Earticle

초록

영어

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%.

목차

Abstract
 1. 서론
 2. 선행 연구
 3. 제안 모형
  3.1 SVM 모형의 학습
  3.2 위험회복지수의 도출
 4. 실험 설계 및 실증 분석
  4.1 변동성지수 V-KOSPI200
  4.2 실험 데이터
  4.3 시스템 설계
  4.4 실증 분석 결과
  4.5 위험회복지수를 활용한 트레이딩시스템의 성과 분석
 5. 결론 및 연구의 한계점
 References

키워드

저자

• 김선웅 [ Sun Woong Kim | Associate Professor, Graduate School of Business Information Technology, Kookmin University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  JITAM [Journal of Information Technology Applications and Management]

• 간기

  격월간

• pISSN

  1598-6284

• eISSN

  2508-1209

• 수록기간

  1999~2026

• 십진분류

  KDC 005 DDC 005