• Title/Summary/Keyword: accuracy index

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Estimation of GARCH Models and Performance Analysis of Volatility Trading System using Support Vector Regression (Support Vector Regression을 이용한 GARCH 모형의 추정과 투자전략의 성과분석)

  • Kim, Sun Woong;Choi, Heung Sik
    • Journal of Intelligence and Information Systems
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    • v.23 no.2
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    • pp.107-122
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    • 2017
  • Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

A Time Series Graph based Convolutional Neural Network Model for Effective Input Variable Pattern Learning : Application to the Prediction of Stock Market (효과적인 입력변수 패턴 학습을 위한 시계열 그래프 기반 합성곱 신경망 모형: 주식시장 예측에의 응용)

  • Lee, Mo-Se;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.24 no.1
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    • pp.167-181
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    • 2018
  • Over the past decade, deep learning has been in spotlight among various machine learning algorithms. In particular, CNN(Convolutional Neural Network), which is known as the effective solution for recognizing and classifying images or voices, has been popularly applied to classification and prediction problems. In this study, we investigate the way to apply CNN in business problem solving. Specifically, this study propose to apply CNN to stock market prediction, one of the most challenging tasks in the machine learning research. As mentioned, CNN has strength in interpreting images. Thus, the model proposed in this study adopts CNN as the binary classifier that predicts stock market direction (upward or downward) by using time series graphs as its inputs. That is, our proposal is to build a machine learning algorithm that mimics an experts called 'technical analysts' who examine the graph of past price movement, and predict future financial price movements. Our proposed model named 'CNN-FG(Convolutional Neural Network using Fluctuation Graph)' consists of five steps. In the first step, it divides the dataset into the intervals of 5 days. And then, it creates time series graphs for the divided dataset in step 2. The size of the image in which the graph is drawn is $40(pixels){\times}40(pixels)$, and the graph of each independent variable was drawn using different colors. In step 3, the model converts the images into the matrices. Each image is converted into the combination of three matrices in order to express the value of the color using R(red), G(green), and B(blue) scale. In the next step, it splits the dataset of the graph images into training and validation datasets. We used 80% of the total dataset as the training dataset, and the remaining 20% as the validation dataset. And then, CNN classifiers are trained using the images of training dataset in the final step. Regarding the parameters of CNN-FG, we adopted two convolution filters ($5{\times}5{\times}6$ and $5{\times}5{\times}9$) in the convolution layer. In the pooling layer, $2{\times}2$ max pooling filter was used. The numbers of the nodes in two hidden layers were set to, respectively, 900 and 32, and the number of the nodes in the output layer was set to 2(one is for the prediction of upward trend, and the other one is for downward trend). Activation functions for the convolution layer and the hidden layer were set to ReLU(Rectified Linear Unit), and one for the output layer set to Softmax function. To validate our model - CNN-FG, we applied it to the prediction of KOSPI200 for 2,026 days in eight years (from 2009 to 2016). To match the proportions of the two groups in the independent variable (i.e. tomorrow's stock market movement), we selected 1,950 samples by applying random sampling. Finally, we built the training dataset using 80% of the total dataset (1,560 samples), and the validation dataset using 20% (390 samples). The dependent variables of the experimental dataset included twelve technical indicators popularly been used in the previous studies. They include Stochastic %K, Stochastic %D, Momentum, ROC(rate of change), LW %R(Larry William's %R), A/D oscillator(accumulation/distribution oscillator), OSCP(price oscillator), CCI(commodity channel index), and so on. To confirm the superiority of CNN-FG, we compared its prediction accuracy with the ones of other classification models. Experimental results showed that CNN-FG outperforms LOGIT(logistic regression), ANN(artificial neural network), and SVM(support vector machine) with the statistical significance. These empirical results imply that converting time series business data into graphs and building CNN-based classification models using these graphs can be effective from the perspective of prediction accuracy. Thus, this paper sheds a light on how to apply deep learning techniques to the domain of business problem solving.

