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    Forecasting KOSPI Return Using a Modified Stochastic AdaBoosting

    Bae, Sangil; Jeong, Minsoo | December 2021
    Abstract
    AdaBoost tweaks the sample weight for each training set used in the iterative process, however, it is demonstrated that it provides more correlated errors as the boosting iteration proceeds if models’ accuracy is high enough. Therefore, in this study, we propose a novel way to improve the performance of the existing AdaBoost algorithm by employing heterogeneous models and a stochastic twist. By employing the heterogeneous ensemble, it ensures different models that have a different initial assumption about the data are used to improve on diversity. Also, by using a stochastic algorithm with a decaying convergence rate, the model is designed to balance out the trade-off between model prediction performance and model convergence. The result showed that the stochastic algorithm with decaying convergence rate’s did have a improving effect and outperformed other existing boosting techniques.
    Citation
    Bae, Sangil; Jeong, Minsoo. 2021. Forecasting KOSPI Return Using a Modified Stochastic AdaBoosting. © Korea Institute for International Economic Policy. http://hdl.handle.net/11540/14662.
    ISSN
    2508-1640
    EISSN 2508-1667
    Keywords
    Commerce and Industry
    Intra-Industry Trade
    Large Scale Industry
    Labor
    Electronics Industry
    Computer Industry
    Vocational Education
    Technical Education
    Quality Education
    Technical Education
    Primary Education
    Educational Systems
    Educational Reforms
    Industry
    Electronics Industry
    Commerce and Industry
    Development cooperation
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    Industrialization
    Industrial Economics
    Industrial Development
    Industrial Policy
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    Technological institutes
    Employment
    Information Media
    Mass Media
    Export Oriented Industries
    Electronics
    Computers
    Telecommunications Industry
    Manufacturing Industries
    Microprocessors
    Electronic Equipment
    Communication Industry
    Training programs
    Vocational training
    Training methods
    Economic growth
    Training courses
    Technological institutes
    Labor market
    Educational aspects
    Compulsory education
    Economics of education
    Educational policy
    Industrial Projects
    Industrial Products
    Industrial Policy
    Manufacturing Industries
    Industrial Sector
    Economic zones
    Microelectronics industry
    Electronic industries
    Digital electronics
    Microelectronics
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    Citable URI
    http://hdl.handle.net/11540/14662
    Metadata
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    03SangilBae,MinsooJeong.pdf (595.1Kb)
    Author
    Bae, Sangil
    Jeong, Minsoo
    Theme
    Industry
    Education
     
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise