• Journal of Korea Port Economic Association
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• v.29 no.1
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• pp.67-76
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• 2013

It has been more than four years since the outbreak of global financial crisis. However, the world economy continues to be challenged with new crisis such as the European debt crisis and the fiscal cliff issue of the U.S. The global economic environment remains fragile and prone to further disappointment, although the balance of risks is now less skewed to the downside than it has been in recent years. It's no wonder that maritime business will be bearish since the global business affects the maritime business directly as well as indirectly. This paper, hence, aims to predict the Baltic Dry Index representing the shipping business using the ARIMA-type models and Hodrick-Prescott filtering technique. The monthly data cover the period January 2000 through January 2013. The out-of-sample forecasting performance is measured by three summary statistics: root mean squared percent error, mean absolute percent error and mean percent error. These forecasting performances are also compared with those of the random walk model. This study shows that the ARIMA models including Intervention-ARIMA have lower rmse than random walk model. This means that it's appropriate to forecast BDI using the ARIMA models. This paper predicts that the shipping market will be more bearish in 2013 than the year 2012. These pessimistic ex-ante forecasts are supported by the Hodrick-Prescott filtering technique.

• The Korean Journal of Financial Studies
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• v.6 no.1
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• pp.23-45
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• 2000

기존연구에 의하면 무상증자의 공시는 공시기간 중 정(+)의 가격효과를 초래하는 것으로 나타나고 있다. 무상증자에 대한 이러한 시장의 호의적인 반응을 설명하기 위해 여러 가설이 제기되어 왔으며, 그 중 무상증자는 좋은 내부정보를 외부에 신빙성 있게 전달하는 신호기제가 될 수 있다는 신호가설이 특히 지지를 받고 있다. 그런데 짧은 공시기간 중의 정(+)의 주가반응만을 보고 신호가설이 지지된다고 단정짓는데는 무리가 있다. 본 연구에서는 과연 신호가설이 주장하는 것처럼 무상증자가 사업기회의 확대, 미래현금흐름의 증대, 추후 차입여력의 증대를 가져오는가를 더 면밀히 검증하기 위하여 무상증자 실시기업의 장기성과를 조사하였다. 본 연구의 특징은 (1)공시기간 이후의 1년 이내의 기간에 중점을 둔 대부분의 기존연구와 달리 증자 후 36개월간의 장기성과를 측정하였으며, (2)주가수익률 자료와 회계자료를 동시에 이용하여 장기성과를 조사하였고, (3)장기 초과수익률 측정과 검증에 있어 통계적 오류가 있는 누적초과수익률(CAR)을 보완하기 위해 매입보유초과수익률(BHAR)을 사용했으며, 이를 위해 엄격한 기준을 적용하여 표본기업과 비교기업을 선정하였다는 데 있다. 실증분석 결과 신호가설을 지지하는 증거는 발견하지 못하였으며 오히려 무상증자 실시기업이 시장평균 또는 비교기업인 비증자기업에 비해 장기적으로 주가수익률 및 영업성과에 있어 저성과를 보이는 증거를 상당 수 발견하였다. 구체적으로 동일가중평균수익률로 조정한 보유기간 초과수익률의 경우 증자 후 1개월에서 24개윌까지의 BHAR이 5% 미만 수준에서 부(-)의 값을 보였으며, 비모수통계치를 사용할 경우 $1{\sim}36$개월까지의 전기간에서 유의한 부(-)의 저성과를 보이고 있다. 또한 영업성과면에서도 증자기업이 비증자기업에 비해 증자 후 수익성과 현금흐름이 저조하게 나타나고 있다.해 현물시장의 수익률, 변동성이 높은 것으로 나타났으나, 변경후에는 현물시장에 비해 선물시장의 수익률 변동성이 높은 것으로 나타났다. VAR 분석에 의하면 변경후가 변경전에 비하여 선물이 현물을 선도하는 시차가 다소 커진 것으로 나타나 현물시장과 선물시장이 동시에 가격제한폭 확대후에 비효율적으로 되었다는 의미로 판단된다.기간에서는 선물의 15분 선도효과와 현물의 1분 선도효과가 발견되어 선물의 선도효과가 지배적임을 발견하였다.적 일정하게 하는 소비행동을 목표로 삼고 소비와 투자에 대한 의사결정을 내리고 있음이 실증분석을 통하여 밝혀졌다. 투자자들은 무위험 자산과 위험성 자산을 동시에 고려하여 포트폴리오를 구성하는 투자활동을 행동에 옮기고 있다.서, Loser포트폴리오를 매수보유하는 반전거래전략이 Winner포트폴리오를 매수보유하는 계속거래전략보다 적합한 전략임을 알 수 있었다. 다섯째, Loser포트폴리오와 Winner포트폴리오를 각각 투자대상종목으로써 매수보유한 반전거래전략과 계속거래 전략에 대한 유용성을 비교검증한 Loser포트폴리오와 Winner포트폴리오 각각의 1개월 평균초과수익률에 의하면, 반전거래전략의 Loser포트폴리오가 계속거래전략의 Winner포트폴리오보다 약 5배정도의 높은 1개월 평균초과수익률을 실현하였고, 반전거래전략의 유용성을 충분히 발휘하기 위하여 장단기의 투자기간을 설정할 경우에 6개월에서 36개월로 이동함에 따라 6개월부터 24개월까지는 초과수익률이 상승하지만, 이후로는 감소하므로, 반전거래전략을 활용하는 경우 주식투자기간은 24개월이하의 중단기가 적합함을 발견하였다. 이상의 행태적 측면과 투자성과측면의 실증결과를 통하여 한국주식시장에 있어서 시장수익률을 평균적으로 초과할 수 있는 거래전략은 존재하므로 이러한 전략을 개발 및 활용할 수 있으며, 특히, 한국주식시장에 적합한 거래전략은 반전거래전략이고, 이 전략의 유용성은

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.11
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• pp.128-134
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• 2016

Estimating the repair and reinforcement (R&R) costs for each bridge member is essential for managing the life cycle of a bridge using a bridge management system (BMS). Representative members of a bridge were defined in this study, and detailed and representative R&R methods for each one were drawn in order to develop a systematic maintenance cost model that is applicable to the BMS. The unit cost for each detailed R&R method was established using the standard of estimate and historical cost data, and a systematic procedure is presented using an integration program to enable easy renewal of the R&R unit cost. Also, the average unit cost of the representative R&R methods was calculated in the form of a weighted average by considering the unit cost and application frequency of each detained R&R method. The appropriateness of the drawn average unit cost was reviewed by comparing and verifying it with the previous historical unit cost. The suggested average R&R unit cost can be used to review the validity of the required budget or the appropriateness of the R&R performance cost in the stage to establish the bridge maintenance plan. The results of this study are expected to improve the reliability of maintenance cost information and the rationality of decision making.

• KIPS Transactions on Computer and Communication Systems
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• v.6 no.4
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• pp.179-188
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• 2017

It is very challenging to analyze the traffic flow in the city because there are lots of traffic accidents, intersections, and pedestrians etc. Now, even in mid-size cities Bus Information Systems(BIS) have been deployed, which have offered the forecast of arriving times at the stations to passengers. BIS also provides more informations such as the current locations, departure-arrival times of buses. In this paper, we perform the time-series analysis of the traffic flow using the data of the average trvel time and the average speed between stations extracted from the BIS. In the mid size cities, the data from BIS will have a important role on prediction and analysis of the traffic flow. We used the Dynamic Linear Model(DLM) for how to make the time series forecasting model to analyze and predict the average speeds at the given locations, which seem to show the representative of traffics in the city. Especially, we analysis travel times for weekdays and weekends separately. We think this study can help forecast the traffic jams, congestion areas and more accurate arrival times of buses.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.34 no.2
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• pp.597-604
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• 2014

In this study, we investigate to show the limitations of current bus arrival time estimation model based on each bus route, and to propose a bus arrival time estimation model based on a bus stop to overcome these limitations. Using the characteristic of bus arrival time calculated on travel time between two bus stops, we develop a model to estimate bus arrival times with the data of all buses traveling the same section regardless of bus route numbers. In the proposed model, an estimated arrival time is calculated by weighted moving average method, and verification between observed value and estimated time is performed on the basis of RMSE. Error was reduced by up to 20% compared to the existing models and the data update period was reduced by more than half that is related to the accuracy of bus arrival time information. We expect to solve the following problems with the suggested method: sudden increase or decrease in arrival time of the bus, the difference of the expected arrival times at the same stop between two or more buses having different route numbers, and impossibility of offering information of a bus if the bus is not operated with the designated schedule.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.10 no.5
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• pp.1009-1019
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• 2009

In this research, various characteristics of South Korea's design flood have been examined by deriving appropriate design flood, using data obtained from careful observation of actual floods occurring in selected main watersheds of the nation. 19 watersheds were selected for research in Korea. The various characteristics of annual rainfall were analyzed by using a moving average method. The frequency analysis was decided to be performed on the annual maximum flood of succeeding one year as a reference year. For the 19 watersheds, tests of basic statistics, independent, homogeneity, and outlier were calculated per period of annual maximum flood series. By performing a test using the LH-moment ratio diagram and the Kolmogorov-Smirnov (K-S) test, among applied distributions of Gumbel (GUM), Generalized Extreme Value (GEV), Generalized Logistic (GLO) and Generalized Pareto (GPA) distribution was found to be adequate compared with other probability distributions. Parameters of GEV distribution were estimated by L, L1, L2, L3 and L4-moment method based on the change in the order of probability weighted moments. Design floods per watershed and the periods of annual maximum flood series were derived by GEV distribution. According to the result of the analysis performed by using variation rate used in this research, it has been concluded that the time for changing the design conditions to ensure the proper hydraulic structure that considers recent climate changes of the nation brought about by global warming should be around the year 2002.

• Journal of Korea Water Resources Association
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• v.49 no.5
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• pp.439-450
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• 2016

For the design of infrastructures controlling the flood events at ungauged basins, this study tries to find the regional flood frequencies using peak flow data generated by the spatial extension of flood records. The Chungju Dam watershed is selected to validate the possibility of regional flood frequency analysis using the spatially extended flood data. Firstly, based on the index flood method, the flood event data from the spatial extension method is evaluated for 22 mid/smaller sub-basins at the Chungju Dam watershed. The homogeneity of the Chungju dam watershed was assessed in terms of the different size of watershed conditions such as accumulated and individual sub-basins. Based on the result of homogeneity analysis, this watershed is heterogeneous with respect to individual sub-basins because of the heterogeneity of rainfall distribution. To decide the regional probability distribution, goodness-of fit measure and weighted moving averages method from flood frequency analysis were adopted. Finally, GEV distribution was selected as a representative distribution and regional quantile were estimated. This research is one step further method to estimate regional flood frequency for ungauged basins.

• Journal of Korean Society of Transportation
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• v.28 no.6
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• pp.7-15
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• 2010

Research of this paper focused on developing and demonstrating of algorithm with the figures of difference between historical traffic pattern data and real-time traffic data to decide on what the incident is. The aim of this dissertation is to develop incident detection algorithm which can be understood and modified easier to operate. To establish traffic pattern of this algorithm, weighted moving average method was applied. The basis of this method was traffic volume and speed of the same day and time at the same location based on 30-second raw data. The model was completed by a serious of steps of process-screening process of error data, decision of the traffic condition, comparison with pattern data, decision of incident circumstances, continuity test. A variety of parameter value was applied to select reasonable parameter. Results of application of the algorithm came out with figures of average detection rate 94.7 percent, 0.8 percent rate of misinformation and the average detection time 1.6 minutes. With these following results, the detection rate turned out to be superior compared with result of existing model. Applying the concept of traffic patterns was useful to gain excellent results of this study. Also, this study is significant in terms of making algorithm which theorized the decision process of actual operators.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.2
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• pp.75-93
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• 2013

