• Title/Summary/Keyword: rule learning

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The Validity and Reliability of 'Computerized Neurocognitive Function Test' in the Elementary School Child (학령기 정상아동에서 '전산화 신경인지기능검사'의 타당도 및 신뢰도 분석)

  • Lee, Jong-Bum;Kim, Jin-Sung;Seo, Wan-Seok;Shin, Hyoun-Jin;Bai, Dai-Seg;Lee, Hye-Lin
    • Korean Journal of Psychosomatic Medicine
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    • v.11 no.2
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    • pp.97-117
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    • 2003
  • Objective: This study is to examine the validity and reliability of Computerized Neurocognitive Function Test among normal children in elementary school. Methods: K-ABC, K-PIC, and Computerized Neurocognitive Function Test were performed to the 120 body of normal children(10 of each male and female) from June, 2002 to January, 2003. Those children had over the average of intelligence and passed the rule out criteria. To verify test-retest reliability for those 30 children who were randomly selected, Computerized Neurocognitive Function Test was carried out again 4 weeks later. Results: As a results of correlation analysis for validity test, four of continues performance tests matched with those on adults. In the memory tests, results presented the same as previous research with a difference between forward test and backward test in short-term memory. In higher cognitive function tests, tests were consist of those with different purpose respectively. After performing factor analysis on 43 variables out of 12 tests, 10 factors were raised and the total percent of variance was 75.5%. The reasons were such as: 'sustained attention, information processing speed, vigilance, verbal learning, allocation of attention and concept formation, flexibility, concept formation, visual learning, short-term memory, and selective attention' in order. In correlation with K-ABC to prepare explanatory criteria, selectively significant correlation(p<.0.5-001) was found in subscale of K-ABC. In the test-retest reliability test, the results reflecting practice effect were found and prominent especially in higher cognitive function tests. However, split-half reliability(r=0.548-0.7726, p<.05) and internal consistency(0.628-0.878, p<.05) of each examined group were significantly high. Conclusion: The performance of Computerized Neurocognitive Function Test in normal children represented differ developmental character than that in adult. And basal information for preparing the explanatory criteria could be acquired by searching for the relation with standardized intelligence test which contains neuropsycological background.

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A Study on Junghui Kim's Concepts in Seodok(書牘) (서독(書牘)에 나타난 완당(阮堂) 김정희(金正喜)의 사상(思想) 연구(硏究))

  • Kwon, Hyok-Soon
    • (The)Study of the Eastern Classic
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    • no.33
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    • pp.279-304
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    • 2008
  • This paper draws out the contents related to "Yuk(易)" Silhak(實學), and discusses the tendency in order to review the ideas shown in Wandang's Seodok(書牘). Also, it studies Taoism expressed in Seodok in terms of figuring out Wandang's Taoism. The features of his thoughts are following. The first one is the use of "Yuk(易)" for Soogichiin(修己治人). What he considered most important was Eumsiknamnyu(飮食男女) linked directly to the people's life. He maintained that a country must be ruled by doing Soogi(修己) with "Yuk(易)" and by making use of "Yuk(易)". The next one is both a view of Gyungsechiyong(經世致用) of Dongseoboolboon(東西不分) and a natural view of Iyonghooseng(利用厚生), standing on Silsagusi(實事求是). He actively accepted new learning and concepts those days, and he asserted that Western techniques should be even imitated for the sake of the nation. Thirdly, his view of Moowi(無爲) and Boolun(不言). He didn't use to do any Jakwi(作爲) of Jeosool(著述). This kind of view seems to save his life and be connected to Yangshin(養身) even though others tried to keep a jealous eye on and entrap him. Last, his concept of Jayeonsooneung(自然順應) and Jayeonhoigui(自然回歸). It is shown through his wish of farm work and his politics, saying that a king ought not to bind the people with faithfulness and propriety, and that he ought to rule the nation with humanity. In sum, Wandang's ideas shown in Seodok can be divided into two streams. One is Boshin(保身) through Moowijayeon(無爲自然), Boolun(不言), and Jayeonhoigui(自然回歸). The other is a pursuit of his studies for the purpose of Dukchi(德治) followed by Soogichiin, Kyongsechiyong, Iyonghooseng, and Injung. Here, since Boshin can be said to be advanced Soogi, and Soogichiin and others are connected directly to people's comfortable life, they can be integrated to Soogiianbaeksung(修己以安百姓). In other words, his thoughts were based on the fusion of Confucianism and Taoism, and he aimed at Soogiianbaeksung by accepting and using to take a look at the change of period and learning.

