• Journal of Intelligence and Information Systems
• /
• v.26 no.1
• /
• pp.135-149
• /
• 2020

Artificial intelligences are changing world. Financial market is also not an exception. Robo-Advisor is actively being developed, making up the weakness of traditional asset allocation methods and replacing the parts that are difficult for the traditional methods. It makes automated investment decisions with artificial intelligence algorithms and is used with various asset allocation models such as mean-variance model, Black-Litterman model and risk parity model. Risk parity model is a typical risk-based asset allocation model which is focused on the volatility of assets. It avoids investment risk structurally. So it has stability in the management of large size fund and it has been widely used in financial field. XGBoost model is a parallel tree-boosting method. It is an optimized gradient boosting model designed to be highly efficient and flexible. It not only makes billions of examples in limited memory environments but is also very fast to learn compared to traditional boosting methods. It is frequently used in various fields of data analysis and has a lot of advantages. So in this study, we propose a new asset allocation model that combines risk parity model and XGBoost machine learning model. This model uses XGBoost to predict the risk of assets and applies the predictive risk to the process of covariance estimation. There are estimated errors between the estimation period and the actual investment period because the optimized asset allocation model estimates the proportion of investments based on historical data. these estimated errors adversely affect the optimized portfolio performance. This study aims to improve the stability and portfolio performance of the model by predicting the volatility of the next investment period and reducing estimated errors of optimized asset allocation model. As a result, it narrows the gap between theory and practice and proposes a more advanced asset allocation model. In this study, we used the Korean stock market price data for a total of 17 years from 2003 to 2019 for the empirical test of the suggested model. The data sets are specifically composed of energy, finance, IT, industrial, material, telecommunication, utility, consumer, health care and staple sectors. We accumulated the value of prediction using moving-window method by 1,000 in-sample and 20 out-of-sample, so we produced a total of 154 rebalancing back-testing results. We analyzed portfolio performance in terms of cumulative rate of return and got a lot of sample data because of long period results. Comparing with traditional risk parity model, this experiment recorded improvements in both cumulative yield and reduction of estimated errors. The total cumulative return is 45.748%, about 5% higher than that of risk parity model and also the estimated errors are reduced in 9 out of 10 industry sectors. The reduction of estimated errors increases stability of the model and makes it easy to apply in practical investment. The results of the experiment showed improvement of portfolio performance by reducing the estimated errors of the optimized asset allocation model. Many financial models and asset allocation models are limited in practical investment because of the most fundamental question of whether the past characteristics of assets will continue into the future in the changing financial market. However, this study not only takes advantage of traditional asset allocation models, but also supplements the limitations of traditional methods and increases stability by predicting the risks of assets with the latest algorithm. There are various studies on parametric estimation methods to reduce the estimated errors in the portfolio optimization. We also suggested a new method to reduce estimated errors in optimized asset allocation model using machine learning. So this study is meaningful in that it proposes an advanced artificial intelligence asset allocation model for the fast-developing financial markets.

• The Journal of Korean Society for Radiation Therapy
• /
• v.25 no.2
• /
• pp.181-186
• /
• 2013

Purpose: This study executed therapy plans on prostate cancer (homogeneous density area) and lung cancer (non-homogeneous density area) using radiation treatment planning systems such as $Pinnacle^3$ (version 9.2, Philips Medical Systems, USA) and Eclipse (version 10.0, Varian Medical Systems, USA) in order to quantify the difference between dose calculation according to density in IMRT. Materials and Methods: The subjects were prostate cancer patients (n=5) and lung cancer patients (n=5) who had therapies in our hospital. Identical constraints and optimization process according to the Protocol were administered on the subjects. For the therapy plan of prostate cancer patients, 10 MV and 7Beam were used and 2.5 Gy was prescribed in 28 fx to make 70 Gy in total. For lung cancer patients, 6 MV and 6Beam were used and 2 Gy was prescribed in 33 fx to make 66 Gy in total. Through two therapy planning systems, maximum dose, average dose, and minimum dose of OAR (Organ at Risk) of CTV, PTV and around tumor were investigated. Results: In prostate cancer, both therapy planning systems showed within 2% change of dose of CTV and PTV and normal organs (Bladder, Both femur and Rectum out) near the tumor satisfied the dose constraints. In lung cancer, CTV and PTV showed less than 2% changes in dose and normal organs (Esophagus, Spinal cord and Both lungs) satisfied dose restrictions. However, the minimum dose of Eclipse therapy plan was 1.9% higher in CTV and 3.5% higher in PTV, and in case of both lungs there was 3.0% difference at V5 Gy. Conclusion: Each TPS according to the density satisfied dose limits of our hospital proving the clinical accuracy. It is considered more accurate and precise therapy plan can be made if studies on treatment planning for diverse parts and the application of such TPS are made.

