• Journal of Convergence for Information Technology
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• v.11 no.3
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• pp.7-13
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• 2021

This study develops an artificial intelligence prediction system for Fine particulate Matter(PM2.5) based on the deep learning algorithm GAN model. The experimental data are closely related to the changes in temperature, humidity, wind speed, and atmospheric pressure generated by the time series axis and the concentration of air pollutants such as SO2, CO, O3, NO2, and PM10. Due to the characteristics of the data, since the concentration at the current time is affected by the concentration at the previous time, a predictive model for recursive supervised learning was applied. For comparative analysis of the accuracy of the existing models, CNN and LSTM, the difference between observation value and prediction value was analyzed and visualized. As a result of performance analysis, it was confirmed that the proposed GAN improved to 15.8%, 10.9%, and 5.5% in the evaluation items RMSE, MAPE, and IOA compared to LSTM, respectively.

• The Journal of Engineering Geology
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• v.23 no.2
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• pp.137-147
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• 2013

For the effective management of groundwater resources, it is necessary to predict groundwater level fluctuations in response to rainfall events. In the present study, time series models using artificial neural networks (ANNs) and support vector machines (SVMs) have been developed and applied to groundwater level data from the Gasan, Shingwang, and Cheongseong stations of the National Groundwater Monitoring Network. We designed four types of model according to input structure and compared their performances. The results show that the rainfall input model is not effective, especially for the prediction of groundwater recession behavior; however, the rainfall-groundwater input model is effective for the entire prediction stage, yielding a high model accuracy. Recursive prediction models were also effective, yielding correlation coefficients of 0.75-0.95 with observed values. The prediction errors were highest for Shingwang station, where the cross-correlation coefficient is lowest among the stations. Overall, the model performance of SVM models was slightly higher than that of ANN models for all cases. Assessment of the model parameter uncertainty of the recursive prediction models, using the ratio of errors in the validation stage to that in the calibration stage, showed that the range of the ratio is much narrower for the SVM models than for the ANN models, which implies that the SVM models are more stable and effective for the present case studies.

• Journal of Korea Water Resources Association
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• v.53 no.12
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• pp.1159-1172
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• 2020

This study applied deep convolution neural network based on U-Net and SegNet using long period weather radar data to very short-term rainfall prediction. And the results were compared and evaluated with the translation model. For training and validation of deep neural network, Mt. Gwanak and Mt. Gwangdeoksan radar data were collected from 2010 to 2016 and converted to a gray-scale image file in an HDF5 format with a 1km spatial resolution. The deep neural network model was trained to predict precipitation after 10 minutes by using the four consecutive radar image data, and the recursive method of repeating forecasts was applied to carry out lead time 60 minutes with the pretrained deep neural network model. To evaluate the performance of deep neural network prediction model, 24 rain cases in 2017 were forecast for rainfall up to 60 minutes in advance. As a result of evaluating the predicted performance by calculating the mean absolute error (MAE) and critical success index (CSI) at the threshold of 0.1, 1, and 5 mm/hr, the deep neural network model showed better performance in the case of rainfall threshold of 0.1, 1 mm/hr in terms of MAE, and showed better performance than the translation model for lead time 50 minutes in terms of CSI. In particular, although the deep neural network prediction model performed generally better than the translation model for weak rainfall of 5 mm/hr or less, the deep neural network prediction model had limitations in predicting distinct precipitation characteristics of high intensity as a result of the evaluation of threshold of 5 mm/hr. The longer lead time, the spatial smoothness increase with lead time thereby reducing the accuracy of rainfall prediction The translation model turned out to be superior in predicting the exceedance of higher intensity thresholds (> 5 mm/hr) because it preserves distinct precipitation characteristics, but the rainfall position tends to shift incorrectly. This study are expected to be helpful for the improvement of radar rainfall prediction model using deep neural networks in the future. In addition, the massive weather radar data established in this study will be provided through open repositories for future use in subsequent studies.

• International journal of advanced smart convergence
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• v.11 no.1
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• pp.19-27
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• 2022

Across the world, 'housing' comprises a significant portion of wealth and assets. For this reason, fluctuations in real estate prices are highly sensitive issues to individual households. In Korea, housing prices have steadily increased over the years, and thus many Koreans view the real estate market as an effective channel for their investments. However, if one purchases a real estate property for the purpose of investing, then there are several risks involved when prices begin to fluctuate. The purpose of this study is to design a real estate price 'return rate' prediction model to help mitigate the risks involved with real estate investments and promote reasonable real estate purchases. Various approaches are explored to develop a model capable of predicting real estate prices based on an understanding of the immovability of the real estate market. This study employs the LSTM method, which is based on artificial intelligence and deep learning, to predict real estate prices and validate the model. LSTM networks are based on recurrent neural networks (RNN) but add cell states (which act as a type of conveyer belt) to the hidden states. LSTM networks are able to obtain cell states and hidden states in a recursive manner. Data on the actual trading prices of apartments in autonomous districts between January 2006 and December 2019 are collected from the Actual Trading Price Disclosure System of the Ministry of Land, Infrastructure and Transport (MOLIT). Additionally, basic data on apartments and commercial buildings are collected from the Public Data Portal and Seoul Metropolitan Government's data portal. The collected actual trading price data are scaled to monthly average trading amounts, and each data entry is pre-processed according to address to produce 168 data entries. An LSTM model for return rate prediction is prepared based on a time series dataset where the training period is set as April 2015~August 2017 (29 months), the validation period is set as September 2017~September 2018 (13 months), and the test period is set as December 2018~December 2019 (13 months). The results of the return rate prediction study are as follows. First, the model achieved a prediction similarity level of almost 76%. After collecting time series data and preparing the final prediction model, it was confirmed that 76% of models could be achieved. All in all, the results demonstrate the reliability of the LSTM-based model for return rate prediction.

