• Title/Summary/Keyword: Price forecasting

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Robo-Advisor Algorithm with Intelligent View Model (지능형 전망모형을 결합한 로보어드바이저 알고리즘)

  • Kim, Sunwoong
    • 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.

A Study on the Prediction Model of Stock Price Index Trend based on GA-MSVM that Simultaneously Optimizes Feature and Instance Selection (입력변수 및 학습사례 선정을 동시에 최적화하는 GA-MSVM 기반 주가지수 추세 예측 모형에 관한 연구)

  • Lee, Jong-sik;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.23 no.4
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    • pp.147-168
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    • 2017
  • There have been many studies on accurate stock market forecasting in academia for a long time, and now there are also various forecasting models using various techniques. Recently, many attempts have been made to predict the stock index using various machine learning methods including Deep Learning. Although the fundamental analysis and the technical analysis method are used for the analysis of the traditional stock investment transaction, the technical analysis method is more useful for the application of the short-term transaction prediction or statistical and mathematical techniques. Most of the studies that have been conducted using these technical indicators have studied the model of predicting stock prices by binary classification - rising or falling - of stock market fluctuations in the future market (usually next trading day). However, it is also true that this binary classification has many unfavorable aspects in predicting trends, identifying trading signals, or signaling portfolio rebalancing. In this study, we try to predict the stock index by expanding the stock index trend (upward trend, boxed, downward trend) to the multiple classification system in the existing binary index method. In order to solve this multi-classification problem, a technique such as Multinomial Logistic Regression Analysis (MLOGIT), Multiple Discriminant Analysis (MDA) or Artificial Neural Networks (ANN) we propose an optimization model using Genetic Algorithm as a wrapper for improving the performance of this model using Multi-classification Support Vector Machines (MSVM), which has proved to be superior in prediction performance. In particular, the proposed model named GA-MSVM is designed to maximize model performance by optimizing not only the kernel function parameters of MSVM, but also the optimal selection of input variables (feature selection) as well as instance selection. In order to verify the performance of the proposed model, we applied the proposed method to the real data. The results show that the proposed method is more effective than the conventional multivariate SVM, which has been known to show the best prediction performance up to now, as well as existing artificial intelligence / data mining techniques such as MDA, MLOGIT, CBR, and it is confirmed that the prediction performance is better than this. Especially, it has been confirmed that the 'instance selection' plays a very important role in predicting the stock index trend, and it is confirmed that the improvement effect of the model is more important than other factors. To verify the usefulness of GA-MSVM, we applied it to Korea's real KOSPI200 stock index trend forecast. Our research is primarily aimed at predicting trend segments to capture signal acquisition or short-term trend transition points. The experimental data set includes technical indicators such as the price and volatility index (2004 ~ 2017) and macroeconomic data (interest rate, exchange rate, S&P 500, etc.) of KOSPI200 stock index in Korea. Using a variety of statistical methods including one-way ANOVA and stepwise MDA, 15 indicators were selected as candidate independent variables. The dependent variable, trend classification, was classified into three states: 1 (upward trend), 0 (boxed), and -1 (downward trend). 70% of the total data for each class was used for training and the remaining 30% was used for verifying. To verify the performance of the proposed model, several comparative model experiments such as MDA, MLOGIT, CBR, ANN and MSVM were conducted. MSVM has adopted the One-Against-One (OAO) approach, which is known as the most accurate approach among the various MSVM approaches. Although there are some limitations, the final experimental results demonstrate that the proposed model, GA-MSVM, performs at a significantly higher level than all comparative models.

Rice Yield Estimation of South Korea from Year 2003-2016 Using Stacked Sparse AutoEncoder (SSAE 알고리즘을 통한 2003-2016년 남한 전역 쌀 생산량 추정)

  • Ma, Jong Won;Lee, Kyungdo;Choi, Ki-Young;Heo, Joon
    • Korean Journal of Remote Sensing
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    • v.33 no.5_2
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    • pp.631-640
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    • 2017
  • The estimation of rice yield affects the income of farmers as well as the fields related to agriculture. Moreover, it has an important effect on the government's policy making including the control of supply demand and the price estimation. Thus, it is necessary to build the crop yield estimation model and from the past, many studies utilizing empirical statistical models or artificial neural network algorithms have been conducted through climatic and satellite data. Presently, scientists have achieved successful results with deep learning algorithms in the field of pattern recognition, computer vision, speech recognition, etc. Among deep learning algorithms, the SSAE (Stacked Sparse AutoEncoder) algorithm has been confirmed to be applicable in the field of forecasting through time series data and in this study, SSAE was utilized to estimate the rice yield in South Korea. The climatic and satellite data were used as the input variables and different types of input data were constructed according to the period of rice growth in South Korea. As a result, the combination of the satellite data from May to September and the climatic data using the 16 day average value showed the best performance with showing average annual %RMSE (percent Root Mean Square Error) and region %RMSE of 7.43% and 7.16% that the applicability of the SSAE algorithm could be proved in the field of rice yield estimation.

