• Title/Summary/Keyword: Stock Price Analysis

Search Result 347, Processing Time 0.025 seconds

Pattern Discovery by Genetic Algorithm in Syntactic Pattern Based Chart Analysis for Stock Market

  • Kim, Hyun-Soo
    • The Journal of Information Systems
    • /
    • v.3
    • /
    • pp.147-169
    • /
    • 1994
  • This paper present s a pattern generation scheme from financial charts. The patterns constitute knowledge which consists of patterns as the conditional part and the impact of the pattern as the conclusion part. The patterns in charts are represented in a syntactic approach. If the pattern elements and the impact of patterns are defined, the patterns are synthesized from simple to the more highly credible by evaluating each intermediate pattern from the instances. The overall process is divided into primitive discovery by Genetic Algorithms and pattern synthesis from the discovered primitives by the Syntactic Pattern-based Inductive Learning (SYNPLE) algorithm which we have developed. We have applied the scheme to a chart : the trend lines of stock price in daily base. The scheme can generate very credible patterns from training data sets.

  • PDF

A Study on Experiment and Structural Analysis for High-Durability of Orthotropic Steel Deck Bridge (고내구성을 위한 강바닥판교의 실험 및 해석 연구)

  • Kong, Byung-Seung;Kim, Min-Ho
    • Proceedings of the KSR Conference
    • /
    • 2007.11a
    • /
    • pp.462-467
    • /
    • 2007
  • From the research which it sees verification of the whole interpretation and local interpretation of the durability steel deck bridge a static test and it produces the test body which it sells with character and it executes smallness pul lek detailed interpretation it leads and the appropriate characteristic of smallness pul lek detailed interpretation and to sleep a nominal stress price and it compares it judges it does. The stress quality from each structure region which it follows in load stock location it analyzes and from the hazard which evaluates, the objective region the length rib and the bottom grater weld zone, the length rib and width rib connection department and the width rib with the father it divided. It investigated the stress distribution of the test body from these objective location, FEM interpretation it led and the conduct against each structure state tax it analyzed. General conduct the load stock location the floor plate is located in the center with interpretation price together symmetry characteristic to seem, it cannot be like that it cannot there is one actual test price. Like this reason the length rib and width rib connection actually production even production characteristic security it is a day when it is impossible with the curvature junction department which it blows, it follows in examination body deferment condition and form feed with the fact that it is visible a big difference even with error of some it becomes. Consequently for a data and the research which are more accurate it is judged with the fact that the effort which is prudent will be necessary.

  • PDF

Developing the Automated Sentiment Learning Algorithm to Build the Korean Sentiment Lexicon for Finance (재무분야 감성사전 구축을 위한 자동화된 감성학습 알고리즘 개발)

  • Su-Ji Cho;Ki-Kwang Lee;Cheol-Won Yang
    • Journal of Korean Society of Industrial and Systems Engineering
    • /
    • v.46 no.1
    • /
    • pp.32-41
    • /
    • 2023
  • Recently, many studies are being conducted to extract emotion from text and verify its information power in the field of finance, along with the recent development of big data analysis technology. A number of prior studies use pre-defined sentiment dictionaries or machine learning methods to extract sentiment from the financial documents. However, both methods have the disadvantage of being labor-intensive and subjective because it requires a manual sentiment learning process. In this study, we developed a financial sentiment dictionary that automatically extracts sentiment from the body text of analyst reports by using modified Bayes rule and verified the performance of the model through a binary classification model which predicts actual stock price movements. As a result of the prediction, it was found that the proposed financial dictionary from this research has about 4% better predictive power for actual stock price movements than the representative Loughran and McDonald's (2011) financial dictionary. The sentiment extraction method proposed in this study enables efficient and objective judgment because it automatically learns the sentiment of words using both the change in target price and the cumulative abnormal returns. In addition, the dictionary can be easily updated by re-calculating conditional probabilities. The results of this study are expected to be readily expandable and applicable not only to analyst reports, but also to financial field texts such as performance reports, IR reports, press articles, and social media.