• Asia pacific journal of information systems
• /
• v.24 no.2
• /
• pp.233-253
• /
• 2014

Can the stock market really be predicted? Stock market prediction has attracted much attention from many fields including business, economics, statistics, and mathematics. Early research on stock market prediction was based on random walk theory (RWT) and the efficient market hypothesis (EMH). According to the EMH, stock market are largely driven by new information rather than present and past prices. Since it is unpredictable, stock market will follow a random walk. Even though these theories, Schumaker [2010] asserted that people keep trying to predict the stock market by using artificial intelligence, statistical estimates, and mathematical models. Mathematical approaches include Percolation Methods, Log-Periodic Oscillations and Wavelet Transforms to model future prices. Examples of artificial intelligence approaches that deals with optimization and machine learning are Genetic Algorithms, Support Vector Machines (SVM) and Neural Networks. Statistical approaches typically predicts the future by using past stock market data. Recently, financial engineers have started to predict the stock prices movement pattern by using the SNS data. SNS is the place where peoples opinions and ideas are freely flow and affect others' beliefs on certain things. Through word-of-mouth in SNS, people share product usage experiences, subjective feelings, and commonly accompanying sentiment or mood with others. An increasing number of empirical analyses of sentiment and mood are based on textual collections of public user generated data on the web. The Opinion mining is one domain of the data mining fields extracting public opinions exposed in SNS by utilizing data mining. There have been many studies on the issues of opinion mining from Web sources such as product reviews, forum posts and blogs. In relation to this literatures, we are trying to understand the effects of SNS exposures of firms on stock prices in Korea. Similarly to Bollen et al. [2011], we empirically analyze the impact of SNS exposures on stock return rates. We use Social Metrics by Daum Soft, an SNS big data analysis company in Korea. Social Metrics provides trends and public opinions in Twitter and blogs by using natural language process and analysis tools. It collects the sentences circulated in the Twitter in real time, and breaks down these sentences into the word units and then extracts keywords. In this study, we classify firms' exposures in SNS into two groups: positive and negative. To test the correlation and causation relationship between SNS exposures and stock price returns, we first collect 252 firms' stock prices and KRX100 index in the Korea Stock Exchange (KRX) from May 25, 2012 to September 1, 2012. We also gather the public attitudes (positive, negative) about these firms from Social Metrics over the same period of time. We conduct regression analysis between stock prices and the number of SNS exposures. Having checked the correlation between the two variables, we perform Granger causality test to see the causation direction between the two variables. The research result is that the number of total SNS exposures is positively related with stock market returns. The number of positive mentions of has also positive relationship with stock market returns. Contrarily, the number of negative mentions has negative relationship with stock market returns, but this relationship is statistically not significant. This means that the impact of positive mentions is statistically bigger than the impact of negative mentions. We also investigate whether the impacts are moderated by industry type and firm's size. We find that the SNS exposures impacts are bigger for IT firms than for non-IT firms, and bigger for small sized firms than for large sized firms. The results of Granger causality test shows change of stock price return is caused by SNS exposures, while the causation of the other way round is not significant. Therefore the correlation relationship between SNS exposures and stock prices has uni-direction causality. The more a firm is exposed in SNS, the more is the stock price likely to increase, while stock price changes may not cause more SNS mentions.

