that reflects latest issue of society by presented the attention from group of individual. Trip abroad is generally high-involvement activity so that potential tourists likely deep into searching for information about their own trip. Web search traffic data presents tourists' attention in the process of preparation their journey instantaneous and dynamic way. So that this study attempted select key words that potential Chinese tourists likely searched out internet. Baidu-Chinese biggest web search engine that share over 80%- provides users with accessing to web search traffic data. Qualitative interview with potential tourists helps us to understand the information search behavior before a trip and identify the keywords for this study. Selected key words of web search traffic are categorized by how much directly related to "Korean Tourism" in a three levels. Classifying categories helps to find out which keyword can explain Youke inbound demands from close one to far one as distance of category. Web search traffic data of each key words gathered by web crawler developed to crawling web search data onto Baidu Index. Using automatically gathered variable data, linear model is designed by multiple regression analysis for suitable for operational application of decision and policy making because of easiness to explanation about variables' effective relationship. After regression linear models have composed, comparing with model composed traditional variables and model additional input web search traffic data variables to traditional model has conducted by significance and R squared. after comparing performance of models, final model is composed. Final regression model has improved explanation and advantage of real-time immediacy and convenience than traditional model. Furthermore, this study demonstrates system intuitively visualized to general use -Youke Mining solution has several functions of tourist decision making including embed final regression model. Youke Mining solution has algorithm based on data science and well-designed simple interface. In the end this research suggests three significant meanings on theoretical, practical and political aspects. Theoretically, Youke Mining system and the model in this research are the first step on the Youke inbound prediction using interactive and instant variable: web search traffic information represents tourists' attention while prepare their trip. Baidu web search traffic data has more than 80% of web search engine market. Practically, Baidu data could represent attention of the potential tourists who prepare their own tour as real-time. Finally, in political way, designed Chinese tourist demands prediction model based on web search traffic can be used to tourism decision making for efficient managing of resource and optimizing opportunity for successful policy.

A Study of Industrial Patients from Selected General Hospitals in the Kyung Pook and Taegu City Areas (일부지역 산업재해환자 실태 연구 -대구, 경북지역 일부 종합병원 중심으로-)

