Journal of the Korean Institute of Intelligent Systems (한국지능시스템학회논문지)

Korean Institute of Intelligent Systems (한국지능시스템학회)
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Minimized Stock Forecasting Features Selection by Automatic Feature Extraction Method

자동 특징 추출기법에 의한 최소의 주식예측 특징선택

  • Lee, Sang-Hong (Dept. of Computer Software, Kyungwon University) ;
  • Lim, Joon-S. (Dept. of Computer Software, Kyungwon University)
  • 이상홍 (경원대학교 컴퓨터소프트웨어학과) ;
  • 임준식 (경원대학교 컴퓨터소프트웨어학과)
  • Published : 2009.04.25
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Abstract

This paper presents a methodology to 1-day-forecast stock index using the automatic feature extraction method based on the neural network with weighted fuzzy membership functions (NEWFM). The distributed non-overlap area measurement method selects the minimized number of input features by automatically removing the worst input features one by one. CPP$_{n,m}$(Current Price Position of the day n: a percentage of the difference between the price of the day n and the moving average from the day n-1 to the day n-m) and the 2 wavelet transformed coefficients from the recent 32 days of CPP$_{n,m}$ are selected as minimized features using bounded sum of weighted fuzzy membership functions (BSWFMs). For the data sets, from 1989 to 1998, the proposed method shows that the forecast rate is 60.93%.

본 논문은 가중 퍼지소속함수 기반 신경망(Neural Network with Weighted Fuzzy Membership Functions, NEWFM)기반의 자동 특징 추출기법을 사용하여 1일 후의 주식 예측을 하는 방안을 제안하고 있다. 비중복면적 분산측정 법에 의해 중요도가 가장 낮은 특징입력을 자동적으로 하나씩 제거하면서 최소의 특징입력을 선택하였다. 특징입력으로써 CPP$_{n,m}$(Current Price Position of the day n)과 최근 32일간의 CPP$_{n,m}$을 웨이블릿 변환한 38개의 계수들 중 비중복면적 분산측정법에 의해서 자동적으로 추출된 2개의 계수가 사용되었다 제안된 방법으로 1989년부터 1998년까지의 실험군을 사용한 결과로써 60.93%의 예측율을 나타내었다.

Keywords

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