• Progress in Medical Physics
• /
• v.23 no.1
• /
• pp.8-14
• /
• 2012

In order to develop a Patient respiratory management system includinga biofeedback function for4-dimentional radiation therapy, this study investigated anoptimal tracking algorithmfor moving target using IR (Infra-red) camera as well as commercial camera. A tracking system was developed by LabVIEW 2010. Motion phantom images were acquired using a camera (IR or commercial). After image process were conducted to convert acquired image to binary image by applying a threshold values, several edge enhance methods such as Sobel, Prewitt, Differentiation, Sigma, Gradient, Roberts, were applied. The targetpattern was defined in the images, and acquired image from a moving targetwas tracked by matching pre-defined tracking pattern. During the matching of imagee, thecoordinateof tracking point was recorded. In order to assess the performance of tracking algorithm, the value of score which represents theaccuracy of pattern matching was defined. To compare the algorithm objectively, we repeat experiments 3 times for 5 minuts for each algorithm. Average valueand standard deviations (SD) of score were automatically calculatedsaved as ASCII format. Score of threshold only was 706, and standard deviation was 84. The value of average and SD for other algorithms which combined edge detection method and thresholdwere 794, 64 in Sobel, 770, 101 in Differentiation, 754, 85 in Gradient, 763, 75 in Prewitt, 777, 93 in Roberts, and 822, 62 in Sigma, respectively. According to score analysis, the most efficient tracking algorithm is the Sigma method. Therefore, 4-dimentional radiation threapy is expected tobemore efficient if threshold and Sigma edge detection method are used together in target tracking.

• Journal of Intelligence and Information Systems
• /
• v.25 no.3
• /
• pp.43-62
• /
• 2019

At one time, the anomaly detection sector dominated the method of determining whether there was an abnormality based on the statistics derived from specific data. This methodology was possible because the dimension of the data was simple in the past, so the classical statistical method could work effectively. However, as the characteristics of data have changed complexly in the era of big data, it has become more difficult to accurately analyze and predict the data that occurs throughout the industry in the conventional way. Therefore, SVM and Decision Tree based supervised learning algorithms were used. However, there is peculiarity that supervised learning based model can only accurately predict the test data, when the number of classes is equal to the number of normal classes and most of the data generated in the industry has unbalanced data class. Therefore, the predicted results are not always valid when supervised learning model is applied. In order to overcome these drawbacks, many studies now use the unsupervised learning-based model that is not influenced by class distribution, such as autoencoder or generative adversarial networks. In this paper, we propose a method to detect anomalies using generative adversarial networks. AnoGAN, introduced in the study of Thomas et al (2017), is a classification model that performs abnormal detection of medical images. It was composed of a Convolution Neural Net and was used in the field of detection. On the other hand, sequencing data abnormality detection using generative adversarial network is a lack of research papers compared to image data. Of course, in Li et al (2018), a study by Li et al (LSTM), a type of recurrent neural network, has proposed a model to classify the abnormities of numerical sequence data, but it has not been used for categorical sequence data, as well as feature matching method applied by salans et al.(2016). So it suggests that there are a number of studies to be tried on in the ideal classification of sequence data through a generative adversarial Network. In order to learn the sequence data, the structure of the generative adversarial networks is composed of LSTM, and the 2 stacked-LSTM of the generator is composed of 32-dim hidden unit layers and 64-dim hidden unit layers. The LSTM of the discriminator consists of 64-dim hidden unit layer were used. In the process of deriving abnormal scores from existing paper of Anomaly Detection for Sequence data, entropy values of probability of actual data are used in the process of deriving abnormal scores. but in this paper, as mentioned earlier, abnormal scores have been derived by using feature matching techniques. In addition, the process of optimizing latent variables was designed with LSTM to improve model performance. The modified form of generative adversarial model was more accurate in all experiments than the autoencoder in terms of precision and was approximately 7% higher in accuracy. In terms of Robustness, Generative adversarial networks also performed better than autoencoder. Because generative adversarial networks can learn data distribution from real categorical sequence data, Unaffected by a single normal data. But autoencoder is not. Result of Robustness test showed that he accuracy of the autocoder was 92%, the accuracy of the hostile neural network was 96%, and in terms of sensitivity, the autocoder was 40% and the hostile neural network was 51%. In this paper, experiments have also been conducted to show how much performance changes due to differences in the optimization structure of potential variables. As a result, the level of 1% was improved in terms of sensitivity. These results suggest that it presented a new perspective on optimizing latent variable that were relatively insignificant.