A Study on the Dietary Behaviors of Female Baby Boomers and the Needs for Future Perspectives of Dietary Life (여성 베이비부머들의 식생활 태도와 미래 식생활 요구도 조사)

  • Nam, Haewon;Myung, Choonok;Park, Youngsim
    • The Korean Journal of Food And Nutrition
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    • v.26 no.4
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    • pp.895-908
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    • 2013
  • The purpose of this study is to examine female baby boomers' dietary habits and their attitudes together with their needs for future perspectives of dietary life. Our aim is to use these findings as a basic data when forecasting for food-related industries or policy making. A survey is being carried out for a total of 358 female baby boomers and analyzed by SPSS 12.0. The following is a summary of this study. The average age is 52.6 years old, most of them graduated from highschool (63.1%) and had a nuclear type of family (76.1%). Only 39.0% is composed of housewives, others had either full-time or part-time jobs. Self-assessment of stress is not so high and only 8.1% are dissatisfied with their lives. 38.2% are either overweight or obese in terms of BMI, and most of them are non-smokers (97.2%) or non-drinkers (63.0%). Their mean dietary habit scores are $70.6{\pm}11.8$, and the scores show significant relations with their education levels (p<0.01), monthly income (p<0.01), life satisfaction rates (p<0.001), stress levels (p<0.001), smoking habits (p<0.05), drinking habits (p<0.05), regular exercises (p<0.001) and regular health check-ups (p<0.05). The rate of skipping breakfast, lunch and dinner are 18.2%, 1.1%, 5.2% respectively. The main reason for skipping breakfast is the 'lack of time'. With regards to the frequency of grocery shopping, almost half of the subjects (55.7%) said '1~2 times per week' and bought mainly raw food sources such as vegetables, fruits, and meats. The majority of the subjects (91.3%) report that they cooked meals at homes, and took about 1 hour of time. The subjects also point out that cooking was a bothering task, and only 46.4% would prepare meals at home, while others would rather eat out or eat convenience foods. The main reasons for not wanting meal services in the elderly welfare facility are because they didn't want to live such places (48.4%) and the meals are tasteless (31.3%). As for delivery meal services, 60.1% are aware of it, and 39.9% would consider using it in the future. Factors to be considered when using the delivery meal service are sanitation (43.7%), nutrition (28.7%), taste (18.4%), price (6.3%), and brand name (2.9%). This study is expected to be used as useful information when developing food-related strategies for baby boomers in the future.

Diversion Rate Estimation Model for Unexperienced Transportation Mode by Considering Maximum Willingness-to-pay: A Case Study of Personal Rapid Transit (최대 지불의사액을 고려한 미경험 교통수단의 전환율 추정모형: Personal Rapid Transit 사례를 중심으로)

  • Yu, Jeong Whon;Choi, Jung Yoon
    • Journal of Korean Society of Transportation
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    • v.31 no.3
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    • pp.33-44
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    • 2013
  • Personal Rapid Transit(PRT) has emerged as a promising transportation mode for transit-oriented sustainable communities. In this study, an alternative design of questionnaire survey is proposed in order to capture traveler's perception of an unexperienced transportation mode. This study aims at predicting the mode choice diversion behavior of potential PRT users who do not have experience of using it previously, considering their willingness-to-pay. The proposed model was applied to predict an aggregate forecast of PRT patronage for the city of Songdo where PRT is considered to be constructed. For validation of the proposed model, the price elasticity of PRT demand was analyzed, compared with existing models. The analysis results suggest that the proposed design of questionnaire survey is able to capture respondents' attitude and perception to unexperienced transportation mode in an effective manner. Also, they show that the proposed diversion rate model is more realistic than existing models in explaining the effects of users' willingness-to-pay for predicting PRT patronage.

Improving Forecast Accuracy of City Gas Demand in Korea by Aggregating the Forecasts from the Demand Models of Seoul Metropolitan and the Other Local Areas (수도권과 지방권 수요예측모형을 통한 전국 도시가스수요전망의 예측력 향상)

  • Lee, Sungro
    • Environmental and Resource Economics Review
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    • v.26 no.4
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    • pp.519-547
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    • 2017
  • This paper explores whether it is better to forecast city gas demand in Korea using national level data directly or, alternatively, construct forecasts from regional demand models and then aggregate these regional forecasts. In the regional model, we consider gas demand for Seoul metropolitan and the other local areas. Our forecast evaluation exercise for 2013-2016 shows the regional forecast model generally outperforms the national forecasting model. This result comes from the fact that the dynamic properties of each region's gas demands can be better taken into account in the regional demand model. More specifically, the share of residential gas demand in the Seoul metropolitan area is above 50%, and subsequently this demand is heavily influenced by temperature fluctuations. Conversely, the dominant portion of regional gas demand is due to industrial gas consumption. Moreover, electricity is regarded as a substitute for city gas in the residential sector, and industrial gas competes with certain oil products. Our empirical results show that a regional demand forecast model can be an effective alternative to the demand model based on nation-wide gas consumption and that regional information about gas demand is also useful for analyzing sectoral gas consumption.

