• Title/Summary/Keyword: mathematical machine

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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.

A development of DS/CDMA MODEM architecture and its implementation (DS/CDMA 모뎀 구조와 ASIC Chip Set 개발)

  • 김제우;박종현;김석중;심복태;이홍직
    • The Journal of Korean Institute of Communications and Information Sciences
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    • v.22 no.6
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    • pp.1210-1230
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    • 1997
  • In this paper, we suggest an architecture of DS/CDMA tranceiver composed of one pilot channel used as reference and multiple traffic channels. The pilot channel-an unmodulated PN code-is used as the reference signal for synchronization of PN code and data demondulation. The coherent demodulation architecture is also exploited for the reverse link as well as for the forward link. Here are the characteristics of the suggested DS/CDMA system. First, we suggest an interlaced quadrature spreading(IQS) method. In this method, the PN coe for I-phase 1st channel is used for Q-phase 2nd channels and the PN code for Q-phase 1st channel is used for I-phase 2nd channel, and so on-which is quite different from the eisting spreading schemes of DS/CDMA systems, such as IS-95 digital CDMA cellular or W-CDMA for PCS. By doing IQS spreading, we can drastically reduce the zero crossing rate of the RF signals. Second, we introduce an adaptive threshold setting for the synchronization of PN code, an initial acquistion method that uses a single PN code generator and reduces the acquistion time by a half compared the existing ones, and exploit the state machines to reduce the reacquistion time Third, various kinds of functions, such as automatic frequency control(AFC), automatic level control(ALC), bit-error-rate(BER) estimator, and spectral shaping for reducing the adjacent channel interference, are introduced to improve the system performance. Fourth, we designed and implemented the DS/CDMA MODEM to be used for variable transmission rate applications-from 16Kbps to 1.024Mbps. We developed and confirmed the DS/CDMA MODEM architecture through mathematical analysis and various kind of simulations. The ASIC design was done using VHDL coding and synthesis. To cope with several different kinds of applications, we developed transmitter and receiver ASICs separately. While a single transmitter or receiver ASC contains three channels (one for the pilot and the others for the traffic channels), by combining several transmitter ASICs, we can expand the number of channels up to 64. The ASICs are now under use for implementing a line-of-sight (LOS) radio equipment.

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The Verification of Computer Simulation of Nitinol Wire Stent Using Finite Element Analysis (유한요소법을 이용한 나이티놀 와이어 스텐트의 전산모사 실험 데이터 검증)

  • Kim, Jin-Young;Jung, Won-Gyun;Jeon, Dong-Min;Shin, Il-Gyun;Kim, Han-Ki;Shin, Dong-Oh;Kim, Sang-Ho;Suh, Tae-Suk
    • Progress in Medical Physics
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    • v.20 no.3
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    • pp.139-144
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    • 2009
  • Recently, the mathematical analysis of stent simulation has been improved, with the help of development of various tool which measure mechanical property and location of stent in artery. The most crucial part of the stent modeling is how to design ideal stent and to evaluate the interaction between stent and artery. While there has been great deal of researches on the evaluation of the expansion, stress distribution, deformation of the stent in terms of the various parameters, few verification through computer simulation has been performed about deformation and stress distribution of the stent. In this study, we have produced the corresponding results between experimental test using Universal Testing Machine and computer simulation for the ideal model of stent. Also, we have analyzed and compared stress distribution of stent in the cases of that with membrane and that without membrane. The results of this study would provide minimum change of plan and good quality for ideal stent replacing damaged artery through the analysis using computer simulation in the early stage of stent design.

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