Predicting Stock Liquidity by Using Ensemble Data Mining Methods

  • Bae, Eun Chan;Lee, Kun Chang
    • Journal of the Korea Society of Computer and Information
    • /
    • v.21 no.6
    • /
    • pp.9-19
    • /
    • 2016
  • In finance literature, stock liquidity showing how stocks can be cashed out in the market has received rich attentions from both academicians and practitioners. The reasons are plenty. First, it is known that stock liquidity affects significantly asset pricing. Second, macroeconomic announcements influence liquidity in the stock market. Therefore, stock liquidity itself affects investors' decision and managers' decision as well. Though there exist a great deal of literature about stock liquidity in finance literature, it is quite clear that there are no studies attempting to investigate the stock liquidity issue as one of decision making problems. In finance literature, most of stock liquidity studies had dealt with limited views such as how much it influences stock price, which variables are associated with describing the stock liquidity significantly, etc. However, this paper posits that stock liquidity issue may become a serious decision-making problem, and then be handled by using data mining techniques to estimate its future extent with statistical validity. In this sense, we collected financial data set from a number of manufacturing companies listed in KRX (Korea Exchange) during the period of 2010 to 2013. The reason why we selected dataset from 2010 was to avoid the after-shocks of financial crisis that occurred in 2008. We used Fn-GuidPro system to gather total 5,700 financial data set. Stock liquidity measure was computed by the procedures proposed by Amihud (2002) which is known to show best metrics for showing relationship with daily return. We applied five data mining techniques (or classifiers) such as Bayesian network, support vector machine (SVM), decision tree, neural network, and ensemble method. Bayesian networks include GBN (General Bayesian Network), NBN (Naive BN), TAN (Tree Augmented NBN). Decision tree uses CART and C4.5. Regression result was used as a benchmarking performance. Ensemble method uses two types-integration of two classifiers, and three classifiers. Ensemble method is based on voting for the sake of integrating classifiers. Among the single classifiers, CART showed best performance with 48.2%, compared with 37.18% by regression. Among the ensemble methods, the result from integrating TAN, CART, and SVM was best with 49.25%. Through the additional analysis in individual industries, those relatively stabilized industries like electronic appliances, wholesale & retailing, woods, leather-bags-shoes showed better performance over 50%.

Analysis of KOSPI·Apartment Prices in Seoul·HPPCI·CLI's Correlation and Precedence (종합주가지수·서울지역아파트가격·전국주택매매가격지수·경기선행지수의 상관관계와 선행성 분석)

  • Choi, Jeong-Il;Lee, Ok-Dong
    • Journal of Digital Convergence
    • /
    • v.12 no.5
    • /
    • pp.89-99
    • /
    • 2014
  • Correlation of KOSPI from stock market and Apartment Prices in Seoul HPPCI from real estate market has been found from this research. Furthermore, from the comparison of those indicators' flows, certain precedence was found as well. The purpose of this research is to analyze correlation and precedence among KOSPI, Apartment price in Seoul, HPPCI and CLI. As for predicting KOSPI of stock market and real estate market, it is necessary to find out preceding indices and analyzing their progresses first. For 27 years from the January 1987 to December 2013, KOSPI has been grown by 687%, while CLI showed 443%, Apartment of Seoul showed 391%, HPPCI showed 263% of growth rate in order. As the result of correlation analysis among Apartment of Seoul, CLI, KOSPI and HPPCI, KOSPI and HPPCI showed high correlation coefficient of 0.877, and Apartment of Seoul and CLI showed that of 0.956 which is even higher. Result from the analysis, CLI shows high correlation with stock and real estate market, it is a good option to watch how CLI flows to predict stock and real estate market.

Industrial Safety Risk Analysis Using Spatial Analytics and Data Mining (공간분석·데이터마이닝 융합방법론을 통한 산업안전 취약지 등급화 방안)

  • Ko, Kyeongseok;Yang, Jaekyung
    • Journal of Korean Society of Industrial and Systems Engineering
    • /
    • v.40 no.4
    • /
    • pp.147-153
    • /
    • 2017
  • The mortality rate in industrial accidents in South Korea was 11 per 100,000 workers in 2015. It's five times higher than the OECD average. Economic losses due to industrial accidents continue to grow, reaching 19 trillion won much more than natural disaster losses equivalent to 1.1 trillion won. It requires fundamental changes according to industrial safety management. In this study, We classified the risk of accidents in industrial complex of Ulju-gun using spatial analytics and data mining. We collected 119 data on accident data, factory characteristics data, company information such as sales amount, capital stock, building information, weather information, official land price, etc. Through the pre-processing and data convergence process, the analysis dataset was constructed. Then we conducted geographically weighted regression with spatial factors affecting fire incidents and calculated the risk of fire accidents with analytical model for combining Boosting and CART (Classification and Regression Tree). We drew the main factors that affect the fire accident. The drawn main factors are deterioration of buildings, capital stock, employee number, officially assessed land price and height of building. Finally the predicted accident rates were divided into four class (risk category-alert, hazard, caution, and attention) with Jenks Natural Breaks Classification. It is divided by seeking to minimize each class's average deviation from the class mean, while maximizing each class's deviation from the means of the other groups. As the analysis results were also visualized on maps, the danger zone can be intuitively checked. It is judged to be available in different policy decisions for different types, such as those used by different types of risk ratings.

