• Korean Journal of Agricultural and Forest Meteorology
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• 제18권4호
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• pp.199-207
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• 2016

This study was conducted to develop a forest fire occurrence model using meteorological characteristics for practical forecasting of forest fire danger rate by reflecting the climate change for the time period of 2000yrs. Forest fire in South Korea is highly influenced by humidity, wind speed, temperature, and precipitation. To effectively forecast forest fire occurrence, we developed a forest fire danger rating model using weather factors associated with forest fire in 2000yrs. Forest fire occurrence patterns were investigated statistically to develop a forest fire danger rating index using times series weather data sets collected from 76 meteorological observation centers. The data sets were used for 11 years from 2000 to 2010. Development of the national forest fire occurrence probability model used a logistic regression analysis with forest fire occurrence data and meteorological variables. Nine probability models for individual nine provinces including Jeju Island have been developed. The results of the statistical analysis show that the logistic models (p<0.05) strongly depends on the effective and relative humidity, temperature, wind speed, and rainfall. The results of verification showed that the probability of randomly selected fires ranges from 0.687 to 0.981, which represent a relatively high accuracy of the developed model. These findings may be beneficial to the policy makers in South Korea for the prevention of forest fires.

• Journal of Korea Port Economic Association
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• 제37권2호
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• pp.73-89
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• 2021

The handysize bulk carriers are capable of transporting a variety of cargo that cannot be transported by mid-large size ship, and the spot chartering market is active, and it is a market that is independent of mid-large size market, and is more risky due to market conditions and charterage variability. In this study, Granger causality test, the Impulse Response Function(IRF) and Forecast Error Variance Decomposition(FEVD) were performed using monthly time series data. As a result of Granger causality test, coal price for coke making, Japan steel plate commodity price, hot rolled steel sheet price, fleet volume and bunker price have causality to Baltic Handysize Index(BHSI) and charterage. After confirming the appropriate lag and stability of the Vector Autoregressive model(VAR), IRF and FEVD were analyzed. As a result of IRF, the three variables of coal price for coke making, hot rolled steel sheet price and bunker price were found to have significant at both upper and lower limit of the confidence interval. Among them, the impulse of hot rolled steel sheet price was found to have the most significant effect. As a result of FEVD, the explanatory power that affects BHSI and charterage is the same in the order of hot rolled steel sheet price, coal price for coke making, bunker price, Japan steel plate price, and fleet volume. It was found that it gradually increased, affecting BHSI by 30% and charterage by 26%. In order to differentiate from previous studies and to find out the effect of short term lag, analysis was performed using monthly price data of major cargoes for Handysize bulk carriers, and meaningful results were derived that can predict monthly market conditions. This study can be helpful in predicting the short term market conditions for shipping companies that operate Handysize bulk carriers and concerned parties in the handysize chartering market.

• Journal of Intelligence and Information Systems
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• 제27권1호
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• pp.103-128
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• 2021

Recently, investors' interest and the influence of stock-related information dissemination are being considered as significant factors that explain stock returns and volume. Besides, companies that develop, distribute, or utilize innovative new technologies such as artificial intelligence have a problem that it is difficult to accurately predict a company's future stock returns and volatility due to macro-environment and market uncertainty. Market uncertainty is recognized as an obstacle to the activation and spread of artificial intelligence technology, so research is needed to mitigate this. Hence, the purpose of this study is to propose a machine learning model that predicts the volatility of a company's stock price by using the internet search volume of artificial intelligence-related technology keywords as a measure of the interest of investors. To this end, for predicting the stock market, we using the VAR(Vector Auto Regression) and deep neural network LSTM (Long Short-Term Memory). And the stock price prediction performance using keyword search volume is compared according to the technology's social acceptance stage. In addition, we also conduct the analysis of sub-technology of artificial intelligence technology to examine the change in the search volume of detailed technology keywords according to the technology acceptance stage and the effect of interest in specific technology on the stock market forecast. To this end, in this study, the words artificial intelligence, deep learning, machine learning were selected as keywords. Next, we investigated how many keywords each week appeared in online documents for five years from January 1, 2015, to December 31, 2019. The stock price and transaction volume data of KOSDAQ listed companies were also collected and used for analysis. As a result, we found that the keyword search volume for artificial intelligence technology increased as the social acceptance of artificial intelligence technology increased. In particular, starting from AlphaGo Shock, the keyword search volume for artificial intelligence itself and detailed technologies such as machine learning and deep learning appeared to increase. Also, the keyword search volume for artificial intelligence technology increases as the social acceptance stage progresses. It showed high accuracy, and it was confirmed that the acceptance stages showing the best prediction performance were different for each keyword. As a result of stock price prediction based on keyword search volume for each social acceptance stage of artificial intelligence technologies classified in this study, the awareness stage's prediction accuracy was found to be the highest. The prediction accuracy was different according to the keywords used in the stock price prediction model for each social acceptance stage. Therefore, when constructing a stock price prediction model using technology keywords, it is necessary to consider social acceptance of the technology and sub-technology classification. The results of this study provide the following implications. First, to predict the return on investment for companies based on innovative technology, it is most important to capture the recognition stage in which public interest rapidly increases in social acceptance of the technology. Second, the change in keyword search volume and the accuracy of the prediction model varies according to the social acceptance of technology should be considered in developing a Decision Support System for investment such as the big data-based Robo-advisor recently introduced by the financial sector.

