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VKOSPI Forecasting and Option Trading Application Using SVM (SVM을 이용한 VKOSPI 일 중 변화 예측과 실제 옵션 매매에의 적용)

  • Ra, Yun Seon;Choi, Heung Sik;Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.22 no.4
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    • pp.177-192
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    • 2016
  • Machine learning is a field of artificial intelligence. It refers to an area of computer science related to providing machines the ability to perform their own data analysis, decision making and forecasting. For example, one of the representative machine learning models is artificial neural network, which is a statistical learning algorithm inspired by the neural network structure of biology. In addition, there are other machine learning models such as decision tree model, naive bayes model and SVM(support vector machine) model. Among the machine learning models, we use SVM model in this study because it is mainly used for classification and regression analysis that fits well to our study. The core principle of SVM is to find a reasonable hyperplane that distinguishes different group in the data space. Given information about the data in any two groups, the SVM model judges to which group the new data belongs based on the hyperplane obtained from the given data set. Thus, the more the amount of meaningful data, the better the machine learning ability. In recent years, many financial experts have focused on machine learning, seeing the possibility of combining with machine learning and the financial field where vast amounts of financial data exist. Machine learning techniques have been proved to be powerful in describing the non-stationary and chaotic stock price dynamics. A lot of researches have been successfully conducted on forecasting of stock prices using machine learning algorithms. Recently, financial companies have begun to provide Robo-Advisor service, a compound word of Robot and Advisor, which can perform various financial tasks through advanced algorithms using rapidly changing huge amount of data. Robo-Adviser's main task is to advise the investors about the investor's personal investment propensity and to provide the service to manage the portfolio automatically. In this study, we propose a method of forecasting the Korean volatility index, VKOSPI, using the SVM model, which is one of the machine learning methods, and applying it to real option trading to increase the trading performance. VKOSPI is a measure of the future volatility of the KOSPI 200 index based on KOSPI 200 index option prices. VKOSPI is similar to the VIX index, which is based on S&P 500 option price in the United States. The Korea Exchange(KRX) calculates and announce the real-time VKOSPI index. VKOSPI is the same as the usual volatility and affects the option prices. The direction of VKOSPI and option prices show positive relation regardless of the option type (call and put options with various striking prices). If the volatility increases, all of the call and put option premium increases because the probability of the option's exercise possibility increases. The investor can know the rising value of the option price with respect to the volatility rising value in real time through Vega, a Black-Scholes's measurement index of an option's sensitivity to changes in the volatility. Therefore, accurate forecasting of VKOSPI movements is one of the important factors that can generate profit in option trading. In this study, we verified through real option data that the accurate forecast of VKOSPI is able to make a big profit in real option trading. To the best of our knowledge, there have been no studies on the idea of predicting the direction of VKOSPI based on machine learning and introducing the idea of applying it to actual option trading. In this study predicted daily VKOSPI changes through SVM model and then made intraday option strangle position, which gives profit as option prices reduce, only when VKOSPI is expected to decline during daytime. We analyzed the results and tested whether it is applicable to real option trading based on SVM's prediction. The results showed the prediction accuracy of VKOSPI was 57.83% on average, and the number of position entry times was 43.2 times, which is less than half of the benchmark (100 times). A small number of trading is an indicator of trading efficiency. In addition, the experiment proved that the trading performance was significantly higher than the benchmark.

The Aspects of "Children" in Saseolsijo and its Historical Implication in Korean Classical Poetry (사설시조에 나타난 '아이'의 양상과 그 시가사적 함의)

  • Park, Sang-Young
    • Sijohaknonchong
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    • v.42
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    • pp.151-185
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    • 2015
  • The purpose of this study is to reveal the aspects of "Children" in Saseolsijo and its historical implication in Korean Classical Poetry. What was discussed can be summarized as follows: There are two types of children in Saseolsijo, one is silent, and the other is speaking. The silent child characteristics are such as being called and addressed by the poetic narrator, customary audience, passive attitude, etc. The speaking child characteristics are speaking subject, active attitude as sign of modernity. These phenomenon simply expose the differences of aesthetic order. The silent children is mainly to be utilized as a device to maximize the lyricism of the text as an ideologically product by the inner request of the poetic narrator and show identification discourse. The speaking child, gives the dynamics in text by heterogeneous discourse and informs aesthetic distance between "the reader and the text" as well and show distance discourse. These fragments from Saseolsijo's children are also found in previous genres. In the case of Hyangga, 'children' speak for solving others' desire but are targeted by poetic narrator as well. In the case of Goryosokyo, 'children' show activity and efforts to break forced silence by the poetic narrator through voluntary speaking. In Sijo's case, unlike other genres, some literary works show contents about disciplining children and the growth of children. However mostly targeted children by the poetic narrator are predominantly appeared from the discourse perspective. These aspects of children in previous genres including some of works in Saseolsijo are mainly associated with the appearance of medieval children. Unlike these, the new aspects of Saseolsijo's children show the cross-section of the signs of transition contemporary, from medieval to modern. Even if there are few literary works in these, speaking children with activity reveals novelty over medieval-imposed 'child-ness' by showing 'self', 'individual desire' strongly. This novelty is far from infants of the modern concept as naive and innocent children but these children are noted in that they show a part of modernity through various voices in the text, the comic(laughter), multiple point views, etc.

