• Journal of Intelligence and Information Systems
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• v.23 no.2
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• pp.107-122
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• 2017

Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

• Communications of Mathematical Education
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• v.13 no.2
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• pp.563-589
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• 2002

고학년으로 갈수록 지필 환경에만 머무르는 현실 속에서 생활 및 예술 작품 등에서 수학적 원리와 개념을 발견하도록 하는 테셀레이션 수업은 학생들의 흥미와 호기심을 유발하고 수학의 아름다움을 느끼게 하는 것 이상으로 기하학적 사고의 기초를 학습하는데 도움을 줄 수 있다. 이에 본 연구는 4학년까지 적용되고 있는 7차 교육과정을 중심으로 새롭게 등장하고 있는 테셀레이션에 대한 이해 및 교수 학습 자료가 체계적으로 정비되어 있지 못한 현실적인 문제의 해결 방안으로서 테셀레이션을 활용한 수학 학습의 내용을 분석하여 교사들에게는 테셀레이션의 이해 및 교수 학습 자료로서 , 학생들에게는 수학의 기하적 개념들을 쉽고 재미있게 학습할 수 있는 학습도구로서 활용할 수 있도록 하는 것을 목적으로 테셀레이션을 구현할 수 있는 컴퓨터 소프트웨어를 활용하여 테셀레이션 교수 학습 자료를 개발하였고 이를 위해 다음과 같은 연구 내용을 설정하였다. 가. 테셀레이션의 정의와 예 그리고 종류를 알아보고 테셀레이션 속의 수학적 개념을 활용방법과 함께 제시한다. 나. 제7차 초등 수학 교육과정 중 도형 영역과 규칙성과 함수 영역을 중심으로 테셀레이션을 적용할 수 있는 내용영역을 분석하고 컴퓨터 소프트웨어를 활용한 테셀레이션 자료를 제시한다. 다. 제작된 테셀레이션 교수 학습 자료의 효과적 활용을 위한 활용 방안을 탐색한다. 라. 제작된 테셀레이션 교수 학습 자료의 활용 효과를 알아보기 위해 적용 실험을 하고 이에 대한 학생들의 반응을 분석하여 학습의 효과를 밝힌다. 제작된 테셀레이션 교수 학습 자료의 적용 실험을 위하여 광주대성초등학교 6학년 한 반을 선정하였고 약 4주에 걸쳐 컴퓨터 소프트웨어를 활용한 테셀레이션 교수 학습 자료를 투입하여 4번의 활동수업을 실시하였다. 수업 후 작성된 학습지와 소감문 및 연구자에 의해 관찰된 수업내용을 바탕으로 다음과 같은 연구 결과를 얻을 수 있었다. 첫째, 제7차 초등 수학 교육과정 중 도형 영역과 규칙성과 함수 영역을 중심으로 컴퓨터 소프트웨어를 활용한 테셀레이션 자료를 제시한 결과 지필적 환경에서 제한적이었던 탐구하고 조작해보는 활동을 할 수 있는 역동적인 수학 실험실 환경이 제공됨으로써 도구적 이해가 아닌 관계적 이해를 하는 것을 확인할 수 있었다. 수학적 개념을 암기하는 것에서 벗어나 자연스런 조작을 통해 학생들이 개념을 이해하고 탐구하는 과정 속에서 학생들은 수학을 공부한다기 보다는 수학 속에서 재미있게 놀이한다는 생각을 가지고 수업에 참여하였고 배우는 즐거움을 알고 자신감을 가지며 더 나아가 창의적인 생각을 하도록 하는 기회를 줄 수 있었다. 둘째, 테셀레이션은 우리 생활 속에서 쉽게 발견할 수 있는 것으로 수학이 단순히 책에서만 한정되지 않고 다양한 분야 즉 디자인, 생활 속에서의 벽지문양과 포장지, 예술작품 등에 활용되고 있음을 체험함으로써 수학이 실생활에 광범위하게 활용되고 있음을 알게 하였다. 역으로 생활 속에서의 테셀레이션을 통해 수학적 개념을 찾는 과정을 통해 수학이 아름다우면서도 실용적이라는 생각을 심어줄 수 있었다. 셋째, 테셀매니아, GSP, 캐브리, 거북기하 등 평소 수업에서는 활용도가 적은 컴퓨터 소프트웨어를 활용함으로써 컴퓨터 소프트웨어 자체에서 오는 호기심뿐만이 아니라 직접 조작하여 테셀레이션 작품과 개념을 익히고 새로운 작품과 학습을 해 내는 과정을 통해 자신감과 성취감 등에 있어 큰 변화가 있음을 발견할 수 있었다. 컴퓨터 기능이 미숙한 학생의 경우 처음에는 당황해 하고 어려워하는 부분도 있었으나 조작할 시간적 여유를 주고 교사와 우수한 학생들이 도우미로서 역할을 잘해내어 나중에는 큰 어려움 없이 마칠 수 있었다. 테셀레이션이라는 용어가 아직은 생소한 현장에서 교수 학습 자료가 부족하고 그에 따른 이해도 부족한 현실 속에서 컴퓨터 소프트웨어를 활용한 테셀레이션 교수 학습 자료가 교수 학습 현장에 투입되어 유용하게 사용될 수 있는지 그 가능성을 조사한 것을 목적으로 한 본 연구의 결과로서 테셀레이션이라는 주제는 도형 영역과 규칙성과 함수 영역에서 평면 도형의 각과 모양 등의 성질을 탐구하게 하고, 대칭변환의 개념을 효율적으로 학습하게 할 수 있고, 반복되는 모양에서 규칙성을 발견하고 부분과 전체를 파악하여 패턴을 인지할 수 있게 하며 제작하고 분석하는 과정을 통해 여러 가지 수학적 개념과 수학적 창의성, 수학적인 아름다움을 느끼게 할 수 있음을 발견할 수 있었다. 또한 테셀레이션은 수학적 개념은 물론 수학과 미술, 수학과 일상 생활과의 연결성을 논의하고 확인하는 데 흥미로운 주제가 될 수 있다. 초등학교 교육과정에서 새롭게 도입되고 있는 테셀레이션을 활용하여 지도하기 위한 교수 학습 자료로 유용하게 사용될 수 있고 앞으로는 테셀레이션과 관련된 내용이 직접적으로 교육과정 내에서 다루어지고, 또한 테셀레이션을 적용한 수업이 학생들의 기하학적 사고 및 수학적 태도에 미치는 영향과 관련한 연구가 뒤따라야 할 것으로 본다.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.5 no.1
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• pp.21-30
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• 1985

