• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.371-381
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• 2017

There has never been research on Chaos analysis using real estate auction sale price rate in Korea. In this study, three Chaos analysis methodologies - Hurst exponent, correlation dimension, and maximum Lyapunov exponent - in order to capture the nonlinear deterministic dynamic system characteristics. High level of Hurst exponent and the extremely low maximum Lyapunov exponent provide the tendency and the persistence of the data. The empirical results give two meaningful facts. First, monthly time lags of the correlation dimension are coincident with the time period from the approval auction start day to the sale price fixing day. Second, its weekly time lags correspond to the time period from the last day of request for sale price allocation to the sale price fixing day. Then, this study potentially examines the predictability of the real estate auction price rate time series.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.13 no.8
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• pp.1647-1652
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• 2009

Generally the neural network and the fuzzy compensative algorithm are applied to forecast the time series for power demand with a characteristic of non-linear dynamic system, but it has a few prediction errors relatively. It also makes long term forecast difficult for sensitivity on the initial condition. On this paper, we evaluate the chaotic characteristic of electrical power demand with analysis methods of qualitative and quantitative and perform a forecast simulation of electrical power demand in regular sequence, attractor reconstruction, time series forecast for multi dimension using Lyapunov exponent quantitatively. We compare simulated results with the previous method and verify that the purpose one being more practice and effective than it.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2009.05a
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• pp.171-174
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• 2009

Generally the neural network and the fuzzy compensative algorithm are applied to forecast the time series for power demand with a characteristic of non-linear dynamic system, but it has a few prediction errors relatively. It also makes long term forecast difficult for sensitivity on the initial condition. On this paper, we evaluate the chaotic characteristic of electrical power demand with analysis methods of qualitative and quantitative and perform a forecast simulation of electrical power demand in regular sequence, attractor reconstruction, time series forecast for multi dimension using Lyapunov exponent quantitatively. We compare simulated results with the previous method and verify that the purpose one being more practice and effective than it.

• Knowledge Management Research
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• v.22 no.4
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• pp.119-133
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• 2021

As a large amount of data is produced in each industry, a number of time series pattern prediction studies are being conducted to make quick business decisions. However, there is a limit to predicting specific patterns in nonlinear time series data due to the uncertainty inherent in the data, and there are difficulties in making strategic decisions in corporate management. In addition, in recent decades, various studies have been conducted on data such as demand/supply and financial markets that are suitable for industrial purposes to predict time series data of irregular random walk models, but predict specific rules and achieve sustainable corporate objectives There are difficulties. In this study, the prediction results were compared and analyzed using the Chaos analysis method for roulette data and financial market data, and meaningful results were derived. And, this study confirmed that chaos analysis is useful for finding a new method in analyzing time series data. By comparing and analyzing the characteristics of roulette games with the time series of Korean stock index future, it was derived that predictive power can be improved if the trend is confirmed, and it is meaningful in determining whether nonlinear time series data with high uncertainty have a specific pattern.

• The Korean Journal of Financial Management
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• v.21 no.1
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• pp.149-181
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• 2004

In this study we perform empirical tests using KOSPI return to investigate the existence of nonlinear characteristics in the generating process of stock returns. There are three categories in empirical tests; the test of nonlinear dependence, nonlinear stochastic process and nonlinear deterministic chaos. According to the analysis of nonlinearity, stock returns are not normally distributed but leptokurtic, and appear to have nonlinear dependence. And it's decided that the nonlinear structure of stock returns can not be completely explained using nonlinear stochastic models of ARCH-type. Nonlinear deterministic chaos system is the feedback system, which the past incidents influence the present, and it is the fractal structure with self-similarity and has the sensitive dependence on initial conditions. To summarize the results of chaos analysis for KOSPI return, it is the persistent time series, which is not IID and has long memory, takes biased random walk, and is estimated to be fractal distribution. Also correlation dimension, as the approximation of fractal dimension, converged stably within 3 and 4, and maximum Lyapunov exponent has positive value. This suggests that chaotic attractor and the sensitive dependence on initial conditions exist in stock returns. These results fit into the characteristics of chaos system. Therefore it's decided that the generating process of stock returns has nonlinear deterministic structure and follow chaotic process.