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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국데이터전략학회 Journal of Information Technology Applications & Management Journal of Information Technology Applications & Management Vol.23 No.4
- 발행연도
- 2016.12
- 수록면
- 25 - 39 (15page)
이용수
초록· 키워드
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Asset prices decline sharply and stock markets collapse when financial crisis happens. Recently we have encountered more frequent financial crises than ever. 1998 currency crisis and 2008 global financial crisis triggered academic researches on early warning systems that aim to detect the symptom of financial crisis in advance.
This study proposes a risk recovery index for detection of good opportunities from financial market instability. We use SVM classifier algorithms to separate recovery period from unstable financial market data. Input variables are KOSPI index and V-KOSPI200 index. Our SVM algorithms show highly accurate forecasting results on testing data as well as training data. Risk recovery index is derived from our SVM-trained outputs. We develop a trading system that utilizes the suggested risk recovery index. The trading result records very high profit, that is, its annual return runs to 121%.
This study proposes a risk recovery index for detection of good opportunities from financial market instability. We use SVM classifier algorithms to separate recovery period from unstable financial market data. Input variables are KOSPI index and V-KOSPI200 index. Our SVM algorithms show highly accurate forecasting results on testing data as well as training data. Risk recovery index is derived from our SVM-trained outputs. We develop a trading system that utilizes the suggested risk recovery index. The trading result records very high profit, that is, its annual return runs to 121%.
목차
Abstract
1. 서론
2. 선행 연구
3. 제안 모형
4. 실험 설계 및 실증 분석
5. 결론 및 연구의 한계점
References
참고문헌 (24)
참고문헌 신청
[학술지(정기간행물)] - 안현철 / 2005 / Support Vector Machine을 이용한 고객구매예측모형 / 지능정보연구 11 (3) : 69 ~ 81
[학술지(정기간행물)] - Berg, A. / 1999 / Predicting currency crises : The indicators approach and an alternative / Journal of International Money and Finance 18 (4) : 561 ~ 586
[학술지(정기간행물)] - Berg, J. / 2008 / A Cautious note on the use of panel models to predict financial crises / Economics Letters 101 (1) : 80 ~ 83
[학술지(정기간행물)] - Boduroglu, I. / 2007 / A pattern recognition model for predicting a financial crisis in Turkey : Turkish economic stability index / International Journal of High Performance Computing Applications 21 (1) : 5 ~ 20
[학술지(정기간행물)] - Bussiere, M. / 2006 / Towards a new early warning system of financial crises / Journal of International Money and Finance 25 (6) : 953 ~ 973
[학술지(정기간행물)] - Berg, A. / 1999 / Predicting currency crises : The indicators approach and an alternative / Journal of International Money and Finance 18 (4) : 561 ~ 586
[학술지(정기간행물)] - Berg, J. / 2008 / A Cautious note on the use of panel models to predict financial crises / Economics Letters 101 (1) : 80 ~ 83
[학술지(정기간행물)] - Boduroglu, I. / 2007 / A pattern recognition model for predicting a financial crisis in Turkey : Turkish economic stability index / International Journal of High Performance Computing Applications 21 (1) : 5 ~ 20
[학술지(정기간행물)] - Bussiere, M. / 2006 / Towards a new early warning system of financial crises / Journal of International Money and Finance 25 (6) : 953 ~ 973
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UCI(KEPA) : I410-ECN-0101-2017-005-002410177