The Photography as Technological Aesthetics (데크놀로지 미학으로서의 사진)

  • Jin, Dong-Sun
    • Journal of Science of Art and Design
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    • v.11
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    • pp.221-249
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    • 2007
  • Today, photography is facing to the crisis of identity and dilemma of ontology from the digital imaging process in the new technology form. It is very important points to say rethinking of the traditional photographic medium, that has changed the way we view the world and ourselves is perhaps an understatement and that photography has transformed our essential understanding of reality. Now, no longer are photographic images regarded as the true automatic recording, innocent evidence and the mirror to the reality. Rather, photography constructs the world for our entertainment, helping to create the comforting illusions by which we live. The recognition that photographs are not constructions and reflections of reality, is the basis for the actual presence within the contemporary photographic world. It is shock. This thesis's aim is to look for the problems of photographic identity and ontological crisis that is controlling and regulating digital photographic imagery, allowing the reproduction of the electronic simulations era. Photography loses its special aesthetic status and becomes no more true information and, exclusively evidence by traditional film and paper that appeared both as a technological accuracy and as a medium-specific aesthetic. The result, photography is facing two crises, one is the photographic ontology(the introduction of computerized digital images) and the other is photographic epistemology(having to do broader changes in ethics, knowledge and culture). Taken together, these crises apparently threaten us with the death of photography, with the 'end' of photography and the culture it sustains. The thesis's meaning is to look into the dilemma of photography's ontology and epistemology, especially, automatical index and digital codes from its origin, meaning, and identity as the technological medium. Thus, in particular, thesis focuses on the analog imagery presence, from the nature in the material world, and the digital imagery presence from the cultural situations in our society. And also thesis's aim is to examine the main issues of the history of photography has been concentrated on the ontological arguments since the discovery of photography in 1839. Photography has never been only one static technology form. Rather, its nearly two centuries of technological development have been marked by numerous, competing of technological innovation and self revolution from the dual aspects. This thesis examines recent account of photography by the analysis of the medium's concept, meaning, identity between film base image and digital base image from the aspects of photographic ontology and epistemology. Thus, the structure of thesis is fairy straightforward to examine what appear to be two opposing view of photographic conditions and ontological situations. Thesis' view contrasts that figure out the value of photography according to its fundamental characteristic as a medium. Also, it seeks a possible solution to the dilemma of photographic ontology through the medium's origin from the early years of the nineteenth century to the raising questions about the different meaning(analog/digital) of photography, now. Finally, this thesis emphasizes and concludes that the photographic ontological crisis reflects to the paradoxical dynamic structure, that unsolved the origins of the medium, itself. Moreover, even photography is not single identity of the photographic ontology, and also can not be understood as having a static identity or singular status from the dynamic field of technologies, practices, and images.

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Evaluation of the Interfraction Setup Errors using On Board- Imager (OBI) (On board imager를 이용한 치료간 환자 셋업오차 평가)

  • Jang, Eun-Sung;Baek, Seong-Min;Ko, Seung-Jin;Kang, Se-Sik
    • Journal of the Korean Society of Radiology
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    • v.3 no.3
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    • pp.5-11
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    • 2009
  • When using Image Guided Radiation Therapy, the patient is placed using skin marker first and after confirming anatomical location using OBI, the couch is moved to correct the set up. Evaluation for the error made at that moment was done. Through comparing $0^{\circ}$ and $270^{\circ}$ direction DRR image and OBI image with 2D-2D matching when therapy planning, comparison between patient's therapy plan setup and actual treatment setup was made to observe the error. Treatment confirmation on important organs such as head, neck and spinal cord was done every time through OBI setup and other organs such as chest, abdomen and pelvis was done 2 ~ 3 times a week. But corrections were all recorded on OIS so that evaluation on accuracy could be made through using skin index which was divided into head, neck, chest and abdomen-pelvis on 160 patients. Average setup error for head and neck patient on each AP, SI, RL direction was $0.2{\pm}0.2cm$, $-0.1{\pm}0.1cm$, $-0.2{\pm}0.0cm$, chest patient was $-0.5{\pm}0.1cm$, $0.3{\pm}0.3cm$, $0.4{\pm}0.2cm$, and abdomen was $0.4{\pm}0.4cm$, $-0.5{\pm}0.1cm$, $-0.4{\pm}0.1cm$. In case of pelvis, it was $0.5{\pm}0.3cm$, $0.8{\pm}0.4cm$, $-0.3{\pm}0.2cm$. In rigid body parts such as head and neck showed lesser setup error compared to chest and abdomen. Error was greater on chest in horizontal axis and in AP direction, abdomen-pelvis showed greater error. Error was greater on chest in horizontal axis because of the curve in patient's body when the setup is made. Error was greater on abdomen in AP direction because of the change in front and back location due to breathing of patient. There was no systematic error on patient setup system. Since OBI confirms the anatomical location, when focus is located on the skin, it is more precise to use skin marker to setup. When compared with 3D-3D conformation, although 2D-2D conformation can't find out the rolling error, it has lesser radiation exposure and shorter setup confirmation time. Therefore, on actual clinic, 2D-2D conformation is more appropriate.