  • 허춘복;남철현
    • Journal of Environmental Health Sciences
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    • v.17 no.2
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    • pp.78-94
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    • 1991
  • The purpose of this study is to research the actual conditions of industrial accident patients and to produce worker satisfaction and a rational and effective counter measure pain. Direct interviews with 179 cases (in and out patients) were carried out during a three month period from April to July 1990, at six hospitals two general hospitals Sun Lin and Sung Mo in Po Hang, and four general hospitals in Taegu Kyung Pook University Hospital, Dong San Medical Center, Young Nam Medical Center and Catholic Hospital. The results of this study are summarized as follows: 1. Among the 179 cases, 51.6 % were male and 48.4 % were female. The two largest age groups were 30~39, 31.8 % and 20~29, 27.4 %. Among the 179 cases, 51.6% were married, the largest family number was 2 to 3, 41.1% and 4 to 5, 25.6%. Educationally, graduation from high school was the largest group, 46.4% among the patients, followed by middle school and primary school. The largest group income level was from 40~69만원, 45.2%. The largest group of patients who worked over 50 hrs. a week was 52.0%. The largest group of patients who worked less than 1 year was 44.7%, of the patients in work places of less than 100 people, 60.3% were injured and in work places of 100~299 people, 20.1% were injured. In manufacturing, the lagest group injured was 55.3%, the next group was transport, stroage, communication. The largest group of production workers injured was 40.2%. 2. The cause of injury in the largest group was facility problems, 33.5%. The next group was unsafe habits, 30.2% a lack of safety knowledge, 17.9% and insufficient supervision, 12.3%. The 30~39 year age group was head the highest number of injuries, 40.4% work places with more than 10 yeras of work, 44.4% work palces with more than 1000 people, 56.3% and mining accidents, 80.0%. Among these groups the highest cause of injury was due to facility problems. 3. The accident pattern showed machinery injuries 28.5% as the largest group, followed by falls & falling objects 17.3%, fire & electric 15.1%, struke by an object 14.5%, followed by overaction and vehicular accidents. The accident pattern showed 46.4 % among workers over the 50 year age group, workers in the 5~10 year group, 50.0 % places employing more than 1000 workers, 35.3 % : construction 73.7%, and construction workers 57.1%, among these fall & falling objects caused the greatest number of injuries. 4. The largest group of injuries was fractures 54.8%, trauma 14.5%, amputation 11.7%, open wound, and burns. The largest number of fractures occurred in people in the 30~39 year age group, 63.2 % over 10 years of work, 55.6% in work places of 300~400 people, 63.6% construction 63.2% and general workers 57.2 %. 5. The largest group of injuries was upper extremity 45.3%, lower extremity 24.0%, trunk 18.5 % and head or neck 12.2%. Of these groups, upper extremity injuries were the highest in those less 20 years old 75.0%, less than 1 years of work 59.5%, in work places of 500~999 people 60.0%, manufacturing 56.6 % and production workers 55.6%. 6. Periods of injury showed 34 people injured in September, to be the largest followed by October, 32 August, 22 people July, 19 people and the lowest December, 2 people. During the week, Friday had the largest group injured, 35 people followed by Saturday, 26 people and the lowest was Wednesday, 17 people, During the day 1400 hours had the largest group injured, 38 people followed by 800 hours, 31 people. 7. On a basis of 5 as the highest mark, the average, according to worker satisfaction showed facility safety 3.55, work environment 3.47, income 3.44, job 3.21 and treatment 2.98. 8. The correlation between general characteristics and injury showed that age was directly correlated to the duration of work(r=.2591) p<0.01, age was directly correlated to industry (r=2311) p<0.01, and the duration was directly correlated to occupation(r =.4372) p<0.001.

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A Study of Industrial Patients from Selected General in the Kyung Pook and Taegu City areas (일부지역 산업재해환자 실태 조사 연구 -대구${\cdot}$경북지역 일부 종합병원 중심으로-)