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Distinctive Aspects of Sijo Discourse in 17th Century's Old Music Scores (17세기 고악보 소재 시조 담론의 특징적인 국면(局面))

  • Park, Sang-Young
    • Sijohaknonchong
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    • v.44
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    • pp.197-236
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    • 2016
  • The aim of this study is to discover the distinctive aspects of Sijo in the 17th Century through five old music scores, "梁琴新譜Yangqeumsinbo", "白雲庵琴譜 baekwoonamgeumbo", "增補古琴譜jeungbogogeumbo", "延世大學校所藏琴譜geumbo in Yonsei University", "琴譜古geumbogo", which were compiled in this time period. First, four Sijo works are found from the "梁琴新譜Yangqeumsinbo" and one of them is noteworthy because it was sung as 中大葉Jungdaeyeop, 初中大葉 Chojungdaeyeop, 二中大葉Yijungdaeyeop and showed signs to fit the Sijo format type since the 17th century. In "白雲庵琴譜baekwoonamgeumbo", there are three Sijo works (one has recorded music scores and two don't) and one of them is discovered with last phrase being omitted. In "延世大學校所藏琴譜geumbo in Yonsei University", there are 9 Sijo works performed with 中大葉Jungdaeyeop. In "增補古琴譜 jeungbogogeumbo", there are three works performed with 數大葉Sakdaeyeop and one of them is noteworthy as a clue about the relations between Sijo and Goryeosokyo because it is a modified work which adapted the Goryeosokyo "Gasiri" according to the Sijo format. In 琴譜古geumbogo, there are three works with high possibility that repertoire with 中大葉Jungdaeyeop were already set up at this time. Based on these five music scores, it can be mentioned that a lot of Geumbos were compiled in 17th century, not for the purpose of enlightening discourse at the national level but for referencing for music lovers by themselves to memorize songs individually. It is also discovered that Sijo was performed with only 平調pyeong-jo out of 羽調woo-jo, 羽調界面調woojokyemyen-jo, 平調pyeong-jo, 平調界面調pyeongjokyemyun-jo in early 17th century, but it was performed with other three and 數大葉Sakdaeyeop as well after the mid-17th century. On the other hand, despite the change in the musical tunes, lyrics do not show a significant change at this time because it is estimated repertoire with specific piece of music was already formed in 17th Century. However, performing itself would give a certain impact on change and loss of lyrics because it tends to focus on communication and emotional connection between singers and audience. Clarifying characteristics in Sijo from old music scores is meaningful in that Sijo can be understood better not only as written poetry but also as oral poetry and overcome bias of previous researches which have been proceeded mainly on Sijo lyrics collection(歌集).

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The Sociocultural Characteristics of Korean Ethnics in Central Asia (중앙아시아 한인의 사회문화적 특성과 과제)

  • 정성호
    • Korea journal of population studies
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    • v.20 no.2
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    • pp.161-180
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    • 1997
  • There are about 400, 000 Korean ethnics living in Central Asia. Most of Koreans in Central Asia are leading a stable middle class life mostly engaged in farm work. With increase of educational attainment of their children, a number of Koreans are launching into political and academic circles as well as in the cultural world or the press. In recent years, however, the countries in this area(Uzbekistan and Kazakstan) for this study advocate an ethnic united policy to stabilize the politics and society and to carry out efficient transformation from the former socialistic economy to a market oriented economy. In addition, they are trying to recover the culture and the language of each nation which has been forgotten in the assimilation of Russia policy. Koreans have difficulty in adaption to this kind of change. In fact, a number of Koreans lost traditional culture and could not speak their mother language - Korean. Although they more or less maintain national consciousness, they recognize Uzbekistan or Kazakstan as their nation politically. They associated with North Korea unilaterally before the launching of the Perestroika policy. But after the Seoul Olympics held in 1998, there was movement to know and understand South Korea. There has been increased in the investment by Korean companies in Central Asia. Now, what is an alternative idea for Korean community consciousness\ulcorner It can be summarized as follows: 1) The increase of aid to Korean education institute : Considering the last few decades of Russia's strong racial assimilation policy, which leads most Koreans to lost their language and national culture, the priority should go to Koreans education. 2) Local Korean press support : Though Korean newspaper are published and Korean broadcasting is on the air currently in Uzbekistan and Kazakstan, they are suffering from qualified staff and poor financial status. Therefore, positive support should be established for these Korean mass communication media outlets to recover their own function and expand their dissemination powers quickly. 3) Research on the actual condition for Korean Community : It is essential to directly examine the local Korean community's regional distribution, population structure, Korean group's formation and operation, social and cultural understanding, racial consciousness, hope for their mother land and much more. 4) Increase of mother land and education opportunity : To stir up national culture and national consciousness within the Korean community, it is necessary to expand continuous opportunities for mother land visits and education training for local Koreans, especially for second and third generations.