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Stand Growth Estimation Using Nonlinear Growth Equations (비선형(非線型) 생장함수(生長函數)를 이용(利用)한 임분생장(林分生長) 추정(推定))

  • Son, Yeong Mo;Lee, Kyeong Hak;Chung, Young Gyo
    • Journal of Korean Society of Forest Science
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    • v.86 no.2
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    • pp.135-145
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    • 1997
  • This study aimed at evaluating one curvilinear equation and nine non-linear equations for estimating stand growth characteristics(mean dbh, mean height and volume per ha) for the plantations of Pinus koraiensis and the natural stands of Quercus mongolica. The data were collected from 92 plots in Pines koraiensis stands and 83 plots in Quercus mongolica stands, and the site index of all the stands is 14. The curvilinear equation, $Y=at^be^{-c/t}$, used in preparing the yield tables was well fitted within the range of data, but was likely to give overestimates when extrapolating in old stage due to the tendency of linear increase. Among the non-linear equations, logistic equation and Sloboda equation gave overestimates in young stands and reached the asymptotic status early which means underestimates in old stage. Extrapolating in old stage, Hossfeld equation generally gave larger values than others due to its large estimates of parameter a, the maximum value. On the other hand, Bertalanffy equation gave underestimates in young and old stands and overestimates in middle-aged stands. The estimates with Korf equation was relatively low for Pinus koraiensis stands, and this tendency was more obvious in dbh growth of Quercus mongolica stands. Ueno-Ohzaki equation was liable to give over or underestimates depending on the value of parameter b when extrapolating in old stands. Considering the accuracy of estimates and the biological base of the growth equations, Gompertz equation, Chapman-Richards equation and Weibull equation were generally applicable for estimating the stand growth characteristics of both species in the whole range of stand ages including extrapolated range. To get more accurate and precise parameter estimates, more data, especially in old stands, should be required in further study.

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Comparison of Natural Flow Estimates for the Han River Basin Using TANK and SWAT Models (TANK 모형과 SWAT 모형을 이용한 한강유역의 자연유출량 산정 비교)

  • Kim, Chul-Gyum;Kim, Nam-Won
    • Journal of Korea Water Resources Association
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    • v.45 no.3
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    • pp.301-316
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    • 2012
  • Two models, TANK and SWAT (Soil and Water Assessment Tool) were compared for simulating natural flows in the Paldang Dam upstream areas of the Han River basin in order to understand the limitations of TANK and to review the applicability and capability of SWAT. For comparison, simulation results from the previous research work were used. In the results for the calibrated watersheds (Chungju Dam and Soyanggang Dam), two models provided promising results for forecasting of daily flows with the Nash-Sutcliffe model efficiency of around 0.8. TANK simulated observations during some peak flood seasons better than SWAT, while it showed poor results during dry seasons, especially its simulations did not fall down under a certain value. It can be explained that TANK was calibrated for relatively larger flows than smaller ones. SWAT results showed a relatively good agreement with observed flows except some flood flows, and simulated inflows at the Paldang Dam considering discharges from upper dams coincided with observations with the model efficiency of around 0.9. This accounts for SWAT applicability with higher accuracy in predicting natural flows without dam operation or artificial water uses, and in assessing flow variations before and after dam development. Also, two model results were compared for other watersheds such as Pyeongchang-A, Dalcheon-B, Seomgang-B, Inbuk-A, Hangang-D, and Hongcheon-A to which calibrated TANK parameters were applied. The results were similar to the case of calibrated watersheds, that TANK simulated poor smaller flows except some flood flows and had same problem of keeping on over a certain value in dry seasons. This indicates that TANK application may have fatal uncertainties in estimating low flows used as an important index in water resources planning and management. Therefore, in order to reflect actually complex and complicated physical characteristics of Korean watersheds, and to manage efficiently water resources according to the land use and water use changes with urbanization or climate change in the future, it is necessary to utilize a physically based watershed model like SWAT rather than an existing conceptual lumped model like TANK.

