Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
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Stock Price Prediction Based on Time Series Network

시계열 네트워크에 기반한 주가예측

  • 박강희 (아주대학교 산업공학과) ;
  • 신현정 (아주대학교 산업정보시스템학부)
  • Received : 2010.11.24
  • Accepted : 2011.02.23
  • Published : 2011.03.31
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Abstract

Time series analysis methods have been traditionally used in stock price prediction. However, most of the existing methods represent some methodological limitations in reflecting influence from external factors that affect the fluctuation of stock prices, such as oil prices, exchange rates, money interest rates, and the stock price indexes of other countries. To overcome the limitations, we propose a network based method incorporating the relations between the individual company stock prices and the external factors by using a graph-based semi-supervised learning algorithm. For verifying the significance of the proposed method, it was applied to the prediction problems of company stock prices listed in the KOSPI from January 2007 to August 2008.

Keywords

References

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