A Study on the Establishment of Comparison System between the Statement of Military Reports and Related Laws (군(軍) 보고서 등장 문장과 관련 법령 간 비교 시스템 구축 방안 연구)

  • Jung, Jiin;Kim, Mintae;Kim, Wooju
    • Journal of Intelligence and Information Systems
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    • v.26 no.3
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    • pp.109-125
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    • 2020
  • The Ministry of National Defense is pushing for the Defense Acquisition Program to build strong defense capabilities, and it spends more than 10 trillion won annually on defense improvement. As the Defense Acquisition Program is directly related to the security of the nation as well as the lives and property of the people, it must be carried out very transparently and efficiently by experts. However, the excessive diversification of laws and regulations related to the Defense Acquisition Program has made it challenging for many working-level officials to carry out the Defense Acquisition Program smoothly. It is even known that many people realize that there are related regulations that they were unaware of until they push ahead with their work. In addition, the statutory statements related to the Defense Acquisition Program have the tendency to cause serious issues even if only a single expression is wrong within the sentence. Despite this, efforts to establish a sentence comparison system to correct this issue in real time have been minimal. Therefore, this paper tries to propose a "Comparison System between the Statement of Military Reports and Related Laws" implementation plan that uses the Siamese Network-based artificial neural network, a model in the field of natural language processing (NLP), to observe the similarity between sentences that are likely to appear in the Defense Acquisition Program related documents and those from related statutory provisions to determine and classify the risk of illegality and to make users aware of the consequences. Various artificial neural network models (Bi-LSTM, Self-Attention, D_Bi-LSTM) were studied using 3,442 pairs of "Original Sentence"(described in actual statutes) and "Edited Sentence"(edited sentences derived from "Original Sentence"). Among many Defense Acquisition Program related statutes, DEFENSE ACQUISITION PROGRAM ACT, ENFORCEMENT RULE OF THE DEFENSE ACQUISITION PROGRAM ACT, and ENFORCEMENT DECREE OF THE DEFENSE ACQUISITION PROGRAM ACT were selected. Furthermore, "Original Sentence" has the 83 provisions that actually appear in the Act. "Original Sentence" has the main 83 clauses most accessible to working-level officials in their work. "Edited Sentence" is comprised of 30 to 50 similar sentences that are likely to appear modified in the county report for each clause("Original Sentence"). During the creation of the edited sentences, the original sentences were modified using 12 certain rules, and these sentences were produced in proportion to the number of such rules, as it was the case for the original sentences. After conducting 1 : 1 sentence similarity performance evaluation experiments, it was possible to classify each "Edited Sentence" as legal or illegal with considerable accuracy. In addition, the "Edited Sentence" dataset used to train the neural network models contains a variety of actual statutory statements("Original Sentence"), which are characterized by the 12 rules. On the other hand, the models are not able to effectively classify other sentences, which appear in actual military reports, when only the "Original Sentence" and "Edited Sentence" dataset have been fed to them. The dataset is not ample enough for the model to recognize other incoming new sentences. Hence, the performance of the model was reassessed by writing an additional 120 new sentences that have better resemblance to those in the actual military report and still have association with the original sentences. Thereafter, we were able to check that the models' performances surpassed a certain level even when they were trained merely with "Original Sentence" and "Edited Sentence" data. If sufficient model learning is achieved through the improvement and expansion of the full set of learning data with the addition of the actual report appearance sentences, the models will be able to better classify other sentences coming from military reports as legal or illegal. Based on the experimental results, this study confirms the possibility and value of building "Real-Time Automated Comparison System Between Military Documents and Related Laws". The research conducted in this experiment can verify which specific clause, of several that appear in related law clause is most similar to the sentence that appears in the Defense Acquisition Program-related military reports. This helps determine whether the contents in the military report sentences are at the risk of illegality when they are compared with those in the law clauses.