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Indication of Immanent Picture in Rural Settlement According to the Corelation between Man and his Environment (자연과 인간의식과의 관계로 본 “취락경관에서의 내적의미”에 관한여)

  • 정기호
    • Journal of the Korean Institute of Landscape Architecture
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    • v.14 no.2
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    • pp.17-26
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    • 1986
  • Landscape around a settlement is not only a natural object, but also a matters of the man in the co-relation with his environment. Man perceives the landscape rational or sensible. Then it changes into the substance for him and influences him: as we see often in the folklore, that is of importance in the mind. Man reacts against his surroundings deceidedly, selfassurd or commonly, and uses sometimes the landscape to the elements for realization, physical or symbolical. Out of one character of korean villages, adaption to the circumstances, we can notice also its inner image, the reflection of the mind. Seeing and perceiving the environment emotional or reasonable and, reflecting and descreibing the inner self on the space. Here, the landscape and the nature are matter of the man, a scale for his ethical estimation or a mailer of the realization his mind. It is difficult, but important, such a immanent picture in(or of) the landscape to find. This is a preliminary study in such a way.

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A study on the Meaning Contact of ManChwi Pavilion's Place Transmission and Sense of Prototype Landscape (만취정(晩翠亭)의 장소 전승과 원형경관향유 양상)

  • Lee, Seung-Yeon;Shin, Sang-Sup;Kahng, Byung-Seon
    • Journal of the Korean Institute of Traditional Landscape Architecture
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    • v.34 no.3
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    • pp.38-49
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    • 2016
  • This study is based on the assumption that the documentations, and poetry form a basis for undertone of the location and original landscape explored by inference and enjoyment aspects; the significance has been inferred by investigating the original location, relocated location, and the original landscape of Imsil Manchwi Pavilion. The results of the attempted research for locational value, and preservation of the original landscape before and after the relocation of Imsil Manchwi Pavilion is as follows. Firstly, Manchwi, meaning evergreen, was made a pseudonym of KimWi. The name reflects an image two evergreen pine trees facing one another. The poetry form presents the eternal fidelity. In addition, considering the symbolic plant and the meaning of evergreen pine trees specified on the pavilion, the name is derived from the fidelity, longevity of the family, vitality and so on. Secondly, Manchwi Pavilion was founded in the location, known as the snakehead form, that represents the vitality. Snake faces the swallow form over the river, therefore, it connotes the wishes for fidelity and prosperity of the family. Manchwi Pavillion is prostrate pheasant form which is suitable for those who look for a hiding place or place for their study. It is noticeable that the location infers and hand down the efforts on succession for prosperity of the family and the study. Thirdly, it is estimated that Manchwi Pavilion was established between 1572 and 1582; and the relocation was conducted in the late 1880s. Fourthly, although eternal fidelity was presented in Manchwi Pavillion with locational language, the Manchwi Pavillion after its relocation next to KimWi's grave implies the tendency of the changed value: the commemoration of the ancestors, and prosperity of the family. Fifthly, after the relocation of the pavilion, the proportion of the rooms with Korean heating system, so-called'Ondol'has been increased for its best use in all seasons. And its veranda for extension and its verse couplet implies that this connote the original meaning and pursuit of the study. Sixthly, the way that the poetry portrays pine trees, pond, plants, valleys, and streams shows the aspect of enjoyment of the landscapes and the meaning of fidelity, pure mind, free and easy life, self-examination, the frailty of human life. Lastly, despite the difference between tenth poetic language of three Sipyoung and Wonwoon Sipyeong, exploring the landscape based on the analysis on the poetry can be a basis on the maintenance and restoration of the original landscape as the inspiration and the meaning show that Wonwoon Sipyeong maintains the aspect of the author enjoying original landscape.