Improvement of infrared channel emissivity data in COMS observation area from recent MODIS data(2009-2012) (최근 MODIS 자료(2009-2012)를 이용한 천리안 관측 지역의 적외채널 방출률 자료 개선)

  • Park, Ki-Hong;Suh, Myoung-Seok
    • Korean Journal of Remote Sensing
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    • v.30 no.1
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    • pp.109-126
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    • 2014
  • We improved the Land Surface Emissivity (LSE) data (Kongju National University LSE v.2: KNULSE_v2) over the Communication, Ocean and Meteorological Satellite (COMS) observation region using recent(2009-2012) Moderate Resolution Imaging Spectroradiometer (MODIS) data. The surface emissivity was derived using the Vegetation Cover Method (VCM) based on the assumption that the pixel is only composed of ground and vegetation. The main issues addressed in this study are as follows: 1) the impacts of snow cover are included using Normalized Difference Snow Index (NDSI) data, 2) the number of channels is extended from two (11, 12 ${\mu}m$) to four channels (3.7, 8.7, 11, 12 ${\mu}m$), 3) the land cover map data is also updated using the optimized remapping of the five state-of-the-art land cover maps, and 4) the latest look-up table for the emissivity of land surface according to the land cover is used. The updated emissivity data showed a strong seasonal variation with high and low values for the summer and winter, respectively. However, the surface emissivity over the desert or evergreen tree areas showed a relatively weak seasonal variation irrespective of the channels. The snow cover generally increases the emissivity of 3.7, 8.7, and 11 ${\mu}m$ but decreases that of 12 ${\mu}m$. As the results show, the pattern correlation between the updated emissivity data and the MODIS LSE data is clearly increased for the winter season, in particular, the 11 ${\mu}m$. However, the differences between the two emissivity data are slightly increased with a maximum increase in the 3.7 ${\mu}m$. The emissivity data updated in this study can be used for the improvement of accuracy of land surface temperature derived from the infrared channel data of COMS.

The Nasal Airflow Pressure Monitoring and the Measurement of Airway Pressure Changes in Obstructive Sleep Apnea Syndrome and Upper Airway Resistance Syndrome (수면무호흡증과 상기도저항 증후군에서 Nasal Airflow의 압력측정 및 상기도 압력변화에 대한 연구)

  • Kim, Hoo-Won;Hong, Seung-Bong
    • Sleep Medicine and Psychophysiology
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    • v.7 no.1
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    • pp.27-33
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    • 2000
  • Objectives: The sensitivity and accuracy of thermistor airflow signal has been debated. The purposes of this study were to compare apnea-hypopnea index(AHI) detected from a conventional thermistor signal and a nasal pressure transducer of airflow(NPT), to evaluate the value of NPT for the diagnosis of upper airway resistance syndrome(UARS), and to measure airway pressure fluctuations which produced respiratory arousals in UARS by naso-oro-esophageal manometer catheter. The subjects were 30 patients with obstructive sleep apnea syndrome [mild(540), 10), and 6 UARS patients. Airway resistance arousal in this study was defined as arousals which were not associated with apnea or hypopnea of thermistor signal, but showed significant decrease of nasal airflow pressure just before arousal and a prompt recovery of nasal airflow pressure after arousal. The airway pressure fluctuations were measured during 260 airway resistance arousals observed in 10 patients with OSAS, 2 with UARS. Results: Mean AHIs of patients with OSAS were 33.4 by thermistor and 48.4 by NPT. The AHIs of mild, moderate and severe OSAS groups were 10.2, 32.1, 65.4 respectively by thermistor and 23.1, 45.9, 76.4 by NPT. The mean AHI of patients with UARS was 3.2 by thermistor and 10.8 by NPT. The mean AHI of patients with nonspecific arousals was 2.7 by thermistor and 4.4 by NPT. The mean airway pressure changes during respiratory arousals of different groups were $8.7\;cmH_2O$ in mild OSAS, $11.4\;cmH_2O$ in moderate OSAS, $24.7\;cmH_2O$ in severe OSAS and $6.6\;cmH_2O$ in UARS. Conclusion: The nasal pressure transducer of airflow was more sensitive and accurate for assessing respiratory disturbances of patients with OSAS and was extremely helpful for the diagnosis of UARS without esophageal pressure monitoring. From the results, we would like to propose carefully the NPT diagnostic criteria for sleep disordered breathing as follows: NPT-AHI 5-15 $\rightarrow$ UARS, 15-35 $\rightarrow$ mild OSAS, 35-55 $\rightarrow$ moderate OSAS and >55 $\rightarrow$ severe OSAS.