• Journal of Intelligence and Information Systems
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• 제23권4호
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• pp.127-146
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• 2017

Services using artificial intelligence have begun to emerge in daily life. Artificial intelligence is applied to products in consumer electronics and communications such as artificial intelligence refrigerators and speakers. In the financial sector, using Kensho's artificial intelligence technology, the process of the stock trading system in Goldman Sachs was improved. For example, two stock traders could handle the work of 600 stock traders and the analytical work for 15 people for 4weeks could be processed in 5 minutes. Especially, big data analysis through machine learning among artificial intelligence fields is actively applied throughout the financial industry. The stock market analysis and investment modeling through machine learning theory are also actively studied. The limits of linearity problem existing in financial time series studies are overcome by using machine learning theory such as artificial intelligence prediction model. The study of quantitative financial data based on the past stock market-related numerical data is widely performed using artificial intelligence to forecast future movements of stock price or indices. Various other studies have been conducted to predict the future direction of the market or the stock price of companies by learning based on a large amount of text data such as various news and comments related to the stock market. Investing on commodity asset, one of alternative assets, is usually used for enhancing the stability and safety of traditional stock and bond asset portfolio. There are relatively few researches on the investment model about commodity asset than mainstream assets like equity and bond. Recently machine learning techniques are widely applied on financial world, especially on stock and bond investment model and it makes better trading model on this field and makes the change on the whole financial area. In this study we made investment model using Support Vector Machine among the machine learning models. There are some researches on commodity asset focusing on the price prediction of the specific commodity but it is hard to find the researches about investment model of commodity as asset allocation using machine learning model. We propose a method of forecasting four major commodity indices, portfolio made of commodity futures, and individual commodity futures, using SVM model. The four major commodity indices are Goldman Sachs Commodity Index(GSCI), Dow Jones UBS Commodity Index(DJUI), Thomson Reuters/Core Commodity CRB Index(TRCI), and Rogers International Commodity Index(RI). We selected each two individual futures among three sectors as energy, agriculture, and metals that are actively traded on CME market and have enough liquidity. They are Crude Oil, Natural Gas, Corn, Wheat, Gold and Silver Futures. We made the equally weighted portfolio with six commodity futures for comparing with other commodity indices. We set the 19 macroeconomic indicators including stock market indices, exports & imports trade data, labor market data, and composite leading indicators as the input data of the model because commodity asset is very closely related with the macroeconomic activities. They are 14 US economic indicators, two Chinese economic indicators and two Korean economic indicators. Data period is from January 1990 to May 2017. We set the former 195 monthly data as training data and the latter 125 monthly data as test data. In this study, we verified that the performance of the equally weighted commodity futures portfolio rebalanced by the SVM model is better than that of other commodity indices. The prediction accuracy of the model for the commodity indices does not exceed 50% regardless of the SVM kernel function. On the other hand, the prediction accuracy of equally weighted commodity futures portfolio is 53%. The prediction accuracy of the individual commodity futures model is better than that of commodity indices model especially in agriculture and metal sectors. The individual commodity futures portfolio excluding the energy sector has outperformed the three sectors covered by individual commodity futures portfolio. In order to verify the validity of the model, it is judged that the analysis results should be similar despite variations in data period. So we also examined the odd numbered year data as training data and the even numbered year data as test data and we confirmed that the analysis results are similar. As a result, when we allocate commodity assets to traditional portfolio composed of stock, bond, and cash, we can get more effective investment performance not by investing commodity indices but by investing commodity futures. Especially we can get better performance by rebalanced commodity futures portfolio designed by SVM model.

• Journal of Preventive Medicine and Public Health
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• 제24권3호
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• pp.441-458
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• 1991

The objective of this study was to provide basic reference data for stabilization scheme of medical insurance benefits through forecasting of the medical care utilization rate, the medical expence per case, and the treatment days per case in medical insurance program for government employees & private school teachers and for industrial workers. For the achievement of above objective, this study was carried out by Box-Jenkins time series analysis (ARIMA Model), using monthly statistical data from Jan. 1979 to Dec. 1989, of medical insurance program for government employees & private school teachers and for industrial workers. The results are as follows ; ARIMA model of the medical care utilization rate in medical insurance program for government employees & private school teachers was ARIMA (1, 1, 1) and it for outpatient in medical insurance program for industrial workers was ARIMA (1, 1, 1), while it for inpatient in medical insurance program for industrial workers was ARIMA (1, 0, 1). ARIMA model of the medical expense per case in medical insurance program for government employees & private school teachers and for outpatient in medical insurance program for industrial workers were ARIMA (1, 1, 0), while it for inpatient in medical insurance program for industrial workers was ARIMA (1, 0, 1). ARIMA model of the treatment days per case of both medical insurance program for government employees & private school teachers and industrial workers were ARIMA (1, 1, 1). Forecasting value of the medical care utilzation rate for inpatient in medical insurance program for government employees & private school teachers was 0.0061 at dec. 1989, 0.0066 at dec. 1994 and it for outpatient was 0.280 at dec. 1989, 0.294 at dec. 1994, while it for inpatient in medical insurance program for industrial workers was 0.0052 at dec. 1989, 0.0056 at dec. 1994 and it for outpatient was 0.203 at dec. 1989, 0.215 at 1994. Forecasting value of the medical expense per case for inpatient in medical insurance program for government employees & private school teachers was 332,751 at dec. 1989, 354,511 at dec. 1994 and it for outpatient was 11,925 at dec. 1989, 12,904 at dec. 1994, while it for inpatient in medical insurance program for industrial workers was 281,835 at dec. 1989, 293,973 at dec. 1994 and it for outpatient was 11,599 at dec. 1989, 11,585 at 1994. Forecasting value of the treatment days per case for inpatient in medical insurance program for government employees & private school teachers was 13.79 at dec. 1989,13.85 at an. 1994 and in for outpatient was 5.03 at dec. 1989, 5.00 at dec. 1994, while it for inpatient in medical insurance program for industrial workers was 12.23 at dec. 1989, 12.85 at dec. 1994 and it for outpatient was 4.61 at dec. 1989, 4.60 at 1994.