  • Huh, Choon-Bok
    • The Journal of Korean Physical Therapy
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    • v.3 no.1
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    • pp.151-174
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    • 1991
  • The purpose of this study is to research the actual conditions of industrial accident patients and to produce worker satisfaction and a rational and effective counter measure plan. Direct interviews with 179 cases (in and out patients) were carried out during a three month period from April to July 1990, at six hospitals : two general hospitals Sun Lin and Sung Mo in Po Hang, and four general hospitals in Taegu : Kyung pooh University Hospital, Dong San Medical Center, Young Nam Medical Center and Catholic Hospital. The results of this study are summarized as fellows : 1. Among the 179 cases, $51.6\%$ were male and $48.4\%$ were female. The two largest age groups were 30-39, $31.8\%$ and 20-29, $27.4\%$. Among the 179 cases, $51.6\%$ were married, the largest family number was 2 to 3, $41.1\%$ and 4 to 5, $25.6\%$. Educationally, graduation from high school was the largest group, $46.4\%$ among ,the patients, followed by middle school and primary school. The largest group income level was from 40-69 만원, $45.2\%$. The largest group of patients who worked over 50 hrs. a week was $52.0\%$. The largest group of patients who worked less than 1 year was $44.7\%$, of the patients in work places of less than 100 people, $60.3\%$ were injured and in work places of 100-299 people, $20.1\%$ were injured. In manufacturing, the largest group injured was $55.3\%$, the next group was transport, storage, communication. The largest group of production workers injured was $40.2\%$. 2. The cause of injury in the largest group was facility problems, $33.5\%$. The next group was unsafe habits, $30.2\%$ ; a lack of safety knowledge, $17.9\%$ ; and insufficient supervision, $12.3\%$. The 30-39 year age group head the highest number of injuries, $40.4\%$ ; work places with more than 10 years of work, $44.4\%$ ; work places with more than 1000 people, $56.3\%$ and mining accidents, $80.0\%$. Among. these groups the highest cause of injury was due to facility problems. 3. The accident pattern showed machinery injuries $28.5\%$ as the largest group, followed by falls & falling objects $17.3\%$, fire & electric $15.1\%$, strucke by an object $14.5\%$, followed by overaction and vehicular accidents. The accident pattern showed $46.4\%$ among workers over the 50 year age group, workers in the 5-10 year group, $50.0\%$ ; places employing more than 1000 workers, $35.3\%$ ; construction $73.7\%$, and construction workers $57.1\%$, among these fall & falling objects caused the greatest number of injuries. 4. The largest group of injuries was fractures $54.8\%$, trauma $14.5\%$, amputation $11.7\%$, open wound, and burns. The largest number of fractures occurred in people in the 30-39 year age group, $63.2\%$ : over 10 years of work, $55.0\%$ ; in work places of 300-490 people, $63.6\%$ ; construction $63.2\%$ and general workers $57.2\%$. 5. The largest group of injuries was upper extremity $45.3\%$, lower extremity $24.0\%$, trunk $18.5\%$ and head or neck $12.2\%$. Of these groups, upper extremity injuries were the highest in those less than 20 years old $75.0\%$, less than 1 year or work $59.5\%$, in work places of 500-999 people $60.0\%$, manufacturing $56.6\%$ and production workers $55.6\%$. 6. Periods of injury showed 34 people injured in September, to be the largest followed by October, 32 ; August, 22 people : July, 19 people and the lowest December, 2 people. During the week, Friday had the largest group injured, 35 people ; followed by Saturday, 26 people and the lowest was Wednesday, 17 people, During the day 1400 hours had the largest group injured, 38 people ; followed by 800 hours, 31 people. 7. On a basis of 5 as the highest mark, the average, according to worker satisfaction showed facility safety 3.55, work environment 3.47, income 3.44, job 3.21 and treatment 2.98. 8. The correlation between general characteristics and injury showed that age was directly correlated to the duration of work (r=2591) p<0.01, age was directly correlated to industry (r=2311) p<0.01, and the duration was directly correlated to occupation (r=4372) p<0.001.

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Development of Topic Trend Analysis Model for Industrial Intelligence using Public Data (텍스트마이닝을 활용한 공개데이터 기반 기업 및 산업 토픽추이분석 모델 제안)

  • Park, Sunyoung;Lee, Gene Moo;Kim, You-Eil;Seo, Jinny
    • Journal of Technology Innovation
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    • v.26 no.4
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    • pp.199-232
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    • 2018
  • There are increasing needs for understanding and fathoming of business management environment through big data analysis at industrial and corporative level. The research using the company disclosure information, which is comprehensively covering the business performance and the future plan of the company, is getting attention. However, there is limited research on developing applicable analytical models leveraging such corporate disclosure data due to its unstructured nature. This study proposes a text-mining-based analytical model for industrial and firm level analyses using publicly available company disclousre data. Specifically, we apply LDA topic model and word2vec word embedding model on the U.S. SEC data from the publicly listed firms and analyze the trends of business topics at the industrial and corporate levels. Using LDA topic modeling based on SEC EDGAR 10-K document, whole industrial management topics are figured out. For comparison of different pattern of industries' topic trend, software and hardware industries are compared in recent 20 years. Also, the changes of management subject at firm level are observed with comparison of two companies in software industry. The changes of topic trends provides lens for identifying decreasing and growing management subjects at industrial and firm level. Mapping companies and products(or services) based on dimension reduction after using word2vec word embedding model and principal component analysis of 10-K document at firm level in software industry, companies and products(services) that have similar management subjects are identified and also their changes in decades. For suggesting methodology to develop analysis model based on public management data at industrial and corporate level, there may be contributions in terms of making ground of practical methodology to identifying changes of managements subjects. However, there are required further researches to provide microscopic analytical model with regard to relation of technology management strategy between management performance in case of related to various pattern of management topics as of frequent changes of management subject or their momentum. Also more studies are needed for developing competitive context analysis model with product(service)-portfolios between firms.