A Study on Environmental Standards of School Building (교사환경기준에 관한 연구)

  • Hong, Seok-Pyo;Park, Young-Soo
    • The Journal of Korean Society for School & Community Health Education
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    • v.1 no.1
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    • pp.11-43
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    • 2000
  • The purpose of this study was, through analyzing the previous researches, to grasp the present status of environment of school building(ESB), research the sundry records of each element and, through comparative analysis of the standard of ESB in Korea, the United States, and Japan, select the normative standard of ESB, to clarify the point at issue presented in Regulation of Construction & facility Management for Elementary and and Secondary School in Korea, and to suggest an alternative preliminary standard of ESB. To carry out a research for this purpose, these were required: 1. to investigate the existing present status of ESB, 2. to make a comparative analysis of the standard of ESB in each country, 3. to suggest the normative standard of preliminary standard of ESB, 4. to analyze the controversial points of the standard of ESB in Korea, 5. to suggest an alternative preliminary standard of ESB. The conclusions were as follows: 1. Putting, through analyzing the previous researches, the existing present status of ESB together, it seemed that lighting environment, indoor air environment and noise environment were all in poor conditions. 2. In the result of a comparative analysis of the standard of ESB in Korea, Japan and the United States, in Korea the factors of each lighting and indoor air environment were not presented properly, in Japan, in lighting environment aspect, the standard on natural lighting and the factors on brightness were not presented., and in the USA the essential factors of each environment were throughly presented. In the comparison of the standards on each factor, Korea showed that the standard level presented was less properly prescribed than those of the USA and Japan but it also showed that the standard levels prescribed in the USA and in Japan were mostly similar to the standard levels in records investigated. 3. With the result of the normative standard selection on School Builiding environment factor of prescribed in this study, the controversial points of the standard of ESB in Korea were analyzed and the result was utilized to suggest new preliminary standard of ESB. 4. As the result of the analysis of the controversial points of the standard of ESB in Korea, it was found that the standard of ESB in Korea should be established on a basis of School Health Act and be concretely presented in School Health Regulation and School Health Rule. The factors of each environment was improperly presented in the existing standard of ESB in Korea. Moreover the standard of them was inferior to that of the records investigated and those of in the USA and in Japan and it also showed that the standard of it in Korea was improper to maintain Comfortable Learning Environment. 5. A suggested preliminary standard of ESB acquired through above study as follows: 1) In this study a new kind of preliminary standard of ESB is divided into lighting environment, indoor air environment, noise environment, odor environment and for above classification, reasonable factor and standard should be established and the controling way on each standard and countermeasures against it should be considered. 2) In lighting environment, the factors of natural lighting are divided into daylight rate, brightness, glare. In the standard on each factor, daylight rate should secure 5% of a mean daylight rate and 2% of a minimum daylight rate, brightness ratio of maximum illumination to minimum illumination should be under 10:1, and in glare there should not be an occurrence factor from a reflector outside of the classroom. And the factors of unnatural lighting are illumination, brightness, and glare. In the standard on each factor, illumination should be 750 lux or more, brightness ratio should be under 3 to 1, and glare should not occur. And Optimal reflection rate(%) of Colors and Facilities of Classroom which influences lighting environment should be considered. 3) In indoor air environment factors, thermal factors are divided into (1) room temperature, (2) relative humidity, (3) room air movement, (4) radiation heat, and harmful gases (5) CO, (6) $CO_2$ that are proceeded from using the heating fuel such as oval briquettes, firewood, charcoal being used in most of the classroom, and finally (7) dust. In the standard on each factor, the next are necessary; room temperature: $16^{\circ}C{\sim}26^{\circ}C$(summer : $E.T18.9{\sim}23.8^{\circ}C$, winter: $E.T16.7{\sim}21.7^{\circ}C$), relative humidity: $30{\sim}80%$, room air movement: under 0.5m/sec, radiation heat: under $5^{\circ}C$ gap between dry-bulb temperature and wet-bulb temperature, below 1000 ppm of ca and below 10ppm of $CO_2$, dust: below 0.10 $mg/m^3$ of Volume of dust in indoor air, and ventilation standard($CO_2$) for purification of indoor air : once/6 min.(about 7 times/40 min.) in an airtight classroom. 4) In the standard on noise environment, noise level should be under 40 dB(A) and the noise measuring way and the countermeasures against it should be considered. 5) In the standard on odor environment, odor level under Physical Method should be under 2 degrees, and the inspecting way and the countermeasures against it should be considered.