A Study on the Appropriate Management of Maritime Police Authority in Korea Coast Guard: Focusing on the Japan Coast Guard (해양경비안전본부의 해양경찰권 적정 운영방안에 관한 연구: -일본 해상보안청과의 비교를 중심으로-)

  • Son, Yeong-Tae
    • Korean Security Journal
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    • no.42
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    • pp.361-391
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    • 2015
  • Regarding the [Government Organization Act; which is legislated on 19th November, 2014] Korea Coast Guard(KCG) has been re-organized and belong from Korea Coast Guard shall be established under the Minister of Oceans and Fisheries to Ministry of Public Safety and Security. Furthermore, National Police Agency(NPA) Commissioner has the right for administer duties concerning investigation and information by succession from Korea Coast Guard Commissioner. That means that main rule has been moved from prior KCG to Ministry of Public Safety and Security(MPSS) and NPA currently which is dual structure. Meanwhile, This kind of organization change has been effective to investigative agency which exert KCG's call of duty and causes needs of variety problems. In other words, There are quite huge changes such as KCG's reduction of their work, call of duty and re-organization regarding revised government organization act. However this change - including re-organization by government, was not able to take current MPSS's special features such as organization specialty and legal rights. It means, the current change has not been taken present law system CRIMINAL PROCEDURE LAW and there was no preparation to stable maritime police authority action as well. To sum up, this revised GOVERNMENT ORGANIZATION ACT is supposed to provide total, quick security service by establishing strong disasters and safety control tower. However they only contains few area such as organization revision regarding 'Sewol Ferry Disaster', they was not able to contain the other parts of Society. Therefore, in this article I would like to check the part of re-evaluation of current change made by KCC's organization revision. It is supposed to provide better legal stability by making clear of work area by government agencies who acts maritime police authority.

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Review of Copper Trihydroxychloride, a Green Pigment Composed of Copper and Chlorine (구리와 염소 주성분 녹색 안료 코퍼 트리하이드록시클로라이드(Copper Trihydroxychloride)에 대한 고찰)

  • Oh, Joonsuk;Lee, Saerom;Hwang, Minyoung
    • Korean Journal of Heritage: History & Science
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    • v.53 no.2
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    • pp.64-87
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    • 2020
  • Copper trihydroxychloride (atacamite, botallackite, paratacamite, etc.), the first green pigment used in Mogao Grotto's mural paintings of China, has been known as "copper green", "green salt", and "salt green", etc. and has been used as an important green pigment with malachite. At first, the natural mineral atacamite was employed, but after the Five Dynasties (907~960 CE), synthetic copper trihydroxychloride was primarily used. In Chinese literature, copper green, green salt, and salt green are recorded as being made via reaction with copper powder, Gwangmyeongyeom (natural sodium chloride), and Yosa (natural ammonium chloride), and the prepared material was analyzed to be copper trihydroxychloride. Copper trihydroxychloride pigment was not found in paintings prior to the Joseon Dynasty (1392~1910 CE) in Korea. In analysis of the green pigments used in paintings and the architectural paintworks in the Joseon Dynasty, copper trihydroxychloride was also shown to have been used as an important green pigment with malachite (Seokrok). In particular, the proportion of copper trihydroxychloride use was high in Buddhist paintings, shamanic paintings, and dancheongs (decorative coloring on wooden buildings). Some of these turned out to be synthetic copper trihydroxychloride, but it is unclear whether the rest of them are synthetic or natural pigments due to a lack of analyzed data. From literature and painting analyses, the pigment name of copper trihydroxychloride in the Joseon Dynasty turns out to be Hayeob, a dark green pigment. It is believed to have first been prepared by learning from China in the early Joseon period (early 15th century) and its use continued until the late 19th century with imported Chinese pigment. Round or oval particles with a dark core of copper trihydroxychloride which were used in Chinese literature were similar to the synthetic copper trihydroxychloride pigments used in the Joseon Dynasty and Chinese paintings. Therefore, the synthetic copper trihydroxychloride pigments of Korea and China are believed to have been prepared in a similar way.