Patent data analysis using clique analysis in a keyword network (키워드 네트워크의 클릭 분석을 이용한 특허 데이터 분석)

  • Kim, Hyon Hee;Kim, Donggeon;Jo, Jinnam
    • Journal of the Korean Data and Information Science Society
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    • v.27 no.5
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    • pp.1273-1284
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    • 2016
  • In this paper, we analyzed the patents on machine learning using keyword network analysis and clique analysis. To construct a keyword network, important keywords were extracted based on the TF-IDF weight and their association, and network structure analysis and clique analysis was performed. Density and clustering coefficient of the patent keyword network are low, which shows that patent keywords on machine learning are weakly connected with each other. It is because the important patents on machine learning are mainly registered in the application system of machine learning rather thant machine learning techniques. Also, our results of clique analysis showed that the keywords found by cliques in 2005 patents are the subjects such as newsmaker verification, product forecasting, virus detection, biomarkers, and workflow management, while those in 2015 patents contain the subjects such as digital imaging, payment card, calling system, mammogram system, price prediction, etc. The clique analysis can be used not only for identifying specialized subjects, but also for search keywords in patent search systems.

A Time Series Analysis and Forecasting of Chestnut Prices (밤 가격(價格)의 시계열분석(時系列分析)과 예측(豫測)에 관(關)한 연구(硏究))

  • Cho, Eung Hyouk
    • Journal of Korean Society of Forest Science
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    • v.73 no.1
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    • pp.70-75
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    • 1986
  • The secular trend and seasonal variation of chestnut prices have been analyzed, and the production and price for the next two decades (1985-2004) have been forecasted by the derived equation model. The results of the study can be summarized as follows; 1) The chestnut prices went up at the rate of 10.95% per annum during 1965-1972, but, due to excessive supply of chestnuts, went down at the rate of 7.25% during 1973-1984. 2) In a year, the prices were lowest at the harvesting season, especially on October, and highest on July. Such a seasonal fluctuations of chestnut prices tend to be even with the passage of time, but the range of fluctuation is still wide. 3) It was forecasted under certain premises that the annual chestnut production will be increased by 99,000 tons in 1992, but the amount will fall rapidly to about 23,000 tons in 2004. The prices will be similar to the present level or have slightly upward Tendency until 1992, but this will be rapidly raised thereafter.

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A study on the estimation of onion's bulb weight using multi-level model (다층모형을 활용한 양파 구중 추정 연구)

  • Kim, Junki;Choi, Seung-cheon;Kim, Jaehwi;Seo, Hong-Seok
    • The Korean Journal of Applied Statistics
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    • v.33 no.6
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    • pp.763-776
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    • 2020
  • Onions show severe volatility in production and price because crop conditions highly depend on the weather. The government has designated onions as a sensitive agricultural product, and prepared various measures to stabilize the supply and demand. First of all, preemptive and reliable information on predicting onion production is essential to implement appropriate and effective measures. This study aims to contribute to improving the accuracy of production forecasting by developing a model to estimate the final weight of onions bulb. For the analysis, multi-level model is used to reflect the hierarchical data characteristics consisting of above-ground growth data in individual units and meteorological data in parcel units. The result shows that as the number of leaf, stem diameter, and plant height in early May increase, the bulb weight increases. The amount of precipitation as well as the number of days beyond a certain temperature inhibiting carbon assimilation have negative effects on bulb weight, However, the daily range of temperature and more precipitation near the harvest season are statistically significant as positive effects. Also, it is confirmed that the fitness and explanatory power of the model is improved by considering the interaction terms between level-1 and level-2 variables.

A Study on Customer Review Rating Recommendation and Prediction through Online Promotional Activity Analysis - Focusing on "S" Company Wearable Products - (온라인 판매촉진활동 분석을 통한 고객 리뷰평점 추천 및 예측에 관한 연구 : S사 Wearable 상품중심으로)

  • Shin, Ho-cheol
    • The Journal of the Korea Contents Association
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    • v.22 no.4
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    • pp.118-129
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    • 2022
  • The purpose of this report is to study a strategic model of promotion activities through various analysis and sales forecasting by selecting wearable products for domestic online companies and collecting sales data. For data analysis, various algorithms are used for analysis and the results are selected as the optimal model. The gradation boosting model, which is selected as the best result, will allow nine independent variables to be entered, including promotion type, price, amount, gender, model, company, grade, sales date, and region, when predicting dependent variables through supervised learning. In this study, the review values set as dependent variables for each type of sales promotion were studied in more detail through the ensemble analysis technique, and the main purpose is to analyze and predict them. The purpose of this study is to study the grades. As a result of the analysis, the evaluation result is 95% of AUC, and F1 is about 93%. In the end, it was confirmed that among the types of sales promotion activities, value-added benefits affected the number of reviews and review grades, and that major variables affected the review and review grades.