COMPARATIVE ANALYSIS ON MACHINE LEARNING MODELS FOR PREDICTING KOSPI200 INDEX RETURNS

한국수학교육학회지시리즈B:순수및응용수학 / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081

2017, v.24 no.4, pp.211-226

https://doi.org/10.7468/jksmeb.2017.24.4.211

Gu, Bonsang (Department of Economics, Hankuk University of Foreign Studies)
Song, Joonhyuk (Department of Economics, Hankuk University of Foreign Studies)

Gu, Bonsang, & Song, Joonhyuk. (2017). COMPARATIVE ANALYSIS ON MACHINE LEARNING MODELS FOR PREDICTING KOSPI200 INDEX RETURNS. 한국수학교육학회지시리즈B:순수및응용수학, 24(4), 211-226, https://doi.org/10.7468/jksmeb.2017.24.4.211

복사

Abstract

In this paper, machine learning models employed in various fields are discussed and applied to KOSPI200 stock index return forecasting. The results of hyperparameter analysis of the machine learning models are also reported and practical methods for each model are presented. As a result of the analysis, Support Vector Machine and Artificial Neural Network showed a better performance than k-Nearest Neighbor and Random Forest.

keywords: machine learning, support vector machine, artificial neural network, random forest, k-nearest neighbor

바로가기메뉴

논문 상세

Vol.24 No.4

COMPARATIVE ANALYSIS ON MACHINE LEARNING MODELS FOR PREDICTING KOSPI200 INDEX RETURNS

COMPARATIVE ANALYSIS ON MACHINE LEARNING MODELS FOR PREDICTING KOSPI200 INDEX RETURNS

Abstract

한국수학교육학회지시리즈B:순수및응용수학