함수형 자료 기법을 활용한 로지스틱 회귀 모형과 응용

Abstract

Stock prices around the world dramatically decreased in 2020 due to COVID-19. Although the general trend seemed to be rebounding in 2021, the degree of recovery might vary by industry. This paper intends to investigate the relationship between the type of the industry companies and the pattern of individual stock indexes for 2021. Specifically, we investigate whether the functional pattern of individual stock indexes can be an important factor that can distinguish the type of the industry company. Traditionally, the stock price data has been analyzed using a time series approach. However, with the recent development of automated devices, the interest on the functional data analysis has been increasing. If individual stock prices are assumed to be random functions defined above continuous time, functional data techniques can be applied. Following this approach, we propose to use a functional logistic regression model that can explain the type of the industry company with the pattern of individual stock prices especially for 2021.