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Product Recommender Systems using Multi-Model Ensemble Techniques (다중모형조합기법을 이용한 상품추천시스템)

  • Lee, Yeonjeong;Kim, Kyoung-Jae
    • Journal of Intelligence and Information Systems
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    • v.19 no.2
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    • pp.39-54
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    • 2013
  • Recent explosive increase of electronic commerce provides many advantageous purchase opportunities to customers. In this situation, customers who do not have enough knowledge about their purchases, may accept product recommendations. Product recommender systems automatically reflect user's preference and provide recommendation list to the users. Thus, product recommender system in online shopping store has been known as one of the most popular tools for one-to-one marketing. However, recommender systems which do not properly reflect user's preference cause user's disappointment and waste of time. In this study, we propose a novel recommender system which uses data mining and multi-model ensemble techniques to enhance the recommendation performance through reflecting the precise user's preference. The research data is collected from the real-world online shopping store, which deals products from famous art galleries and museums in Korea. The data initially contain 5759 transaction data, but finally remain 3167 transaction data after deletion of null data. In this study, we transform the categorical variables into dummy variables and exclude outlier data. The proposed model consists of two steps. The first step predicts customers who have high likelihood to purchase products in the online shopping store. In this step, we first use logistic regression, decision trees, and artificial neural networks to predict customers who have high likelihood to purchase products in each product group. We perform above data mining techniques using SAS E-Miner software. In this study, we partition datasets into two sets as modeling and validation sets for the logistic regression and decision trees. We also partition datasets into three sets as training, test, and validation sets for the artificial neural network model. The validation dataset is equal for the all experiments. Then we composite the results of each predictor using the multi-model ensemble techniques such as bagging and bumping. Bagging is the abbreviation of "Bootstrap Aggregation" and it composite outputs from several machine learning techniques for raising the performance and stability of prediction or classification. This technique is special form of the averaging method. Bumping is the abbreviation of "Bootstrap Umbrella of Model Parameter," and it only considers the model which has the lowest error value. The results show that bumping outperforms bagging and the other predictors except for "Poster" product group. For the "Poster" product group, artificial neural network model performs better than the other models. In the second step, we use the market basket analysis to extract association rules for co-purchased products. We can extract thirty one association rules according to values of Lift, Support, and Confidence measure. We set the minimum transaction frequency to support associations as 5%, maximum number of items in an association as 4, and minimum confidence for rule generation as 10%. This study also excludes the extracted association rules below 1 of lift value. We finally get fifteen association rules by excluding duplicate rules. Among the fifteen association rules, eleven rules contain association between products in "Office Supplies" product group, one rules include the association between "Office Supplies" and "Fashion" product groups, and other three rules contain association between "Office Supplies" and "Home Decoration" product groups. Finally, the proposed product recommender systems provides list of recommendations to the proper customers. We test the usability of the proposed system by using prototype and real-world transaction and profile data. For this end, we construct the prototype system by using the ASP, Java Script and Microsoft Access. In addition, we survey about user satisfaction for the recommended product list from the proposed system and the randomly selected product lists. The participants for the survey are 173 persons who use MSN Messenger, Daum Caf$\acute{e}$, and P2P services. We evaluate the user satisfaction using five-scale Likert measure. This study also performs "Paired Sample T-test" for the results of the survey. The results show that the proposed model outperforms the random selection model with 1% statistical significance level. It means that the users satisfied the recommended product list significantly. The results also show that the proposed system may be useful in real-world online shopping store.

Development and Application of Scientific Model Co-construction Program about Image Formation by Convex Lens (볼록렌즈가 상을 만드는 원리에 대한 과학적 모형의 사회적 구성 프로그램 개발 및 적용)

  • Park, Jeongwoo
    • Korean Journal of Optics and Photonics
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    • v.28 no.5
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    • pp.203-212
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    • 2017
  • A scientific model refers to a conceptual system that can describe, explain, and predict a particular physical phenomenon. The co-construction of the scientific model is attracting attention as a new teaching and learning strategy in the field of science education and various studies. The evaluation and modification of models compared with the predicted models of data from the real world is the core of modeling strategy. However, there were only a limited data provided by the teacher in many studies of modeling comparing the students' predictions of their own models. Most of the students were not given the opportunity to evaluate the suitability of the model with the data in the real world. The purpose of this study was to develop a scientific model co-construction program that can evaluate the model by directly comparing the predicted models with the observed data from the real world. Through a collaborative discussion between teachers and researchers for 6 months, a 5-session scientific model co-construction program on the subject 'image formation by convex lenses' for second grade middle school students was developed. Eighty (80) students in 3 classes and a science teacher with 20 years of service from general public co-educational middle school in Gyeonggi-do participated in this 2-week program. After the class, students were asked about the helpfulness and difficulty of the class, and whether they would like to recommend this class to a friend. After the class, 95.8% of the students constructed the scientific model more than the model using the construction rule. Students had difficulties to identify principles or understand their friends, but the result showed that they could understand through model evaluation experiment. 92.5% of the students said that they would be more than willing to recommend this program to their friends. It is expected that the developed program will be applied to the school and contribute to the improvement of students' modeling ability and co-construction ability.