Analyzing Contextual Polarity of Unstructured Data for Measuring Subjective Well-Being (주관적 웰빙 상태 측정을 위한 비정형 데이터의 상황기반 긍부정성 분석 방법)

  • Choi, Sukjae;Song, Yeongeun;Kwon, Ohbyung
    • Journal of Intelligence and Information Systems
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    • v.22 no.1
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    • pp.83-105
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    • 2016
  • Measuring an individual's subjective wellbeing in an accurate, unobtrusive, and cost-effective manner is a core success factor of the wellbeing support system, which is a type of medical IT service. However, measurements with a self-report questionnaire and wearable sensors are cost-intensive and obtrusive when the wellbeing support system should be running in real-time, despite being very accurate. Recently, reasoning the state of subjective wellbeing with conventional sentiment analysis and unstructured data has been proposed as an alternative to resolve the drawbacks of the self-report questionnaire and wearable sensors. However, this approach does not consider contextual polarity, which results in lower measurement accuracy. Moreover, there is no sentimental word net or ontology for the subjective wellbeing area. Hence, this paper proposes a method to extract keywords and their contextual polarity representing the subjective wellbeing state from the unstructured text in online websites in order to improve the reasoning accuracy of the sentiment analysis. The proposed method is as follows. First, a set of general sentimental words is proposed. SentiWordNet was adopted; this is the most widely used dictionary and contains about 100,000 words such as nouns, verbs, adjectives, and adverbs with polarities from -1.0 (extremely negative) to 1.0 (extremely positive). Second, corpora on subjective wellbeing (SWB corpora) were obtained by crawling online text. A survey was conducted to prepare a learning dataset that includes an individual's opinion and the level of self-report wellness, such as stress and depression. The participants were asked to respond with their feelings about online news on two topics. Next, three data sources were extracted from the SWB corpora: demographic information, psychographic information, and the structural characteristics of the text (e.g., the number of words used in the text, simple statistics on the special characters used). These were considered to adjust the level of a specific SWB. Finally, a set of reasoning rules was generated for each wellbeing factor to estimate the SWB of an individual based on the text written by the individual. The experimental results suggested that using contextual polarity for each SWB factor (e.g., stress, depression) significantly improved the estimation accuracy compared to conventional sentiment analysis methods incorporating SentiWordNet. Even though literature is available on Korean sentiment analysis, such studies only used only a limited set of sentimental words. Due to the small number of words, many sentences are overlooked and ignored when estimating the level of sentiment. However, the proposed method can identify multiple sentiment-neutral words as sentiment words in the context of a specific SWB factor. The results also suggest that a specific type of senti-word dictionary containing contextual polarity needs to be constructed along with a dictionary based on common sense such as SenticNet. These efforts will enrich and enlarge the application area of sentic computing. The study is helpful to practitioners and managers of wellness services in that a couple of characteristics of unstructured text have been identified for improving SWB. Consistent with the literature, the results showed that the gender and age affect the SWB state when the individual is exposed to an identical queue from the online text. In addition, the length of the textual response and usage pattern of special characters were found to indicate the individual's SWB. These imply that better SWB measurement should involve collecting the textual structure and the individual's demographic conditions. In the future, the proposed method should be improved by automated identification of the contextual polarity in order to enlarge the vocabulary in a cost-effective manner.

