{"id":29417,"date":"2024-10-27T16:18:21","date_gmt":"2024-10-27T16:18:21","guid":{"rendered":"http:\/\/atmokpo.com\/w\/?p=29417"},"modified":"2024-11-26T06:52:42","modified_gmt":"2024-11-26T06:52:42","slug":"%eb%a8%b8%ec%8b%a0%eb%9f%ac%eb%8b%9d-%eb%b0%8f-%eb%94%a5%eb%9f%ac%eb%8b%9d-%ec%95%8c%ea%b3%a0%eb%a6%ac%ec%a6%98-%ed%8a%b8%eb%a0%88%ec%9d%b4%eb%94%a9-%ed%8c%8c%eb%a7%88-%eb%a7%a5%eb%b2%a0%ec%8a%a4","status":"publish","type":"post","link":"https:\/\/atmokpo.com\/w\/29417\/","title":{"rendered":"\uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529, \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">\uc548\ub155\ud558\uc138\uc694! \uc774\ubc88 \ud3ec\uc2a4\ud305\uc5d0\uc11c\ub294 <strong>\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529<\/strong>\uacfc \uc774\ub97c \ud3c9\uac00\ud558\uae30 \uc704\ud55c **\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d(Fama-MacBeth Regression)**\uc5d0 \ub300\ud574 \uc54c\uc544\ubcf4\uaca0\uc2b5\ub2c8\ub2e4. \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \uae08\uc735 \uc2dc\uc7a5 \ub370\uc774\ud130\ub97c \ubd84\uc11d\ud558\uc5ec \uc790\ub3d9\uc73c\ub85c \ud22c\uc790 \uacb0\uc815\uc744 \ub0b4\ub9ac\uace0, \uc218\uc775\uc744 \uadf9\ub300\ud654\ud558\ub294 \uac83\uc744 \ubaa9\ud45c\ub85c \ud569\ub2c8\ub2e4. \uc774 \uacfc\uc815\uc5d0\uc11c \uba38\uc2e0\ub7ec\ub2dd\uacfc \ub525\ub7ec\ub2dd \uae30\ubc95\uc744 \uc0ac\uc6a9\ud558\uc5ec \ub370\uc774\ud130\uc758 \ubcf5\uc7a1\ud55c \uad00\uacc4\ub97c \ubaa8\ub378\ub9c1\ud558\uace0 \uc608\uce21\ud569\ub2c8\ub2e4. \ud2b8\ub808\uc774\ub529 \uacb0\uc815\uc744 \uc790\ub3d9\ud654\ud568\uc73c\ub85c\uc368 \ud22c\uc790\uc790\ub294 \uc2dc\uc7a5\uc758 \uc791\uc740 \uac00\uaca9 \ucc28\uc774\ub97c \ud65c\uc6a9\ud558\uace0, \uac10\uc815\uc801 \ud3b8\ud5a5\uc744 \uc904\uc774\uba70, \uc218\ub3d9 \ud2b8\ub808\uc774\ub529\ubcf4\ub2e4 \ud6e8\uc52c \ube60\ub978 \uc18d\ub3c4\ub85c \uc804\ub7b5\uc744 \uc2e4\ud589\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \uc8fc\ub85c \uace0\ube48\ub3c4 \ud2b8\ub808\uc774\ub529(HFT) \uc2dc\uc2a4\ud15c\uc5d0 \uc758\uc874\ud558\uc5ec \uc2dc\uc7a5\uc758 \ube44\ud6a8\uc728\uc131\uc744 \ud65c\uc6a9\ud569\ub2c8\ub2e4. \uace0\uae09 \ud1b5\uacc4 \ubaa8\ub378\uacfc \ub2e4\uc591\ud55c \ub370\uc774\ud130 \uc18c\uc2a4\ub97c \ud1b5\ud574 \uc2e4\uc2dc\uac04\uc73c\ub85c \ub300\ub7c9\uc758 \ub370\uc774\ud130\ub97c \ucc98\ub9ac\ud558\uace0, \uac70\uc758 \uc989\uc2dc \uc218\uc775\uc131 \uc788\ub294 \uae30\ud68c\ub97c \uc2dd\ubcc4\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uae30\uc220\uc774 \uacc4\uc18d \ubc1c\uc804\ud568\uc5d0 \ub530\ub77c \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \uae08\uc735 \uc0b0\uc5c5\uc758 \uc911\uc694\ud55c \ubd80\ubd84\uc774 \ub418\uace0 \uc788\uc73c\uba70, \uba38\uc2e0\ub7ec\ub2dd\uacfc \ub525\ub7ec\ub2dd\uc744 \uacb0\ud569\ud558\uc5ec \uadf8 \uc131\ub2a5\uc744 \ub354\uc6b1 \uac15\ud654\ud558\uace0 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">1. \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529 \uac1c\uc694<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \uba38\uc2e0\ub7ec\ub2dd\uacfc \ub525\ub7ec\ub2dd\uc744 \ud65c\uc6a9\ud558\uc5ec \uc2dc\uc7a5 \ub370\uc774\ud130\ub97c \ubd84\uc11d\ud558\uace0, \ud2b9\uc815 \uaddc\uce59\uc5d0 \ub530\ub77c \uc790\ub3d9\uc73c\ub85c \uac70\ub798\ub97c \uc2e4\ud589\ud569\ub2c8\ub2e4. \uc2dc\uc7a5 \ub370\uc774\ud130\ub97c \ubd84\uc11d\ud558\uc5ec \ud328\ud134\uc744 \uc2dd\ubcc4\ud568\uc73c\ub85c\uc368 \ub9e4\uc218\uc640 \ub9e4\ub3c4\uc758 \uacb0\uc815\uc744 \ube60\ub974\uace0 \ud6a8\uc728\uc801\uc73c\ub85c \ub0b4\ub9b4 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uba38\uc2e0\ub7ec\ub2dd \ubaa8\ub378\uc740 \uc0c8\ub85c\uc6b4 \ub370\uc774\ud130\uc5d0 \ub9de\ucdb0 \uc9c0\uc18d\uc801\uc73c\ub85c \ud559\uc2b5\ud560 \uc218 \uc788\uc5b4, \ud2b8\ub808\uc774\ub529 \uc54c\uace0\ub9ac\uc998\uc774 \uc0c8\ub85c\uc6b4 \uc2dc\uc7a5 \uc0c1\ud669\uc5d0 \uc801\uc751\ud558\ub3c4\ub85d \ub3c4\uc640\uc90d\ub2c8\ub2e4. \uc774\ub294 \uae08\uc735 \uc2dc\uc7a5\uc774 \ubcf8\uc9c8\uc801\uc73c\ub85c \ub3d9\uc801\uc774\uba70 \uacbd\uc81c \ub370\uc774\ud130, \uc9c0\uc815\ud559\uc801 \uc0ac\uac74, \ud22c\uc790\uc790 \uc2ec\ub9ac \ub4f1 \ub2e4\uc591\ud55c \uc694\uc778\uc5d0 \uc758\ud574 \uc601\ud5a5\uc744 \ubc1b\uae30 \ub54c\ubb38\uc5d0 \ub9e4\uc6b0 \uc911\uc694\ud569\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc758 \uc8fc\uc694 \uc7a5\uc810 \uc911 \ud558\ub098\ub294 \uac70\ub798\uc5d0\uc11c \uac10\uc815\uc801 \uc694\uc18c\ub97c \uc81c\uac70\ud560 \uc218 \uc788\ub2e4\ub294 \uc810\uc785\ub2c8\ub2e4. \uc778\uac04 \ud2b8\ub808\uc774\ub354\ub294 \uc885\uc885 \ub450\ub824\uc6c0\uc774\ub098 \ud0d0\uc695\uc5d0 \uae30\ubc18\ud558\uc5ec \uacb0\uc815\uc744 \ub0b4\ub9ac\uba70, \uc774\ub294 \ucd5c\uc801\uc758 \uacb0\uacfc\ub97c \ub0b4\uc9c0 \ubabb\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ubc18\uba74\uc5d0 \uc54c\uace0\ub9ac\uc998\uc740 \ubbf8\ub9ac \uc815\uc758\ub41c \uae30\uc900\uc5d0 \ub530\ub77c \uac70\ub798\ub97c \uc2e4\ud589\ud558\uc5ec \uc77c\uad00\uc131\uacfc \uaddc\uc728\uc744 \ubcf4\uc7a5\ud569\ub2c8\ub2e4. \uc774\ub294 \uac00\uaca9\uc774 \uae09\uaca9\ud788 \ubcc0\ub3d9\ud558\ub294 \ubcc0\ub3d9\uc131 \uc2dc\uc7a5\uc5d0\uc11c \ud2b9\ud788 \uc911\uc694\ud569\ub2c8\ub2e4.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">2. \ub525\ub7ec\ub2dd\uc758 \uac1c\ub150<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">\ub525\ub7ec\ub2dd\uc740 \uba38\uc2e0\ub7ec\ub2dd\uc758 \ud55c \ubd84\uc57c\ub85c, \uc778\uacf5\uc2e0\uacbd\ub9dd\uc744 \ud1b5\ud574 \ubcf5\uc7a1\ud55c \ub370\uc774\ud130\ub97c \uc774\ud574\ud558\uace0 \ucc98\ub9ac\ud558\ub294 \uae30\uc220\uc785\ub2c8\ub2e4. \ub2e4\uce35 \uc2e0\uacbd\ub9dd\uc744 \uc0ac\uc6a9\ud558\uc5ec \ube44\uc120\ud615 \uad00\uacc4\ub97c \ud559\uc2b5\ud560 \uc218 \uc788\uc5b4 \uc774\ubbf8\uc9c0 \uc778\uc2dd, \uc790\uc5f0\uc5b4 \ucc98\ub9ac, \uc74c\uc131 \uc778\uc2dd\ubfd0\ub9cc \uc544\ub2c8\ub77c \uae08\uc735 \uc2dc\uc7a5\uc5d0\uc11c\ub3c4 \ud6a8\uacfc\uc801\uc73c\ub85c \ud65c\uc6a9\ub418\uace0 \uc788\uc2b5\ub2c8\ub2e4. \uae08\uc735 \ubd84\uc57c\uc5d0\uc11c\ub294 \ub525\ub7ec\ub2dd\uc744 \ud1b5\ud574 \ub274\uc2a4 \uae30\uc0ac, \uae30\uc5c5 \uc2e4\uc801 \ubcf4\uace0\uc11c, \uc18c\uc15c \ubbf8\ub514\uc5b4 \uac8c\uc2dc\ubb3c\uacfc \uac19\uc740 \ube44\uc815\ud615 \ub370\uc774\ud130\ub97c \ubd84\uc11d\ud558\uc5ec \ud2b8\ub808\uc774\ub529 \uacb0\uc815\uc744 \ub0b4\ub9ac\ub294 \ub370 \uc720\uc6a9\ud55c \ud1b5\ucc30\uc744 \uc5bb\uc744 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\ub525\ub7ec\ub2dd \ubaa8\ub378\uc740 \uc790\uc0b0 \uac00\uaca9, \uac70\ub798\ub7c9, \ubcc0\ub3d9\uc131 \ub4f1\uc758 \uc608\uce21 \ubaa8\ub378\uc744 \uac1c\ubc1c\ud558\ub294 \ub370\uc5d0\ub3c4 \uc0ac\uc6a9\ub420 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ud2b9\ud788 \uc21c\ud658 \uc2e0\uacbd\ub9dd(RNN)\uacfc \uc7a5\ub2e8\uae30 \uba54\ubaa8\ub9ac \ub124\ud2b8\uc6cc\ud06c(LSTM)\ub294 \uc8fc\uc2dd \uac00\uaca9\uacfc \uac19\uc740 \uc2dc\uacc4\uc5f4 \ub370\uc774\ud130\ub97c \ubd84\uc11d\ud558\ub294 \ub370 \uc720\uc6a9\ud569\ub2c8\ub2e4. \uc774\ub7ec\ud55c \ubaa8\ub378\uc740 \ub370\uc774\ud130\uc758 \uc2dc\uac04\uc801 \uc758\uc874\uc131\uc744 \ud3ec\ucc29\ud558\uc5ec \uc804\ud1b5\uc801\uc778 \ud1b5\uacc4 \ubaa8\ub378\ubcf4\ub2e4 \ub354 \uc815\ud655\ud55c \uc608\uce21\uc744 \ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\ub525\ub7ec\ub2dd\uc758 \ub610 \ub2e4\ub978 \uc911\uc694\ud55c \uc751\uc6a9\uc740 \uac10\uc815 \ubd84\uc11d\uc785\ub2c8\ub2e4. \ub274\uc2a4 \uae30\uc0ac, \uc18c\uc15c \ubbf8\ub514\uc5b4 \uac8c\uc2dc\ubb3c, \uc2e4\uc801 \ubc1c\ud45c \ub4f1\uc758 \ub0b4\uc6a9\uc744 \ubd84\uc11d\ud558\uc5ec \ud22c\uc790\uc790 \uc2ec\ub9ac\ub97c \ud30c\uc545\ud558\uace0, \uc774\ub97c \ud1b5\ud574 \ud2b8\ub808\uc774\ub529 \uacb0\uc815\uc744 \ub0b4\ub9b4 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc608\ub97c \ub4e4\uc5b4, \ud2b9\uc815 \uc8fc\uc2dd\uc5d0 \ub300\ud55c \ubd80\uc815\uc801\uc778 \uac10\uc815\uc774 \uae09\uc99d\ud558\uba74 \ud574\ub2f9 \uc8fc\uc2dd\uc758 \uac00\uaca9\uc774 \ud558\ub77d\ud560 \uac00\ub2a5\uc131\uc774 \uc788\uc74c\uc744 \ub098\ud0c0\ub0b4\uc5b4 \uc54c\uace0\ub9ac\uc998\uc774 \uacf5\ub9e4\ub3c4 \ud3ec\uc9c0\uc158\uc744 \ucde8\ud558\ub3c4\ub85d \ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">3. \uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd\uc744 \ud65c\uc6a9\ud55c \ud2b8\ub808\uc774\ub529 \uc804\ub7b5<\/h3>\n\n\n\n<h4 class=\"wp-block-heading\">3.1. \uc608\uce21 \ubaa8\ub378\ub9c1<\/h4>\n\n\n\n<p class=\"wp-block-paragraph\">\uba38\uc2e0\ub7ec\ub2dd\uc744 \ud65c\uc6a9\ud574 \uc8fc\uac00, \uac70\ub798\ub7c9 \ub4f1\uc744 \uc608\uce21\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uacfc\uac70 \ub370\uc774\ud130\ub97c \uc0ac\uc6a9\ud574 \ud68c\uadc0 \ubaa8\ub378\uc744 \uad6c\ucd95\ud558\uc5ec \ubbf8\ub798\uc758 \uac00\uaca9\uc744 \uc608\uce21\ud558\uba70, \uc8fc\ub85c \uc0ac\uc6a9\ub418\ub294 \uc54c\uace0\ub9ac\uc998\uc73c\ub85c\ub294 \uacb0\uc815 \ud2b8\ub9ac, \ub79c\ub364 \ud3ec\ub808\uc2a4\ud2b8, XGBoost \ub4f1\uc774 \uc788\uc2b5\ub2c8\ub2e4. \uc608\uce21 \ubaa8\ub378\ub9c1\uc740 \uacfc\uac70 \ub370\uc774\ud130\uc5d0\uc11c \ud328\ud134\uc744 \ucc3e\uc544 \ubbf8\ub798 \uac00\uaca9 \uc6c0\uc9c1\uc784\uc744 \uc608\uce21\ud558\ub294 \uac83\uc744 \ubaa9\ud45c\ub85c \ud569\ub2c8\ub2e4. \uc774\ub7ec\ud55c \ubaa8\ub378\uc740 \uac00\uaca9 \uc774\ub825, \uac70\ub798\ub7c9, \uac70\uc2dc\uacbd\uc81c \uc9c0\ud45c\uc640 \uac19\uc740 \ub2e4\uc591\ud55c \ud2b9\uc9d5\uc744 \ud3ec\ud568\ud55c \ub300\uaddc\ubaa8 \ub370\uc774\ud130\uc14b\uc5d0\uc11c \ud559\uc2b5\ub429\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\ub79c\ub364 \ud3ec\ub808\uc2a4\ud2b8 \uc54c\uace0\ub9ac\uc998\uc740 \uc5ec\ub7ec \uac1c\uc758 \uacb0\uc815 \ud2b8\ub9ac\ub97c \uacb0\ud569\ud558\uc5ec \uc815\ud655\ub3c4\ub97c \ub192\uc774\uace0 \uacfc\uc801\ud569\uc744 \uc904\uc774\ub294 \ubc29\ubc95\uc73c\ub85c \uc790\uc8fc \uc0ac\uc6a9\ub429\ub2c8\ub2e4. \ub79c\ub364 \ud3ec\ub808\uc2a4\ud2b8\ub294 \uc5ec\ub7ec \ubcc0\uc218 \uac04\uc758 \ubcf5\uc7a1\ud55c \uc0c1\ud638\uc791\uc6a9\uc744 \ud3ec\ucc29\ud560 \uc218 \uc788\uc5b4 \uae08\uc735 \ub370\uc774\ud130\uc758 \ubcf5\uc7a1\ud55c \uad00\uacc4\ub97c \ubaa8\ub378\ub9c1\ud558\ub294 \ub370 \uc801\ud569\ud569\ub2c8\ub2e4. \ub610 \ub2e4\ub978 \uc778\uae30 \uc788\ub294 \ubc29\ubc95\uc740 \uc57d\ud55c \ubaa8\ub378\ub4e4\uc744 \uc870\ud569\ud574 \uac15\ub825\ud55c \ubaa8\ub378\uc744 \ub9cc\ub4dc\ub294 \uadf8\ub798\ub514\uc5b8\ud2b8 \ubd80\uc2a4\ud305\uc785\ub2c8\ub2e4.<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">3.2. \uad70\uc9d1\ud654<\/h4>\n\n\n\n<p class=\"wp-block-paragraph\">\uacfc\uac70\uc758 \uac00\uaca9 \ub370\uc774\ud130\ub97c \uad70\uc9d1\ud654\ud558\uc5ec \uc720\uc0ac\ud55c \ud328\ud134\uc744 \uac00\uc9c4 \uc8fc\uc2dd\uc774\ub098 \uae08\uc735 \uc0c1\ud488\uc758 \uadf8\ub8f9\uc744 \ud615\uc131\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc77c\ubc18\uc801\uc73c\ub85c \uc0ac\uc6a9\ub418\ub294 \uad70\uc9d1\ud654 \uae30\ubc95\uc73c\ub85c\ub294 K-\ud3c9\uade0\uacfc DBSCAN\uc774 \uc788\uc2b5\ub2c8\ub2e4. \uad70\uc9d1\ud654\ub294 \ud2b9\ud788 \uac00\uaca9 \ud589\ub3d9\uc774\ub098 \ubcc0\ub3d9\uc131\uacfc \uac19\uc740 \uc720\uc0ac\ud55c \ud2b9\uc131\uc744 \uac00\uc9c4 \uc790\uc0b0 \uadf8\ub8f9\uc744 \uc2dd\ubcc4\ud558\ub294 \ub370 \uc720\uc6a9\ud569\ub2c8\ub2e4. \uc720\uc0ac\ud55c \uc790\uc0b0\uc744 \uadf8\ub8f9\uc73c\ub85c \ubb36\uc74c\uc73c\ub85c\uc368, \ud2b8\ub808\uc774\ub354\ub294 \uc5ed\uc0ac\uc801 \uc131\uacfc\ub97c \uae30\ubc18\uc73c\ub85c \ud2b9\uc815 \uad70\uc9d1\uc744 \ubaa9\ud45c\ub85c \ud558\ub294 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\uc608\ub97c \ub4e4\uc5b4, \uad70\uc9d1\ud654\ub97c \uc0ac\uc6a9\ud558\uc5ec \ud2b9\uc815 \uc2dc\uc7a5 \uc774\ubca4\ud2b8\uc5d0 \ubc18\uc751\ud558\uc5ec \ud568\uaed8 \uc6c0\uc9c1\uc774\ub294 \uc8fc\uc2dd \uadf8\ub8f9\uc744 \uc2dd\ubcc4\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub7ec\ud55c \uc815\ubcf4\ub294 \uc704\ud5d8\uc744 \ucd5c\uc18c\ud654\ud558\ub3c4\ub85d \uc124\uacc4\ub41c \ub2e4\uac01\ud654\ub41c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uad6c\ucd95\ud558\ub294 \ub370 \uc0ac\uc6a9\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ub610\ud55c, \uad70\uc9d1\ud654\ub97c \ud1b5\ud574 \ub3d9\ub8cc\ub4e4\uacfc \ube44\uad50\ud574 \ud2b9\uc774\ud55c \uac00\uaca9 \ud589\ub3d9\uc744 \ubcf4\uc774\ub294 \uc8fc\uc2dd(\uc774\uc0c1\uce58)\uc744 \uc2dd\ubcc4\ud558\uc5ec \uace0\uc720\ud55c \ud2b8\ub808\uc774\ub529 \uae30\ud68c\ub97c \uc81c\uacf5\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">3.3. \uac15\ud654\ud559\uc2b5 \uae30\ubc18 \uc804\ub7b5<\/h4>\n\n\n\n<p class=\"wp-block-paragraph\">\uac15\ud654\ud559\uc2b5\uc740 \ud2b8\ub808\uc774\ub529 \uacb0\uc815\uc744 \ucd5c\uc801\ud654\ud558\ub294 \ub370 \uc0ac\uc6a9\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc5d0\uc774\uc804\ud2b8\uac00 \ubcf4\uc0c1\uc744 \ucd5c\ub300\ud654\ud558\ub3c4\ub85d \ud559\uc2b5\ud558\uba70, \ub525 \uac15\ud654\ud559\uc2b5 \uae30\ubc95\uc778 DQN(Deep Q-Network)\uc774 \uc790\uc8fc \uc0ac\uc6a9\ub429\ub2c8\ub2e4. \uac15\ud654\ud559\uc2b5\uc740 \uc77c\ub828\uc758 \uacb0\uc815\uc744 \ub0b4\ub9ac\uba70 \uac01 \uacb0\uc815\uc774 \ubbf8\ub798\uc758 \ubcf4\uc0c1\uc5d0 \uc601\ud5a5\uc744 \ubbf8\uce58\ub294 \ud2b9\uc131 \ub54c\ubb38\uc5d0 \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc5d0 \uc801\ud569\ud569\ub2c8\ub2e4. \uc5d0\uc774\uc804\ud2b8\ub97c \ud6c8\ub828\ud558\uc5ec \ub204\uc801 \ubcf4\uc0c1\uc744 \ucd5c\ub300\ud654\ud568\uc73c\ub85c\uc368 \uac15\ud654\ud559\uc2b5 \uc54c\uace0\ub9ac\uc998\uc740 \ubcc0\ud654\ud558\ub294 \uc2dc\uc7a5 \uc0c1\ud669\uc5d0 \uc801\uc751\ud558\ub294 \ucd5c\uc801\uc758 \ud2b8\ub808\uc774\ub529 \uc804\ub7b5\uc744 \ud559\uc2b5\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\uc77c\ubc18\uc801\uc778 \uac15\ud654\ud559\uc2b5 \uc124\uc815\uc5d0\uc11c \uc5d0\uc774\uc804\ud2b8\ub294 \ud658\uacbd(\uae08\uc735 \uc2dc\uc7a5)\uacfc \uc0c1\ud638\uc791\uc6a9\ud558\uba70 \ud589\ub3d9(\ub9e4\uc218, \ub9e4\ub3c4, \ubcf4\uc720)\uc744 \ud558\uace0 \uadf8 \ud589\ub3d9\uc758 \uacb0\uacfc\uc5d0 \ub530\ub77c \ubcf4\uc0c1\uc744 \ubc1b\uc2b5\ub2c8\ub2e4. \uc2dc\uac04\uc774 \uc9c0\ub0a8\uc5d0 \ub530\ub77c \uc5d0\uc774\uc804\ud2b8\ub294 \uac00\uc7a5 \ub192\uc740 \ubcf4\uc0c1\uc744 \uc5bb\ub294 \ud589\ub3d9\uc744 \ud559\uc2b5\ud558\uace0, \uc815\ucc45\uc744 \uc870\uc815\ud569\ub2c8\ub2e4. \uac15\ud654\ud559\uc2b5\uc740 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654, \uc2dc\uc7a5 \uc870\uc131, \ucc28\uc775 \uac70\ub798 \ub4f1 \ub2e4\uc591\ud55c \ud2b8\ub808\uc774\ub529 \uc791\uc5c5\uc5d0 \uc131\uacf5\uc801\uc73c\ub85c \uc801\uc6a9\ub418\uace0 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">4. \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d \uac1c\uc694<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">**\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d(Fama-MacBeth Regression)**\uc740 \uc790\uc0b0 \uac00\uaca9 \uacb0\uc815 \ubaa8\ub378\uc5d0\uc11c \uac1c\ubcc4 \uc790\uc0b0\uc758 \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc744 \ucd94\uc815\ud558\uae30 \uc704\ud574 \uc0ac\uc6a9\ub418\ub294 \ub450 \ub2e8\uacc4 \ud68c\uadc0 \ubd84\uc11d \ubc29\ubc95\uc785\ub2c8\ub2e4. 1973\ub144\uc5d0 \uc720\uc9c4 \ud30c\ub9c8(Eugene Fama)\uc640 \uc81c\uc784\uc2a4 \ub9e5\ubca0\uc2a4(James MacBeth)\uac00 \uc81c\uc548\ud588\uc73c\uba70, \uc8fc\uc2dd \uc218\uc775\ub960\uc758 \ud6a1\ub2e8\uba74 \ub370\uc774\ud130\ub97c \ubd84\uc11d\ud558\ub294 \ub370 \ud2b9\ud788 \uc720\uc6a9\ud569\ub2c8\ub2e4. \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \uc811\uadfc\ubc95\uc740 \uc804\ud1b5\uc801\uc778 \ud328\ub110 \ub370\uc774\ud130 \ud68c\uadc0 \ubc29\ubc95\uc758 \ud55c\uacc4(\uc774\ubd84\uc0b0\uc131\uacfc \uc790\uae30\uc0c1\uad00 \ub4f1)\ub97c \ud574\uacb0\ud558\ub294 \uac83\uc744 \ubaa9\uc801\uc73c\ub85c \ud569\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub294 \uc790\ubcf8 \uc790\uc0b0 \uac00\uaca9 \uacb0\uc815 \ubaa8\ub378(CAPM)\uc774\ub098 \ud30c\ub9c8-\ud504\ub80c\uce58 3\uc694\uc778 \ubaa8\ub378\uacfc \uac19\uc740 \uc790\uc0b0 \uac00\uaca9 \uacb0\uc815 \ubaa8\ub378\uc744 \uc2e4\uc99d\uc801\uc73c\ub85c \ud14c\uc2a4\ud2b8\ud558\ub294 \ub370 \uc790\uc8fc \uc0ac\uc6a9\ub429\ub2c8\ub2e4. \uc11c\ub85c \ub2e4\ub978 \uc694\uc778\uc5d0 \ub300\ud55c \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc744 \ucd94\uc815\ud568\uc73c\ub85c\uc368, \uc5f0\uad6c\uc790\ub4e4\uc740 \uc790\uc0b0 \uc218\uc775\ub960\uc758 \ud6a1\ub2e8\uba74\uc801 \ubcc0\ud654\ub97c \uc124\uba85\ud558\ub294 \ub370 \uc5b4\ub5a4 \uc694\uc778\uc774 \uc911\uc694\ud55c\uc9c0 \ud310\ub2e8\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub97c \ud1b5\ud574 \uc790\uc0b0 \uac00\uaca9 \ubaa8\ub378\uc744 \uc815\uad50\ud654\ud558\uace0 \ub354 \ud6a8\uacfc\uc801\uc778 \ud22c\uc790 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">4.1. \ub450 \ub2e8\uacc4 \ud68c\uadc0 \uacfc\uc815<\/h4>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>1\ub2e8\uacc4: \ud6a1\ub2e8\uba74 \ud68c\uadc0 \ubd84\uc11d<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\uac01 \uc2dc\uc810\uc5d0\uc11c \uac1c\ubcc4 \uc790\uc0b0\uc758 \uc218\uc775\ub960\uc744 \ud2b9\uc131 \ubcc0\uc218(\uc608: \ubca0\ud0c0, \ud06c\uae30, \uac00\uce58)\uc640 \ud568\uaed8 \ud68c\uadc0 \ubd84\uc11d\ud569\ub2c8\ub2e4.<\/li>\n\n\n\n<li>\uc774 \ub2e8\uacc4\uc5d0\uc11c\ub294 \uac01 \uc790\uc0b0\uc758 \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc744 \ucd94\uc815\ud569\ub2c8\ub2e4. \uc790\uc0b0 \uc218\uc775\ub960\uc744 \uc774\ub7ec\ud55c \ud2b9\uc131\uc5d0 \ub300\ud574 \ud68c\uadc0\ud558\uc5ec \uac01 \uc694\uc778\uc5d0 \ub300\ud55c \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc744 \ucd94\uc815\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub97c \ud1b5\ud574 \uc2dc\uc7a5 \ub9ac\uc2a4\ud06c, \ud06c\uae30, \uac00\uce58\uc640 \uac19\uc740 \uc694\uc778\uacfc \uc5f0\uad00\ub41c \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc744 \ucd94\uc815\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/li>\n<\/ul>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>2\ub2e8\uacc4: \uc2dc\uac04 \ud3c9\uade0 \ubc0f \ucd94\uc815<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\uc2dc\uac04 \ucd95\uc744 \ub530\ub77c \ucd94\uc815\ub41c \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4 \uacc4\uc218\ub97c \ud3c9\uade0\ud558\uc5ec \uc804\uccb4 \uc2dc\uc7a5\uc758 \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc744 \ucd94\uc815\ud569\ub2c8\ub2e4.<\/li>\n\n\n\n<li>\uc774 \ub2e8\uacc4\uc5d0\uc11c\ub294 \ud6a1\ub2e8\uba74 \ud68c\uadc0 \uacb0\uacfc\uc758 \uc77c\uad00\uc131\uc744 \uac80\uc99d\ud558\uace0 \uc790\uc0b0 \uac00\uaca9 \ubaa8\ub378\uc758 \uc801\ud569\uc131\uc744 \ud3c9\uac00\ud569\ub2c8\ub2e4. \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc744 \uc2dc\uac04\uc801\uc73c\ub85c \ud3c9\uade0\ud568\uc73c\ub85c\uc368 \uac01 \uc694\uc778\uc5d0 \ub300\ud55c \uae30\ub300 \uc218\uc775\ub960\uc758 \uc548\uc815\uc801\uc778 \ucd94\uc815\uce58\ub97c \uc5bb\uc744 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub97c \ud1b5\ud574 \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc758 \uc2dc\uac04\uc801 \ubcc0\ub3d9\uc131\uc744 \uace0\ub824\ud558\uace0 \uc790\uc0b0 \uc218\uc775\ub960\uacfc \ud2b9\uc131 \uac04\uc758 \uc7a5\uae30\uc801\uc778 \uad00\uacc4\ub97c \uba85\ud655\ud558\uac8c \ud30c\uc545\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/li>\n<\/ul>\n\n\n\n<h4 class=\"wp-block-heading\">4.2. \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d\uc758 \ud2b9\uc9d5<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>\uc774\ubd84\uc0b0\uc131\uacfc \uc790\uae30\uc0c1\uad00 \ubb38\uc81c \uc644\ud654<\/strong>: \uc804\ud1b5\uc801\uc778 \ud328\ub110 \ub370\uc774\ud130 \ud68c\uadc0\uc640 \ub2ec\ub9ac, \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub294 \uac01 \uc2dc\uc810\uc5d0\uc11c \ub3c5\ub9bd\uc801\uc778 \ud68c\uadc0 \ubd84\uc11d\uc744 \uc218\ud589\ud558\uc5ec \uc774\ubd84\uc0b0\uc131\uacfc \uc790\uae30\uc0c1\uad00 \ubb38\uc81c\ub97c \uc644\ud654\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub294 \ud2b9\ud788 \uae08\uc735 \ub370\uc774\ud130\uc5d0\uc11c \ubcc0\ub3d9\uc131\uc774 \uc2dc\uac04\uc774 \uc9c0\ub0a8\uc5d0 \ub530\ub77c \ubcc0\ud654\ud560 \uc218 \uc788\ub294 \uacbd\uc6b0\uc5d0 \uc911\uc694\ud569\ub2c8\ub2e4. \uac01 \uc2dc\uc810\uc5d0\uc11c \uac1c\ubcc4 \ud68c\uadc0\ub97c \uc218\ud589\ud568\uc73c\ub85c\uc368 \uc774\ub7ec\ud55c \ubb38\uc81c\ub4e4\uc774 \uacc4\uc218 \ucd94\uc815\uc5d0 \ubbf8\uce58\ub294 \uc601\ud5a5\uc744 \uc904\uc77c \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/li>\n\n\n\n<li><strong>\uacbd\uc81c\uc801 \ud574\uc11d\uc758 \uc6a9\uc774\uc131<\/strong>: \uac01 \uc2dc\uc810\uc5d0\uc11c\uc758 \ud6a1\ub2e8\uba74 \ud68c\uadc0\ub97c \ud1b5\ud574 \uac1c\ubcc4 \ub9ac\uc2a4\ud06c \uc694\uc778\uc758 \uc5ed\ud560\uc744 \uba85\ud655\ud788 \ud574\uc11d\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc790\uc0b0 \uc218\uc775\ub960\uc774 \ub2e4\uc591\ud55c \ud2b9\uc131\uc5d0 \ub530\ub77c \uc5b4\ub5bb\uac8c \ubcc0\ud558\ub294\uc9c0 \ubd84\uc11d\ud568\uc73c\ub85c\uc368, \uc218\uc775\ub960 \uacb0\uc815\uc5d0 \uac00\uc7a5 \uc911\uc694\ud55c \uc694\uc778\uc774 \ubb34\uc5c7\uc778\uc9c0\uc5d0 \ub300\ud55c \ud1b5\ucc30\uc744 \uc5bb\uc744 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub294 \uc790\uc0b0 \uac00\uaca9\uc744 \uacb0\uc815\ud558\ub294 \uacbd\uc81c\uc801 \uba54\ucee4\ub2c8\uc998\uc744 \uc774\ud574\ud558\ub294 \ub370 \uc720\uc6a9\ud55c \ub3c4\uad6c\uc785\ub2c8\ub2e4.