Volatility spillover between the Korean KOSPI and the Hong Kong HSI stock markets

  • Baek, Eun-Ah;Oh, Man-Suk
    • Communications for Statistical Applications and Methods
    • /
    • v.23 no.3
    • /
    • pp.203-213
    • /
    • 2016
  • We investigate volatility spillover aspects of realized volatilities (RVs) for the log returns of the Korea Composite Stock Price Index (KOSPI) and the Hang Seng Index (HSI) from 2009-2013. For all RVs, significant long memories and asymmetries are identified. For a model selection, we consider three commonly used time series models as well as three models that incorporate long memory and asymmetry. Taking into account of goodness-of-fit and forecasting ability, Leverage heteroskedastic autoregressive realized volatility (LHAR) model is selected for the given data. The LHAR model finds significant decompositions of the spillover effect from the HSI to the KOSPI into moderate negative daily spillover, positive weekly spillover and positive monthly spillover, and from the KOSPI to the HSI into substantial negative weekly spillover and positive monthly spillover. An interesting result from the analysis is that the daily volatility spillover from the HSI to the KOSPI is significant versus the insignificant daily volatility spillover of the KOSPI to HSI. The daily volatility in Hong Kong affects next day volatility in Korea but the daily volatility in Korea does not affect next day volatility in Hong Kong.

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
    • /
    • v.23 no.4
    • /
    • pp.147-168
    • /
    • 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.

The Effects of Other Comprehensive Income Items on Firm Value of Insurance Companies (보험회사의 기타포괄손익항목이 기업가치에 미치는 영향)

  • Lee, Hyun-Joo;Park, Gu-Yong;Park, Sang-Seob
    • Management & Information Systems Review
    • /
    • v.36 no.3
    • /
    • pp.203-217
    • /
    • 2017
  • This study aims to verify the effects of unrealized gain or loss, that is the fair value evaluation item of insurance company's assets and liabilities, to capital markets focusing on fair value evaluation of insurance company's liabilities, which is the core of IFRS 17 that will be implemented in 2021. For this purpose we carried out regression analysis to verify the effects of changed other comprehensive income(OCI) and accumulated OCI, published in quarterly financial statements of listed insurance companies, on stock price utilizing Ohlson(1995)'s extended test model. The results of the empirical analysis are as follows. First, changed OCI showed a significant negative(-) effects on stock price. Second, accumulated OCI revealed a significant positive(+) effects on stock price. Furthermore, extended test model classifying changed OCI and accumulated OCI in a basic model represented the highest $R^2$ number and public announcement policy of OCI, a kind of unrealized gain or loss item, implied that it could give positive impact on accounting information. But still the direction that unrealized gain or loss affects on firm value must be carefully reviewed and considered in the future via more detailed study by the user of information. Therefore this study is meaningful in that it can predict usefulness of information on insurance company's fair value evaluation via empirical test accompanied by introduction of newly established IFRS 17 and it also can suggest direction of information production suitable for capital market.

  • PDF

A study on the efficient application of the replicating portfolio according to the tax imposition within K-OTC market for activating financial transactions of small-medium and venture business (중소 벤처 기업의 금융거래 활성화를 위하여 K-OTC 시장에서 조세부과에 따른 복제포트폴리오의 효율적 활용에 대한 연구)

  • Yoo, Joon-soo
    • Journal of Venture Innovation
    • /
    • v.1 no.1
    • /
    • pp.83-98
    • /
    • 2018
  • This paper makes a theoretical approach to the differences between transaction tax and capital gains tax when the financial instruments are traded and imposed taxes in K-OTC market, a newly emerging off-board market. Since it is difficult to reduce risk to the level which investors would like to pursue - depending on the taxation methods of portfolio-composed financial instruments - when it comes to forming a synthetic bond to hedge risk, this paper also seeks for effective taxation methods to make this applicable. First of all, to thoroughly review the taxation balance of synthetic bonds, this paper analyzed the effects of the transaction tax and capital gains tax imposed upon synthetic bonds according to the changes in final stock price and strike price in K-OTC market, and analyzed after-tax profit differences among them depending on whether income tax deduction took place or not. As a result of the research upon the tax gap in transaction tax and capital gains tax according to the changes of final stock prices, it was shown that imposing transaction tax is more likely to be effective for some level of risk hedging with replicating portfolio considering taxation policies and financial markets, since the effect of the transaction tax has a much lower tax gap than that of capital gains tax. In addition, in relation to whether income tax deduction was permitted or not, it was proved that the effect of the transaction tax and the capital gains tax vary depending on the variation in the strike price. Above all, it was shown that if the strike price is lower than the stock price, the transaction tax will be less affected by the existence of income tax deduction than the capital gains tax, while both will be equally affected by the existence of income tax deduction if the strike price is higher than the stock price. Further study would be to demonstrate the validation of this in the K-OTC market with actual financial instruments and, also, to seek for a more systematic hedging method by using a ratio analysis approach to the calculation of the option transaction tax