The Geochemistry of Copper-bearing Hydrothermal Vein Deposits in Goseong Mining District (Samsan Area), Gyeongsang Basin, Korea (경상분지내 삼산지역 열수동광상에 관한 지화학적 연구)

  • Choi, Sang Hoon;So, Chil Sup;Kweon, Soon Hag;Choi, Kwang Jun
    • Economic and Environmental Geology
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    • v.27 no.2
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    • pp.147-160
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    • 1994
  • Copper-bearing hydrothermal vein mineralization of the Samsan area was deposited in two stages (I and II) of quartz-calcite-sulfide veins which fill fissures in Cretaceous volcanic and sedimentary rocks of the Gyeongsang basin. The major ore minerals, chalcopyrite and sphalerite, together with pyrite, galena, hematite, and minor sulfosalts, occur with epidote and chlorite as gangue minerals in stage I quartz veins. Chlorite geothermometry, fluid inclusion and stable isotope data indicate that copper ore was deposited mainly at temperatures between $330^{\circ}C$ and $280^{\circ}C$ from fluids with salinities between 12 and 3 equiv. wt % NaCl. Evidence of fluid boiling indicates a range of pressures from ${\leq}100$ to 200 bars bars. Within ore stage I there was an apparent decrease in ${\delta}^{34}S$ values of $H_{2}S$ with paragenetic time, from 8.0 to 2.3 per mil. This pattern was likely achieved through progressive increases in activity of oxygen accompanying boiling and mixing. In the early part of the first stage, the high temperature, high salinity fluids gave way to progressively cooler and more dilute fluids of the late parts in the first stage and of the second stage. There is a systematic decrease in calculated ${\delta}^{18}O_{water}$ values with decreasing temperature in the Samsan hydrothermal system, from values of -86 per mil for early portion of stage I through -5.9 per mil for late portion of stage I to -6.3 per mil for stage II. The ${\delta}D$ values of fluid inclusion waters also decrease with paragenetic time from -76 per mil to -86 per mil. These trends combined with mineral paragenesis and fluid inclusion data are interpreted to indicate progressive cooler, more oxidizing meteoric water inundation of an early exchanged meteoric hydrothermal system.

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Structural and Compositional Characteristics of Skarn Zinc-Lead Deposits in the Yeonhwa-Ulchin Mining District, Southeastern Taebaegsan Region, Korea Part I: The Yeonhwa I Mine

  • Yun, Suckew
    • Economic and Environmental Geology
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    • v.12 no.2
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    • pp.51-73
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    • 1979
  • The zinc-lead deposits at the Yeonhwa I mine were investigated in terms of ore-forming geologic setting, structural style of ore control, geometry of individual orebodies, zoning, paragenesis and chemical composition of skarn minerals, as well as metal grades and ratios of selected orebodies. The Yeonhwa I mine is characterized by a large swarm of chimney type massive orebodies with thin skarn envelopes, boldly developed through a thick sequence of Pungchon Limestone, the overlying Hwajeol Formation, and the underlying Myobong Slate of Cambrian age. Nearly 20 orebodies of similar shape, but of varying size are arranged in a V-shaped pattern with northwest and northeast trends, clearly indicating an outstanding ore control by a conjugate system of fractures with these trends. Important orebodies are the Wolam 1, 2, 3, and 5 orebodies in the west, and the Namsan 1, 2, 3. and 5 orebodies in the east, among others. The Wolam 1 orebody, which was observed from the -360 level through the -240, -120, and 0 levels to the surface outcrops (totaling a vertical height of about 500m), shows a vertical variation in skarn mineralogy, ranging from pyroxene-garnet zone on the lower levels. through pyroxene (without garnet) zone on the intermediate levels, and finally to rhodochrosite vein on the upper levels and surface. Microprobe analyses of pyroxene and garnet on a total of 14 mineral grains revealed that pyroxenes are manganoan salitic in most samples, with downward increase of Fe and Mn, whereas garnets are highly andraditic, containing fractions of subordinate grossular with downward decrease of Fe. This indicates a reverse relationship of Fe-contents between pyroxene and garnet with depth. Ore minerals are major sphalerite, subordinate galena, and minor chalcopyrite. Sulfide gangue minerals include major pyrrhotite, and minor pyrite and marcasite of later age. Two types of variational trends in metal grades and ratios with depth are present on the plots of assay data from the Wolam orebodies: one is a steady upward increase in Pb, Zn, and Pb:Zn ratios, with a terminal decline at the top of orebody: the other is an irregular or sinusoidal change. The former is characteristic of chimney-type orebodies, whereas the latter is of vein· shaped orebodies. The Pb grades show large variations among orebodies and from level to level, whereas the Zn grades are relatively constand or less variable.

