???? BK21 ??? ??, ??? SSCI ??? ??
▲ (????) ??? ?????, ??? ??, Robert Webb ??
?? ????? BK21 FOUR '????? ????? ????? ???? ?????? ?????'(??: ??? ?????)? ??? ?????(????: ???? ??? ??)? 「How well do machine learning models in finance work?」 ??? ?1??? ????, Business/Finance ?? ??? 4% SSCI ???? Financial Innovation(IF=7.2)? ?????. ??? ??? ??? ???? ????, ?? ???? Global Finance Research Center(GFRC ??? ??? ??)? ??? ??? ????????? ??????? ??? ?? ???, ?? ???? ???? ????, ???? ?????? ???? ?? ??? ??? ??.
?? ??? GFRC ??????? University of Virgina? Robert Webb ???? ??? ????? ?????. ???? ?? 20?? KOSPI·KOSDAQ ??? 3,616?? ???? 80? ?? ??? 10? ???? ??? ??? ?? ????? ????, ??? ???? ? ??? ????? ??? ??, Random Forest? XGBoost ? ?? ?? ??? ??? ????? ???? ?? ‘36?? ???’? ???? ???? ?? ???? ????. PFI, SHAP, LIME, PDP, ICE, ALE ? ‘?????(Explainable)’ AI ??? ??? ?? ????? ???? ????? ????? ??????, ??? ??? ?? ???? ? ???? ???? ?? ???? ??? ???? ?? ????(risk factor)? ????? ???? ???? ?? ??·??? ??? ????.
??? ?? ??? ??? ??.
※ ???: How well do machine learning models in finance work?
※ ??: Financial Innovation
※ ???: ?1?? Kang, Y.(???), ???? Ryu, D.(???), ???? Webb, R.I.
※ DOI:
??