In applying Markowitz's portfolio selection model to the stock market, we developed a comprehensive investment decision-making framework including key inputs for portfolio theory (i.e., individual stocks' expected rate of return and covariance) and minimum required expected return. For estimating the key inputs of our decision-making framework, we utilized an exponentially weighted moving average (EWMA) which places more emphasis on recent data than the conventional simple moving average (SMA). We empirically analyzed the investment results of the decision-making framework with the same 15 stocks in Samsung Group Funds found in the Korean stock market between 2007 and 2011. This five-year investment horizon is marked by global financial crises including the U.S. subprime mortgage crisis, the collapse of Lehman Brothers, and the European sovereign-debt crisis. We measure portfolio performance in terms of rate of return, standard deviation of returns, and Sharpe ratio. Results are compared with the following benchmarks : 1) KOSPI, 2) Samsung Group Funds, 3) Talmudic portfolio based on the na$\ddot{i}$ve 1/N rule, and 4) Markowitz's model with SMA. We performed sensitivity analyses on all the input parameters that are necessary for designing an investment decision-making framework : smoothing constant for EWMA, minimum required expected return for the portfolio, and portfolio rebalancing period. In conclusion, appropriate use of the comprehensive investment decision-making framework based on the Markowitz's model integrated with EWMA proves to achieve outstanding performance compared to the benchmarks.

• Proceedings of the Korea Water Resources Association Conference
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• 2009.05a
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• pp.193-197
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• 2009

오늘날 도시지역의 무분별한 개발로 인해 불투수면적이 증가하여 첨두유량 및 유출용적의 증가와 홍수도달시간을 단축시키고 있으며, 특히 도시유역에서는 하천 홍수위 상승에 의한 외수피해와 순간적인 집중호우에 의해 도로 노면수의 배수불량에서 기인하는 내수피해가 결합되어 홍수피해가 더욱 가중되고 있는 실정이다. 이에 대한 효율적인 조기 대응책으로 도시 수문기상 현상의 변화 및 현황을 파악하여 홍수로 인한 인명 및 재산피해를 최소화할 수 있는 적절한 홍수 예 경보 시스템의 구축을 들 수 있다. 이를 위하여 선진 외국의 경우 기상전문가에 의한 집중호우 현상규명 및 사전예보 기법 확립과 수자원 전문가에 의한 이들 예보자료를 활용한 특정지역의 홍수피해 유무를 사전에 예측하는 기상과 수자원의 학제간 연구가 활발히 진행되고 있다. 국내의 경우 기상 현업에서는 국지성 집중호우 예측과 단시간 강수예보를 위해 수치예보모형, 레이더 및 기상위성을 활용하고 있으나 수자원 분야에서는 예측강우를 활용한 홍수예보에 관한 연구는 매우 미진한 상태이다. 특히 도시홍수의 경우 도달시간이 매우 짧으므로 강수의 초단시간 예보기법을 통한 강수예보의 선행시간 확보는 매우 중요하다. 이를 위해 본 연구에서는 기상레이더 정보와 이류모델을 활용한 초단시간 강수예보의 적용성을 검토하였다. 이류모델은 강우강도 분포를 이류벡터에 따라 이동시키면서 강우의 발달쇠약 회전 등을 고려하여 강수를 예측하는 모형이다. 본 연구에서는 초단시간 강수예보의 적용성 검토를 위해 Least-square fitting 기법으로 레이더 강수를 추정하고, 추정된 강수를 이류모델의 입력장으로 활용하였다. 또한, 도시홍수예보의 활용을 위해 중랑천 유역을 대상으로 초단시간 예측강수의 유역면적평균강우량을 산정하여 적용성을 평가하였다.