An origin and development, the thought and understanding of actual world of Noron (노론의 연원과 전개, 철학사상과 현실인식)

  • Kim, Moon Joon
    • The Journal of Korean Philosophical History
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    • no.32
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    • pp.79-112
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    • 2011
  • Since Noron(老論) had organized in the period of Sookjong(肅宗), it constantly had led the political situation of Choson until Choson(朝鮮) perished as the grasping political power. Studies and thoughts development of Noron can be devided into four periods. First, the term of politics of faction of the period of Sookjong. Second, a period of Youngjo(英祖) and Joungjo(正祖). Third, a period of politics of power(勢道政治). Fourth, the latter term of 19century. We can look into an origin and development aspect in outline by dividing like this. The general character of Noron can be summarized by the respect of Song Si-yeol(宋時烈, 1607-1689), the theory of a party of a man of virtue(君子黨論) based on the theory of moral civilization of Choson(朝鮮中華論), the succession of Lee i(李珥; 1636-1684)'s neo-confucianism, rejecting all teaching that does not conform to neoconfucianism and protecting right studies, and oppression of Roman Catholic. The noticeable scholars of Noron were Kwon sang Ha(權尙夏; 1641~1721), Kim chang hyup(金昌協; 1651~1708), Lee jea(李縡; 1680~1746) etc. These scholars of Noron following Song Si-yeol had tried to raise "Learning of the Way"(正明道) by respecting Zushi and removing injustice(尊朱子攘夷狄), also believed people should embody moral values in their society and country. and possessed an will guiding to stabilize the country by rejecting uncivilization(尊王攘夷). Above all, they insisted, the King of Choson should rule with 'lighting heavenly reason'(明天理). Also they insisted the King and countrymen should together strive to recover civilization of moral humanity and destroy uncivilzation. But gradually they lost the motive and purpose of moral politics in the seventeenth century. Finally Noron Byeokpa(?派) take over the reins of government. It resulted in the bad effect of politics of autocrat(勢道政治) having their own way to use power of authority after death of Jungjo(正祖). The peculiar character of Noron politics can valued as the extreme aspect of 'according of politics and scholarship'(政學一致).

A Comparative Study on Buddhist Painting, MokWooDo (牧牛圖: PA Comparative Study on Buddhist Painting, MokWooDo (牧牛圖: Painting of Bull Keeping) and Confucian/Taoist Painting, SipMaDo (十馬圖: Painting of Ten Horses) - Focused on SimBeop (心法: Mind Control Rule) of the Three Schools: Confucianism, Buddhism and Taoism -nd Control Rule) of the Three Schools: Confucianism, Buddhism and Taoism - (불가(佛家) 목우도(牧牛圖)와 유·도(儒·道) 십마도(十馬圖) 비교 연구 - 유불도(儒佛道) 삼가(三家)의 심법(心法)을 중심으로 -)