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A Document Collection Method for More Accurate Search Engine (정확도 높은 검색 엔진을 위한 문서 수집 방법)

  • Ha, Eun-Yong;Gwon, Hui-Yong;Hwang, Ho-Yeong
    • The KIPS Transactions:PartA
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    • v.10A no.5
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    • pp.469-478
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    • 2003
  • Internet information search engines using web robots visit servers conneted to the Internet periodically or non-periodically. They extract and classify data collected according to their own method and construct their database, which are the basis of web information search engines. There procedure are repeated very frequently on the Web. Many search engine sites operate this processing strategically to become popular interneet portal sites which provede users ways how to information on the web. Web search engine contacts to thousands of thousands web servers and maintains its existed databases and navigates to get data about newly connected web servers. But these jobs are decided and conducted by search engines. They run web robots to collect data from web servers without knowledge on the states of web servers. Each search engine issues lots of requests and receives responses from web servers. This is one cause to increase internet traffic on the web. If each web server notify web robots about summary on its public documents and then each web robot runs collecting operations using this summary to the corresponding documents on the web servers, the unnecessary internet traffic is eliminated and also the accuracy of data on search engines will become higher. And the processing overhead concerned with web related jobs on web servers and search engines will become lower. In this paper, a monitoring system on the web server is designed and implemented, which monitors states of documents on the web server and summarizes changes of modified documents and sends the summary information to web robots which want to get documents from the web server. And an efficient web robot on the web search engine is also designed and implemented, which uses the notified summary and gets corresponding documents from the web servers and extracts index and updates its databases.

Consideration on Measured Patients Dose of Three-Dimensional and Four-Dimensional Computer Tomography when CT-Simulation to Radiation Therapy (방사선치료를 위한 CT 검사 시 3DCT와 4DCT에 대한 피폭선량 고찰)

  • Park, Ryeong-Hwang;Kim, Min-Jung;Lee, Sang-Kyu;Park, Kwang-Woo;Jeon, Byeong-Cheol;Cho, Jeong-Hee;Yoo, Beong-Gyu;Lee, Jong-Seok
    • Journal of radiological science and technology
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    • v.34 no.4
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    • pp.341-349
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    • 2011
  • This study was to measure the patient dose difference between 3D treatment planning CT and 4D respiratory gating CT. Study was performed with each 10 patients who have lung and liver cancer for measured patient exposure dose by using SOMATON SENSATION OPEN(SIMENS, GERMANY). CTDIvol and DLP value was used to analyze patient dose, and actual dose was measured in the location of liver and kidney for abdominal examination and lung, heart and spinal cord for chest examination. Rando phantom were used for the experiment. OSLD was used for in-vitro and in-vivo dosimetry. Increasing overall actual dose in 4D respiratory gated CT-simulation using OSLD increase the dose by 5.5 times for liver cancer patients and 6 times for lung cancer patients. In CT simulation of 10 lung cancer patients, CTDIvol value was increased by 5.7 times and DLP 2.4 times. For liver cancer patients, CTDIvol was risen by 3.8 times and DLP 1.6 times. The accuracy of treatment volume could be increased in 4D CT planning for position change due to the breaths of patient in the radiation therapy. However, patients dose was increased in 4D CT than 3D CT. In conclusion, constant efforts is required to reduce patients dose by reducing scan time and scan range.