• Journal of Intelligence and Information Systems
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• v.27 no.1
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• pp.65-82
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• 2021

Stock market investors are generally split into foreign investors, institutional investors, and individual investors. Compared to individual investor groups, professional investor groups such as foreign investors have an advantage in information and financial power and, as a result, foreign investors are known to show good investment performance among market participants. The purpose of this study is to propose an investment strategy that combines investor-specific transaction information and machine learning, and to analyze the portfolio investment performance of the proposed model using actual stock price and investor-specific transaction data. The Korea Exchange offers daily information on the volume of purchase and sale of each investor to securities firms. We developed a data collection program in C# programming language using an API provided by Daishin Securities Cybosplus, and collected 151 out of 200 KOSPI stocks with daily opening price, closing price and investor-specific net purchase data from January 2, 2007 to July 31, 2017. The self-organizing map model is an artificial neural network that performs clustering by unsupervised learning and has been introduced by Teuvo Kohonen since 1984. We implement competition among intra-surface artificial neurons, and all connections are non-recursive artificial neural networks that go from bottom to top. It can also be expanded to multiple layers, although many fault layers are commonly used. Linear functions are used by active functions of artificial nerve cells, and learning rules use Instar rules as well as general competitive learning. The core of the backpropagation model is the model that performs classification by supervised learning as an artificial neural network. We grouped and transformed investor-specific transaction volume data to learn backpropagation models through the self-organizing map model of artificial neural networks. As a result of the estimation of verification data through training, the portfolios were rebalanced monthly. For performance analysis, a passive portfolio was designated and the KOSPI 200 and KOSPI index returns for proxies on market returns were also obtained. Performance analysis was conducted using the equally-weighted portfolio return, compound interest rate, annual return, Maximum Draw Down, standard deviation, and Sharpe Ratio. Buy and hold returns of the top 10 market capitalization stocks are designated as a benchmark. Buy and hold strategy is the best strategy under the efficient market hypothesis. The prediction rate of learning data using backpropagation model was significantly high at 96.61%, while the prediction rate of verification data was also relatively high in the results of the 57.1% verification data. The performance evaluation of self-organizing map grouping can be determined as a result of a backpropagation model. This is because if the grouping results of the self-organizing map model had been poor, the learning results of the backpropagation model would have been poor. In this way, the performance assessment of machine learning is judged to be better learned than previous studies. Our portfolio doubled the return on the benchmark and performed better than the market returns on the KOSPI and KOSPI 200 indexes. In contrast to the benchmark, the MDD and standard deviation for portfolio risk indicators also showed better results. The Sharpe Ratio performed higher than benchmarks and stock market indexes. Through this, we presented the direction of portfolio composition program using machine learning and investor-specific transaction information and showed that it can be used to develop programs for real stock investment. The return is the result of monthly portfolio composition and asset rebalancing to the same proportion. Better outcomes are predicted when forming a monthly portfolio if the system is enforced by rebalancing the suggested stocks continuously without selling and re-buying it. Therefore, real transactions appear to be relevant.

• KIISE Transactions on Computing Practices
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• v.22 no.11
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• pp.619-624
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• 2016

Social-aware video displays not only the relationships between characters but also diverse information on topics such as economics, politics and culture as a story unfolds. Particularly, the speaking habits and behavioral patterns of people in different situations are very important for the analysis of social relationships. However, when dealing with this dynamic multi-modal data, it is difficult for a computer to analyze the drama data effectively. To solve this problem, previous studies employed the deep concept hierarchy (DCH) model to automatically construct and analyze social networks in a TV drama. Nevertheless, since location knowledge was not included, they can only analyze the social network as a whole in stories. In this research, we include location knowledge and analyze the social relations in different locations. We adopt data from approximately 4400 minutes of a TV drama Friends as our dataset. We process face recognition on the characters by using a convolutional- recursive neural networks model and utilize a bag of features model to classify scenes. Then, in different scenes, we establish the social network between the characters by using a deep concept hierarchy model and analyze the change in the social network while the stories unfold.

• Journal of Intelligence and Information Systems
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• v.16 no.2
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• pp.19-32
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• 2010

Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.