  • Park, So-Hyun;Lee, Jung-Han
    • Journal of the Korean Institute of Traditional Landscape Architecture
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    • v.40 no.4
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    • pp.67-80
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    • 2022
  • SipWooDo (十牛圖: Painting of Ten Bulls), a Buddhist painting, is a kind of Zen Sect Buddhism painting, which is shown as a mural in many of main halls of Korean Buddhist temples. MokWooDo has been painted since Song Dynasty of China. It paints a cow, a metaphor of mind and a shepherd boy who controls the cow. It comes also with many other types of works such as poetry called GyeSong, HwaWoonSi and etc. That is, it appeared as a pan-cultural phenomenon beyond ideology and nation not limited to Chinese Buddhist ideology of an era. This study, therefore, selects MokWooDo chants that represent Confucianism, Buddhism and Taoism to compare the writing purposes, mind discipline methods and ultimate goals of such chant literatures in order to integrate and comprehend the ideologies of such three schools in the ideologically cultural aspect, which was not fully dealt with in the existing studies. In particular, the study results are: First, the SipWooDo of Buddhist School is classified generally into Bo Myoung's MokWooDo and Kwak Ahm's SimWooDo (尋牛圖: Painting of Searching out a Bull). Zen Sect Buddhism goes toward nirvana through enlightenment. Both MokWooDo and SimWooDo of Buddhist School are the discipline method of JeomSu (漸修: Discipline by Steps). They were made for SuSimJeungDo (修心證道: Enlightenment of Truth by Mind Discipline), which appears different in HwaJe (畫題: Titles on Painting) and GyeSong (偈頌: Poetry Type of Buddhist Chant) between Zen Sect Buddhism and Doctrine Study Based Buddhism, which are different from each other in viewpoints. Second, Bo Myoung's MokWooDo introduces the discipline processes from MiMok (未牧: Before Tamed) to JinGongMyoYu (眞空妙有: True Vacancy is not Separately Existing) of SsangMin (雙泯: the Level where Only Core Image Appears with Every Other Thing Faded out) that lie on the method called BangHalGiYong (棒喝機用: a Way of Using Rod to Scold). On the other side, however, it puts its ultimate goal onto the way to overcome even such core image of SsangMin. Third, Kwak Ahm's SimWooDo shows the discipline processes of JeomSu from SimWoo (尋牛: Searching out a Bull) to IpJeonSuSu (入鄽垂手: Entering into a Place to Exhibit Tools). That is, it puts its ultimate goal onto HwaGwangDongJin (和光同塵: Harmonized with Others not Showing your own Wisdom) where you are going together with ordinary people by going up to the level of 'SangGuBori (上求菩提: Discipline to Go Up to Gain Truth) and HaHwaJungSaeng (下化衆生: Discipline to Go Down to Be with Ordinary People)' through SaGyoIpSeon (捨敎入禪: Entering into Zen Sect Buddhism after Completing a Certain Volume of Doctrine Study), which are working for leading the ordinary people of all to finding out their Buddhist Nature. Fourth, Shimiz Shunryu (清水春流)'s painting YuGaSipMaDo (儒家十馬圖: Painting of Ten Horses of Confucian School) borrowed Bo Myoung's MokWooDo. That is, it borrowed the terms and pictures of Buddhist School. However, it features 'WonBulIpYu (援佛入儒: Enlightenment of Buddhist Nature by Confucianism)', which is based on the process of becoming a greatly wise person through Confucian study to go back to the original good nature. From here, it puts its goal onto becoming a greatly wise person, GunJa who is completely harmonized with truth, through the study of HamYang (涵養: Mind Discipline by Widening Learning and Intelligence) that controls outside mind to make the mind peaceful. Its ultimate goal is in accord with "SangCheonJiJae, MuSeongMuChee (上天之載, 無聲無臭: Heaven Exists in the Sky Upward; It is Difficult to Get the Truth of Nature, which has neither sound nor smell)' words from Zhōngyōng. Fifth, WonMyeongNhoYin (圓明老人)'s painting SangSeungSuJinSamYo (上乘修真三要: Painting of Three Essential Things to Discipline toward Truth) borrowed Bo Myoung's MokWooDo while it consists of totally 13 sheets of picture to preach the painter's will and preference. That is, it features 'WonBulIpDo (援佛入道: Following Buddha to Enter into Truth)' to preach the painter's doctrine of Taoism by borrowing the pictures and poetry type chants of Buddhist School. Taoism aims to become a miraculously powerful Taoist hermit who never dies by Taoist healthcare methods. Therefore, Taoists take the mind discipline called BanHwanSimSeong (返還心性: Returning Back to Original Mind Nature), which makes Taoists go ultimately toward JaGeumSeon (紫金仙) that is the original origin by changing into a saint body that is newly conceived with the vital force of TaeGeuk abandoning the existing mind and body fully. This is a unique feature of Taoism, which puts its ultimate goal onto the way of BeopShinCheongJeong (法身淸淨: Pure and Clean Nature of Buddha) that is in accord with JiDoHoiHong (至道恢弘: Getting to Wide and Big Truth).

Performance Improvement on Short Volatility Strategy with Asymmetric Spillover Effect and SVM (비대칭적 전이효과와 SVM을 이용한 변동성 매도전략의 수익성 개선)

  • Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.26 no.1
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    • pp.119-133
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    • 2020
  • Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.