<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\">5. \ud000\ud2b8 \ud22c\uc790\uc5d0\uc11c\uc758 \ud65c\uc6a9<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub294 \uc790\uc0b0 \ud2b9\uc131(\uc608: \ud06c\uae30, \uac00\uce58, \ubaa8\uba58\ud140)\uacfc \uc218\uc775\ub960 \uac04\uc758 \uad00\uacc4\ub97c \ubd84\uc11d\ud558\ub294 \ub370 \uc720\uc6a9\ud569\ub2c8\ub2e4. \uc774\ub97c \ud1b5\ud574 \ud2b9\uc815 \ud2b9\uc131\uc774 \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc5d0 \uc5b4\ub5bb\uac8c \uc601\ud5a5\uc744 \ubbf8\uce58\ub294\uc9c0 \uc774\ud574\ud558\uace0, \uc774\ub97c \ubc14\ud0d5\uc73c\ub85c \ud22c\uc790 \uc804\ub7b5\uc744 \uc218\ub9bd\ud558\uac70\ub098 \ub9ac\uc2a4\ud06c\ub97c \uad00\ub9ac\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc608\ub97c \ub4e4\uc5b4, \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \uacb0\uacfc\uac00 \uac00\uce58\uc8fc\uac00 \ub192\uc740 \ub9ac\uc2a4\ud06c \uc870\uc815 \uc218\uc775\ub960\uc744 \uac00\uc9c0\ub294 \uacbd\ud5a5\uc774 \uc788\ub2e4\uace0 \ub098\ud0c0\ub0b4\uba74, \ud22c\uc790\uc790\ub294 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc5d0\uc11c \uac00\uce58\uc8fc \ube44\uc911\uc744 \ub298\ub9ac\uae30\ub85c \uacb0\uc815\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub294 \uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd \ubaa8\ub378 \uacb0\uacfc\ub97c \uac80\uc99d\ud558\ub294 \ub370\uc5d0\ub3c4 \uc0ac\uc6a9\ub420 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uba38\uc2e0\ub7ec\ub2dd \ubaa8\ub378\uc774 \uc2dd\ubcc4\ud55c \uc694\uc778\uc744 \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub85c \ucd94\uc815\ud55c \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uacfc \ube44\uad50\ud568\uc73c\ub85c\uc368 \ubaa8\ub378\uc758 \uc608\uce21\uc774 \uacbd\uc81c\uc801\uc73c\ub85c \uc758\ubbf8 \uc788\ub294\uc9c0 \ud3c9\uac00\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub97c \ud1b5\ud574 \ubaa8\ub378\uc774 \ub2e8\uc21c\ud788 \ub370\uc774\ud130\uc758 \ub178\uc774\uc988\ub97c \uc801\ud569\ud55c \uac83\uc774 \uc544\ub2c8\ub77c, \uc790\uc0b0 \uac00\uaca9 \uc774\ub860\uc5d0 \uc77c\uce58\ud558\ub294 \uc758\ubbf8 \uc788\ub294 \uad00\uacc4\ub97c \ud3ec\ucc29\ud558\uace0 \uc788\ub294\uc9c0 \ud655\uc778\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\ub610\ud55c, \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub294 \uc694\uc778 \ubaa8\ub378\uc758 \uac15\uac74\uc131\uc744 \ub2e4\uc591\ud55c \uc2dc\uae30\uc640 \uc2dc\uc7a5 \uc870\uac74\uc5d0\uc11c \ud14c\uc2a4\ud2b8\ud558\ub294 \ub370 \uc0ac\uc6a9\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ub370\uc774\ud130\ub97c \ub2e4\ub978 \ud558\uc704 \uc0d8\ud50c\ub85c \ub098\ub204\uc5b4 \ud68c\uadc0 \ubd84\uc11d\uc744 \uc218\ud589\ud568\uc73c\ub85c\uc368, \ucd94\uc815\ub41c \ub9ac\uc2a4\ud06c \ud504\ub9ac\ubbf8\uc5c4\uc774 \uc2dc\uac04\uc5d0 \ub530\ub77c \uc77c\uad00\ub41c\uc9c0 \uc544\ub2c8\uba74 \uc2dc\uc7a5 \uc870\uac74 \ubcc0\ud654\uc5d0 \ub530\ub77c \ud06c\uac8c \ub2ec\ub77c\uc9c0\ub294\uc9c0 \ud310\ub2e8\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">6. \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub97c \ud65c\uc6a9\ud55c \ud2b8\ub808\uc774\ub529 \uc804\ub7b5<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d \uacb0\uacfc\ub97c \ud65c\uc6a9\ud558\uc5ec \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uad6c\uc131 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc608\ub97c \ub4e4\uc5b4, \ud2b9\uc815 \uc694\uc778\uc774 \uc218\uc775\ub960\uc5d0 \uae0d\uc815\uc801\uc778 \uc601\ud5a5\uc744 \ubbf8\uce5c\ub2e4\uba74 \ud574\ub2f9 \uc694\uc778\uc744 \uac00\uc9c4 \uc790\uc0b0\uc5d0 \uc9d1\uc911 \ud22c\uc790\ud558\ub294 \uc804\ub7b5\uc744 \uc0ac\uc6a9\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ub2e4\ubcc0\ub7c9 \ud68c\uadc0 \ubaa8\ub378\uc744 \uc0ac\uc6a9\ud558\uc5ec \uc218\uc775\ub960\uc744 \uadf9\ub300\ud654\ud558\ub294 \ud22c\uc790 \uacb0\uc815\uc744 \ub0b4\ub9ac\ub294 \uac83\ub3c4 \uac00\ub2a5\ud569\ub2c8\ub2e4. \uc5ec\ub7ec \uc694\uc778\uc744 \uacb0\ud569\ud558\uc5ec \ud2b9\uc815 \uc704\ud5d8-\uc218\uc775 \ubaa9\ud45c\ub97c \ub2ec\uc131\ud558\uae30 \uc704\ud55c \ub2e4\uac01\ud654\ub41c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uac1c\ubc1c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\uc77c\ubc18\uc801\uc778 \uc811\uadfc\ubc95 \uc911 \ud558\ub098\ub294 \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \uacb0\uacfc\ub97c \uc0ac\uc6a9\ud558\uc5ec \uc694\uc778 \ubaa8\ubc29 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uad6c\ucd95\ud558\ub294 \uac83\uc785\ub2c8\ub2e4. \uc774\ub7ec\ud55c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub294 \ud06c\uae30\ub098 \uac00\uce58\uc640 \uac19\uc740 \ud2b9\uc815 \ub9ac\uc2a4\ud06c \uc694\uc778\uc5d0 \ub300\ud55c \ub178\ucd9c\uc744 \uac00\uc9c0\ub3c4\ub85d \uc124\uacc4\ub418\uba70, \uc694\uc778 \uae30\ubc18 \ud22c\uc790 \uc804\ub7b5\uc744 \uad6c\ud604\ud558\ub294 \ub370 \uc0ac\uc6a9\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc608\ub97c \ub4e4\uc5b4, \ud06c\uae30 \uc694\uc778\uc774 \ud5a5\ud6c4 \uae0d\uc815\uc801\uc778 \uc218\uc775\uc744 \ub0bc \uac83\uc73c\ub85c \uae30\ub300\ud558\ub294 \ud22c\uc790\uc790\ub294 \uc18c\ud615\uc8fc \ube44\uc911\uc744 \ub298\ub9b0 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uad6c\uc131\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub294 \uae30\uc874\uc758 \ud2b8\ub808\uc774\ub529 \uc804\ub7b5 \uc131\uacfc\ub97c \ud3c9\uac00\ud558\ub294 \ub370\uc5d0\ub3c4 \uc0ac\uc6a9\ub420 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ud2b8\ub808\uc774\ub529 \uc804\ub7b5\uc758 \uc218\uc775\ub960\uc744 \ub2e4\uc591\ud55c \ub9ac\uc2a4\ud06c \uc694\uc778\uc5d0 \ub300\ud574 \ud68c\uadc0\ud558\uc5ec \uc5b4\ub5a4 \uc694\uc778\uc774 \uc804\ub7b5\uc758 \uc131\uacfc\ub97c \uc8fc\ub3c4\ud558\ub294\uc9c0 \ud310\ub2e8\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub97c \ubc14\ud0d5\uc73c\ub85c \uc804\ub7b5\uc744 \uc815\uad50\ud654\ud558\uac70\ub098 \ud2b9\uc815 \ub9ac\uc2a4\ud06c \uc694\uc778\uc744 \ubaa9\ud45c\ub85c \ud558\ub294 \uc0c8\ub85c\uc6b4 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">7. \uad6c\ud604 \ubc0f \uc608\uc81c<\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub294 <code>pandas<\/code>, <code>numpy<\/code>, <code>statsmodels<\/code>\uc640 \uac19\uc740 \ud30c\uc774\uc36c \ub77c\uc774\ube0c\ub7ec\ub9ac\ub97c \uc0ac\uc6a9\ud558\uc5ec \uad6c\ud604\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc8fc\uc2dd \ub370\uc774\ud130\ub294 Yahoo Finance API \ub4f1\uc744 \ud1b5\ud574 \uc218\uc9d1\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774 \uc139\uc158\uc5d0\uc11c\ub294 \ud30c\uc774\uc36c\uc744 \uc0ac\uc6a9\ud558\uc5ec \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0\ub97c \uad6c\ud604\ud558\ub294 \uac04\ub2e8\ud55c \uc608\uc81c\ub97c \uc81c\uacf5\ud569\ub2c8\ub2e4. \uc774 \uc608\uc81c\ub294 \uc218\uc775\ub960 \uacc4\uc0b0, \ub370\uc774\ud130 \ubcd1\ud569, \ud6a1\ub2e8\uba74 \ud68c\uadc0 \ubd84\uc11d\uc744 \uc218\ud589\ud558\ub294 \ubc29\ubc95\uc744 \ubcf4\uc5ec\uc90d\ub2c8\ub2e4.<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>import pandas as pd\nimport numpy as np\nimport statsmodels.api as sm\n\n# \uc0d8\ud50c OHLC \ub370\uc774\ud130 (\uac01 \uc8fc\uc2dd\uc758 \uc885\uac00 \ub370\uc774\ud130)\ndata = {\n    'date': &#91;'2023-01-01', '2023-01-02', '2023-01-03', '2023-01-04', '2023-01-05'],\n    'stock1_close': &#91;100, 102, 104, 103, 105],\n    'stock2_close': &#91;200, 198, 202, 204, 203],\n    'stock3_close': &#91;150, 151, 149, 152, 153]\n}\n\ndf = pd.DataFrame(data)\ndf&#91;'date'] = pd.to_datetime(df&#91;'date'])\n\n# \uc218\uc775\ub960 \uacc4\uc0b0 \ud568\uc218\ndef calculate_returns(df, column_prefix='stock'):\n    returns = df.filter(like=column_prefix).pct_change().dropna()\n    returns&#91;'date'] = df&#91;'date']&#91;1:].values\n    return returns\n\n# \uc218\uc775\ub960 \uacc4\uc0b0\nreturns_df = calculate_returns(df)\n\n# \ud2b9\uc131 \ubcc0\uc218 \ub370\uc774\ud130 \uc0dd\uc131 (\uc608\uc2dc\ub85c \uc784\uc758\ub85c \uc0ac\uc6a9)\ncharacteristics_data = {\n    'date': &#91;'2023-01-02', '2023-01-03', '2023-01-04', '2023-01-05'],\n    'stock1_beta': &#91;1.1, 1.2, 1.15, 1.18],\n    'stock2_beta': &#91;0.9, 0.85, 0.87, 0.88],\n    'stock3_beta': &#91;1.0, 1.05, 1.02, 1.03]\n}\n\ncharacteristics_df = pd.DataFrame(characteristics_data)\ncharacteristics_df&#91;'date'] = pd.to_datetime(characteristics_df&#91;'date'])\n\n# \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d \uc218\ud589\ndef fama_macbeth_regression(returns_df, characteristics_df):\n    # \ub450 \ub370\uc774\ud130\ud504\ub808\uc784 \ubcd1\ud569\n    merged = pd.merge(returns_df, characteristics_df, on='date')\n\n    # \uc8fc\uc2dd \ub9ac\uc2a4\ud2b8\n    stocks = &#91;col for col in returns_df.columns if 'stock' in col]\n\n    # 1\ub2e8\uacc4: \ud6a1\ub2e8\uba74 \ud68c\uadc0 (\uac01 \ub0a0\uc9dc\ubcc4)\n    coefficients = &#91;]\n    for date, group in merged.groupby('date'):\n        X = group&#91;&#91;'stock1_beta', 'stock2_beta', 'stock3_beta']]\n        y = group&#91;stocks].values.flatten()\n        X = sm.add_constant(X)\n        \n        # \ud68c\uadc0 \ubd84\uc11d\n        model = sm.OLS(y, X).fit()\n        coefficients.append(model.params)\n\n    # 2\ub2e8\uacc4: \uc2dc\uac04 \ucd95\uc5d0 \ub530\ub978 \ud3c9\uade0 \uacc4\uc0b0\n    coeff_df = pd.DataFrame(coefficients)\n    fama_macbeth_result = coeff_df.mean()\n\n    return fama_macbeth_result\n\n# \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \uacb0\uacfc \ucd9c\ub825\nresult = fama_macbeth_regression(returns_df, characteristics_df)\nprint(\"Fama-MacBeth Regression Coefficients:\")\nprint(result)<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\uc774 \uc608\uc81c\ub294 \uac04\ub2e8\ud55c \uad6c\ud604\uc774\uba70, \uc2e4\uc81c \ud22c\uc790 \uc804\ub7b5\uc5d0 \uc801\uc6a9\ud558\ub824\uba74 \ub370\uc774\ud130 \uc815\uc81c, \ubcc0\uc218 \uc120\ud0dd, \ucd94\uac00\uc801\uc778 \uac80\uc99d \ub4f1\uc774 \ud544\uc694\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc2e4\uc81c\ub85c\ub294 \uc785\ub825 \ub370\uc774\ud130\uc758 \ud488\uc9c8\uacfc \ub2e4\uc591\ud55c \uc2dc\uc7a5 \uc870\uac74\uc5d0\uc11c \ubaa8\ub378\uc758 \uac15\uac74\uc131\uc744 \uc2e0\uc911\ud558\uac8c \uace0\ub824\ud574\uc57c \ud569\ub2c8\ub2e4. \ub610\ud55c, \ubaa8\ub378\uc774 \ub2e4\uc591\ud55c \uc2dc\ub098\ub9ac\uc624\uc5d0\uc11c \uc798 \uc791\ub3d9\ud558\ub294\uc9c0 \ud655\uc778\ud558\uae30 \uc704\ud574 \uc801\uc808\ud55c \ubc31\ud14c\uc2a4\ud2b8\uc640 \uc0d8\ud50c \uc678 \ud14c\uc2a4\ud2b8\ub97c \uc218\ud589\ud574\uc57c \ud569\ub2c8\ub2e4.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\uc548\ub155\ud558\uc138\uc694! \uc774\ubc88 \ud3ec\uc2a4\ud305\uc5d0\uc11c\ub294 \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uacfc \uc774\ub97c \ud3c9\uac00\ud558\uae30 \uc704\ud55c **\ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d(Fama-MacBeth Regression)**\uc5d0 \ub300\ud574 \uc54c\uc544\ubcf4\uaca0\uc2b5\ub2c8\ub2e4. \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \uae08\uc735 \uc2dc\uc7a5 \ub370\uc774\ud130\ub97c \ubd84\uc11d\ud558\uc5ec \uc790\ub3d9\uc73c\ub85c \ud22c\uc790 \uacb0\uc815\uc744 \ub0b4\ub9ac\uace0, \uc218\uc775\uc744 \uadf9\ub300\ud654\ud558\ub294 \uac83\uc744 \ubaa9\ud45c\ub85c \ud569\ub2c8\ub2e4. \uc774 \uacfc\uc815\uc5d0\uc11c \uba38\uc2e0\ub7ec\ub2dd\uacfc \ub525\ub7ec\ub2dd \uae30\ubc95\uc744 \uc0ac\uc6a9\ud558\uc5ec \ub370\uc774\ud130\uc758 \ubcf5\uc7a1\ud55c \uad00\uacc4\ub97c \ubaa8\ub378\ub9c1\ud558\uace0 \uc608\uce21\ud569\ub2c8\ub2e4. \ud2b8\ub808\uc774\ub529 \uacb0\uc815\uc744 \uc790\ub3d9\ud654\ud568\uc73c\ub85c\uc368 \ud22c\uc790\uc790\ub294 \uc2dc\uc7a5\uc758 \uc791\uc740 \uac00\uaca9 \ucc28\uc774\ub97c \ud65c\uc6a9\ud558\uace0, \uac10\uc815\uc801 \ud3b8\ud5a5\uc744 \uc904\uc774\uba70, \uc218\ub3d9 \ud2b8\ub808\uc774\ub529\ubcf4\ub2e4 \ud6e8\uc52c &hellip; <a href=\"https:\/\/atmokpo.com\/w\/29417\/\" class=\"more-link\">\ub354 \ubcf4\uae30<span class=\"screen-reader-text\"> &#8220;\uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529, \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d&#8221;<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_jetpack_memberships_contains_paid_content":false,"footnotes":""},"categories":[29],"tags":[],"class_list":["post-29417","post","type-post","status-publish","format-standard","hentry","category-29"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v26.2 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>\uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529, \ud30c\ub9c8-\ub9e5\ubca0\uc2a4 \ud68c\uadc0 \ubd84\uc11d - 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