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Geochemical Characteristics of Granodiorite and Arenaceous Sedimentary Rocks in Chon-Ashuu Area, Kyrgyzstan (키르키스스탄 촌아슈 지역 화강섬록암질암 및 사질원 퇴적암의 지화학적 특징)

  • Kim, Soo-Young;Chi, Sei-Jung;Park, Sung-Won
    • Economic and Environmental Geology
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    • v.44 no.4
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    • pp.273-288
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    • 2011
  • Chon-Ashuu copper mining claim area is located, in terms of the geotectonic setting, in the northern part of the suture line which is bounded with the marginal part of Issik-kul micro-continent on the southern part of North Tien-Shan terrane. The geological blocks of Chon-Ashuu districts belong to the southern tip of Kazakhstan orocline. The rock formation of this area are composed of the continental crust or/and arc collage and the paleo-continental fragments-accretionary wedge complex of pre-Altaid orogenic materials. ASI(Alumina Saturation Index) of Paleozoic plutonic rocks in Chon-Ashuu area belong to the peraluminous and metaluminous rocks which were generated from fractional crystallization of Island and volcanic arc crusts in syn-post collisional plate. The geology of the ChonAshuu area consists of upper Proterozoic and Paleozoic rock formations. According to Harker variation diagrams for Chon-Ashuu arenaceous sedimentary rocks, the silty sandstone of Chon-Ashuu area showing the mineralogical immaturity were derived from Island arc or the marginal environments of active continent in Cambro-Carboniferous period. Numerous intrusive rocks of Chon-Ashuu area are distributed along north east trending tectonic structures and are bounded on four sides by the conjugate pattern. The most common type of the plutonic rocks are granodiorite and monzodiorite. According to the molecular normative An-Ab-Or composition (Barker, 1979), the plutonic rocks in Chon-Ashuu area are classified into tonalite - trondhjemite - granodiorite (TTG) series which are an aggregation of rocks which is the country rock of copper mineralization, that are formed by melting of hydrous mafic crust at high pressure.

Gravity Survey Around the Palgongsan Granitic Body and Its Vicinity (팔공산화강암체와 그 인근지역에서의 중력탐사 연구)

  • Hwang, Jong-Sun;Min, Kyung-Duck;Choi, Chul;Yu, Sang-Hoon
    • Economic and Environmental Geology
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    • v.36 no.4
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    • pp.305-312
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    • 2003
  • This study was performed to delineate the subsurface geology, geologic structure, and distribution pattern of the Palgongsan granitic body, and to reveal the relationship between the Kyeongsang basin and Yongnam massif by gravity survey. The study area is located between the latitude of 35$^{\circ}$45'-36$^{\circ}$21'N and longitude of 128$^{\circ}$15'-129$^{\circ}$00'E. Total of 966 gravity data measured by Seoul National University, KlGAM(Korea Institute of Geology, Mining & Materials), Pusan National University and Yonsei University were used. The Bouguer gravity anomaly in the study area ranges from -12.88 to 26.01 mgal with a mean value of 11.27 mgal. A very low anomaly zone is located in the Yongnam massif in west of the study area. The anomaly value increases going from west to east. A low anomaly distribution in Palgongsan granite and Yongnam massif is interpreted as the effect of their lower density than that of Kyeongsang Super Group. Power spectrum analysis is applied to evaluate the average depth of basement the Kyeongsang Basin and Conrad discontinuity from gravity anomaly. The average depths of density discontinuities are calculated 10.45 km and 4.9 km, and these are interpreted as Conrad discontinuity and depth of basement of the Kyeongsang Basin, respectively. The depth of Palgongsan granite is derived by means of 2-dimensional modeling and it decreases gradually toward the east. The gravity anomaly east of the study area decreases abruptly due to Shingryeong fault and Nogosan ring fault. Two deepest and sharp roots of Palgongsan granite are recognized by 2-dimensional modeling of each profiles. The depths of those roots are 5.3 km on a profile AA' and 7 km on a profile BB' which is the maximum depth of Palgongsan granite. Small granitic bodies are also seen to be intruded around the Palgongsan granite. The root of Palgongsan granite is shown by 3-dimensional analysis based on the interpolation of 2-dimensional modeling along each profiles to exist in the southwest vicinity of Palgongsan granite. The total volume of Palgongsan granite is approximately 31.211 $Km^3$.

Selection Model of System Trading Strategies using SVM (SVM을 이용한 시스템트레이딩전략의 선택모형)

  • Park, Sungcheol;Kim, Sun Woong;Choi, Heung Sik
    • Journal of Intelligence and Information Systems
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    • v.20 no.2
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    • pp.59-71
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    • 2014
  • System trading is becoming more popular among Korean traders recently. System traders use automatic order systems based on the system generated buy and sell signals. These signals are generated from the predetermined entry and exit rules that were coded by system traders. Most researches on system trading have focused on designing profitable entry and exit rules using technical indicators. However, market conditions, strategy characteristics, and money management also have influences on the profitability of the system trading. Unexpected price deviations from the predetermined trading rules can incur large losses to system traders. Therefore, most professional traders use strategy portfolios rather than only one strategy. Building a good strategy portfolio is important because trading performance depends on strategy portfolios. Despite of the importance of designing strategy portfolio, rule of thumb methods have been used to select trading strategies. In this study, we propose a SVM-based strategy portfolio management system. SVM were introduced by Vapnik and is known to be effective for data mining area. It can build good portfolios within a very short period of time. Since SVM minimizes structural risks, it is best suitable for the futures trading market in which prices do not move exactly the same as the past. Our system trading strategies include moving-average cross system, MACD cross system, trend-following system, buy dips and sell rallies system, DMI system, Keltner channel system, Bollinger Bands system, and Fibonacci system. These strategies are well known and frequently being used by many professional traders. We program these strategies for generating automated system signals for entry and exit. We propose SVM-based strategies selection system and portfolio construction and order routing system. Strategies selection system is a portfolio training system. It generates training data and makes SVM model using optimal portfolio. We make $m{\times}n$ data matrix by dividing KOSPI 200 index futures data with a same period. Optimal strategy portfolio is derived from analyzing each strategy performance. SVM model is generated based on this data and optimal strategy portfolio. We use 80% of the data for training and the remaining 20% is used for testing the strategy. For training, we select two strategies which show the highest profit in the next day. Selection method 1 selects two strategies and method 2 selects maximum two strategies which show profit more than 0.1 point. We use one-against-all method which has fast processing time. We analyse the daily data of KOSPI 200 index futures contracts from January 1990 to November 2011. Price change rates for 50 days are used as SVM input data. The training period is from January 1990 to March 2007 and the test period is from March 2007 to November 2011. We suggest three benchmark strategies portfolio. BM1 holds two contracts of KOSPI 200 index futures for testing period. BM2 is constructed as two strategies which show the largest cumulative profit during 30 days before testing starts. BM3 has two strategies which show best profits during testing period. Trading cost include brokerage commission cost and slippage cost. The proposed strategy portfolio management system shows profit more than double of the benchmark portfolios. BM1 shows 103.44 point profit, BM2 shows 488.61 point profit, and BM3 shows 502.41 point profit after deducting trading cost. The best benchmark is the portfolio of the two best profit strategies during the test period. The proposed system 1 shows 706.22 point profit and proposed system 2 shows 768.95 point profit after deducting trading cost. The equity curves for the entire period show stable pattern. With higher profit, this suggests a good trading direction for system traders. We can make more stable and more profitable portfolios if we add money management module to the system.