• Journal of Intelligence and Information Systems
• /
• v.29 no.2
• /
• pp.101-114
• /
• 2023

In the wartime, aircraft carrying out a mission to strike the enemy deep in the depth are exposed to the risk of being shoot down. As a key combat force in mordern warfare, it takes a lot of time, effot and national budget to train military flight personnel who operate high-tech weapon systems. Therefore, this study studied the path problem of predicting the route of emergency escape from enemy territory to the target point to avoid obstacles, and through this, the possibility of safe recovery of emergency escape military flight personnel was increased. based problem, transforming the problem into a TSP, VRP, and Dijkstra algorithm, and approaching it with an optimization technique. However, if this problem is approached in a network problem, it is difficult to reflect the dynamic factors and uncertainties of the battlefield environment that military flight personnel in distress will face. So, MDP suitable for modeling dynamic environments was applied and studied. In addition, GIS was used to obtain topographic information data, and in the process of designing the reward structure of MDP, topographic information was reflected in more detail so that the model could be more realistic than previous studies. In this study, value iteration algorithms and deterministic methods were used to derive a path that allows the military flight personnel in distress to move to the shortest distance while making the most of the topographical advantages. In addition, it was intended to add the reality of the model by adding actual topographic information and obstacles that the military flight personnel in distress can meet in the process of escape and escape. Through this, it was possible to predict through which route the military flight personnel would escape and escape in the actual situation. The model presented in this study can be applied to various operational situations through redesign of the reward structure. In actual situations, decision support based on scientific techniques that reflect various factors in predicting the escape route of the military flight personnel in distress and conducting combat search and rescue operations will be possible.

• Journal of Intelligence and Information Systems
• /
• v.26 no.4
• /
• pp.27-65
• /
• 2020

Many companies on information and communication technology make public their own developed AI technology, for example, Google's TensorFlow, Facebook's PyTorch, Microsoft's CNTK. By releasing deep learning open source software to the public, the relationship with the developer community and the artificial intelligence (AI) ecosystem can be strengthened, and users can perform experiment, implementation and improvement of it. Accordingly, the field of machine learning is growing rapidly, and developers are using and reproducing various learning algorithms in each field. Although various analysis of open source software has been made, there is a lack of studies to help develop or use deep learning open source software in the industry. This study thus attempts to derive a strategy for adopting the framework through case studies of a deep learning open source framework. Based on the technology-organization-environment (TOE) framework and literature review related to the adoption of open source software, we employed the case study framework that includes technological factors as perceived relative advantage, perceived compatibility, perceived complexity, and perceived trialability, organizational factors as management support and knowledge & expertise, and environmental factors as availability of technology skills and services, and platform long term viability. We conducted a case study analysis of three companies' adoption cases (two cases of success and one case of failure) and revealed that seven out of eight TOE factors and several factors regarding company, team and resource are significant for the adoption of deep learning open source framework. By organizing the case study analysis results, we provided five important success factors for adopting deep learning framework: the knowledge and expertise of developers in the team, hardware (GPU) environment, data enterprise cooperation system, deep learning framework platform, deep learning framework work tool service. In order for an organization to successfully adopt a deep learning open source framework, at the stage of using the framework, first, the hardware (GPU) environment for AI R&D group must support the knowledge and expertise of the developers in the team. Second, it is necessary to support the use of deep learning frameworks by research developers through collecting and managing data inside and outside the company with a data enterprise cooperation system. Third, deep learning research expertise must be supplemented through cooperation with researchers from academic institutions such as universities and research institutes. Satisfying three procedures in the stage of using the deep learning framework, companies will increase the number of deep learning research developers, the ability to use the deep learning framework, and the support of GPU resource. In the proliferation stage of the deep learning framework, fourth, a company makes the deep learning framework platform that improves the research efficiency and effectiveness of the developers, for example, the optimization of the hardware (GPU) environment automatically. Fifth, the deep learning framework tool service team complements the developers' expertise through sharing the information of the external deep learning open source framework community to the in-house community and activating developer retraining and seminars. To implement the identified five success factors, a step-by-step enterprise procedure for adoption of the deep learning framework was proposed: defining the project problem, confirming whether the deep learning methodology is the right method, confirming whether the deep learning framework is the right tool, using the deep learning framework by the enterprise, spreading the framework of the enterprise. The first three steps (i.e. defining the project problem, confirming whether the deep learning methodology is the right method, and confirming whether the deep learning framework is the right tool) are pre-considerations to adopt a deep learning open source framework. After the three pre-considerations steps are clear, next two steps (i.e. using the deep learning framework by the enterprise and spreading the framework of the enterprise) can be processed. In the fourth step, the knowledge and expertise of developers in the team are important in addition to hardware (GPU) environment and data enterprise cooperation system. In final step, five important factors are realized for a successful adoption of the deep learning open source framework. This study provides strategic implications for companies adopting or using deep learning framework according to the needs of each industry and business.