Effects of Cohort Size on Male Experience-Earnings Profiles in Korea (코호트 사이즈가 경력-임금 곡선에 미치는 영향)

  • 신영수
    • Korea journal of population studies
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    • v.10 no.1
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    • pp.50-69
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    • 1987
  • There are about 400, 000 Korean ethnics living in Central Asia. Most of Koreans in Central Asia are leading a stable middle class life mostly engaged in farm work. With increase of educational attainment of their children, a number of Koreans are launching into political and academic circles as well as in the cultural world or the press. In recent years, however, the countries in this area(Uzbekistan and Kazakstan) for this study advocate an ethnic united policy to stabilize the politics and society and to carry out efficient transformation from the former socialistic economy to a market oriented economy. In addition, they are trying to recover the culture and the language of each nation which has been forgotten in the assimilation of Russia policy. Koreans have difficulty in adaption to this kind of change. In fact, a number of Koreans lost traditional culture and could not speak their mother language - Korean. Although they more or less maintain national consciousness, they recognize Uzbekistan or Kazakstan as their nation politically. They associated with North Korea unilaterally before the launching of the Perestroika policy. But after the Seoul Olympics held in 1998, there was movement to know and understand South Korea. There has been increased in the investment by Korean companies in Central Asia. Now, what is an alternative idea for Korean community consciousness\ulcorner It can be summarized as follows: 1) The increase of aid to Korean education institute : Considering the last few decades of Russia's strong racial assimilation policy, which leads most Koreans to lost their language and national culture, the priority should go to Koreans education. 2) Local Korean press support : Though Korean newspaper are published and Korean broadcasting is on the air currently in Uzbekistan and Kazakstan, they are suffering from qualified staff and poor financial status. Therefore, positive support should be established for these Korean mass communication media outlets to recover their own function and expand their dissemination powers quickly. 3) Research on the actual condition for Korean Community : It is essential to directly examine the local Korean community's regional distribution, population structure, Korean group's formation and operation, social and cultural understanding, racial consciousness, hope for their mother land and much more. 4) Increase of mother land and education opportunity : To stir up national culture and national consciousness within the Korean community, it is necessary to expand continuous opportunities for mother land visits and education training for local Koreans, especially for second and third generations.

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Some Instances of Manchurian Naturalization and Settlement in Choson Dynasty (향화인의 조선 정착 사례 연구 - 여진 향화인을 중심으로 -)

  • Won, Chang-Ae
    • (The)Study of the Eastern Classic
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    • no.37
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    • pp.33-61
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    • 2009
  • In the late Koryo period, until 14th century, there had been at least two groups of Manchurians who were conferred citizenships; one group was living as an original inhabitant in the coastal area of north­eastern part of Korean peninsular, long time ago, and they were over one thousand households. The other was coming down from inland, eastern part of Yoha River, to the area of Tuman River to settle down and they were at least around one hundred and sixty households, including such tribes as Al-tha-ry, Ol-lyang-hap, Ol-jok-hap and others. They were treated courteously, from the early days of Choson dynasty, with governmental policies in an economic, political, and social ways. They were given, for instance, a house, a land, household furniture, and clothes. They were allowed to get marry with a native Korean to settle down. They were educated how to cultivate their lands. It was also possible for them to be given an official position politically or allowed to take a National Civil Official Examination. The fact they could take such an Examination, in particular, means they were treated fairly and equally, because they also had a privilege to improve their social positions through the formal system as much as common people. Two typical families were scrutinized, in this paper, family Chong-hae Lee and family Chon-ju Ju. All of them were successful to settle down with different backgrounds each other. The former were from a headman, Lee Jee-ran, who controlled his tribe, over five hundred households. He was given three titles of a meritorious retainer at the founding of Chosun dynasty, at the retrieval of armies, and an enshrined retainer. His son, Lee Wha-yong, was also given a vassal of merit who kept a close tie successfully with the king's family through a marriage. Upon the foundation of their ancestors, their grandsons, family Lee Hyo-yang and family Lee Hyo-gang, each, had taken solid root as an aristocratic Yang-ban class. The former became a high officer family, generation by generation, while the latter changed into a civil official family through Civil Official Examinations. They lived mainly around Seoul, Kyong-gi Province and some lived in their original places, Ham-kyong Province. Chu-man, the first ancestor, was given a meritorious retainer at the founding of the dynasty and Chu-in was also given a high officer position from the government. They kept living at the original place, Ham-heung, Ham-kyong Province, and then became an outstanding local family there. They began to pass the Civil Official Examinations. After 17th century on the passers were 17 in Civil Official Examinations and 40 were passed in lower civil examinations. The positions in government they attained usually were remonstrance which position was prohibited particularly to North­Western people at that time. The Chosun dynasty was open to Machurians widely through the system of envoy, convoy, and naturalization. It was intended to build up an enclosure policy through a friendly diplomatic relation with them against any possible invasion from outside. This is one reason why they were supported fully that much in a various way.