The tension leg platform (TLP) is a kind of compliant structures, and is also a type of moored stable platform with a buoyancy exceeding the weight because of having tensioned vertical anchor cables. In this paper, among the various kinds of tension leg structures, Deep Oil Technology (DOT) TLP was analyzed because it has large-displacement portions of the immersed surface such as vertical corner pontoons and small-diameter elongated members such as cross-bracing. It also has results of hydraulic model tests, comparable with theorectical analysis. Because of the vertical axes of symmetry in the three vertical buoyant legs and because there are no larger horizontal buoyant members between these three vertical members, it was decided to develop a numerical algorithm which would predict the dynamic response of the DOT TLP using the previously developed numerical algorithm Floating Vessel Response Simulation (FVRS) for vertically axisymmetric bodies of revolution. In addition, a linearized hydroelastic Morison equation subroutine would be developed to account for the hydrodynamic pressure forces on the small member cross bracing. Interaction between the large buoyant members or small member cross bracings is considered to be negligible and is not included in the analysis. The dynamic response of the DOT TLP in the surge mode is compared with the results of the TLP algorithm for various combinations of diffraction and Morison forces and moments. The results which include the Morison equation are better than the results for diffraction only. This is because the vertically axisymmetric buoyant members are only marginally large enough to consider diffractions effects. The prototype TLP results are expected to be more inertially dominated.

• Applied Chemistry for Engineering
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• v.21 no.2
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• pp.230-237
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• 2010

A homologous series of linear liquid crystal dimers, ${\alpha},{\omega}$-bis(4-nitroazobenzene-4'-carbonyloxy)alkanes (NATWESn, n = 2~8, 10, the number of methylene units in the spacer) have been synthesized, and the thermal behavior of the series has been investigated. All the dimers formed enantiotropic nematic phases. The nematic-isotropic transition temperatures of the dimers and their entropy variation at the phase transition showed a large odd-even effect as a function of n. This behavior was rationalized in terms of the change in the average shape of the spacer on varing the parity of the spacer. The thermal stability and degree of order in the nematic phase and the magnitude of the odd-even effect of NATWESn were very similar to those of the corresponding ether compounds, while they were significantly different from those of the monomesogenic compounds, 4-{4'-(nitrophenylazo)phenoxy}alkanoyl chlorides and the side-chain liquid-crystalline polymers, the poly[1-{4-(4'-nitrophenylazo) phenoxycarbonylalkanoyloxy}ethylene]s. The results were discussed in terms of the 'irtual trimer model'by Imrie.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.48 no.6
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• pp.467-478
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• 2020

Hypervisor virtualize hardware resources to utilize them more effectively. At the same time, hypervisor's characteristics of time and space partitioning improves reliability of flight software by reducing a complexity of the flight software. Korea Aerospace Research Institute chooses one of hypervisors for space, XtratuM, and examine its applicability to the flight software. XtratuM has strong points in performance improvement with high reliability. However, it does not support SMP. Therefore, it has limitation in using it with high performance applications including satellite altitude orbit control systems. This paper proposes RTEMS XM-SMP to support SMP with RTEMS, one of real time operating systems for space. Several components are added as hypercalls, and initialization processes are modified to use several processors with inter processors communication routines. In addition, all components related to processors are updated including context switch and interrupts. The effectiveness of the developed RTEMS XM-SMP is demonstrated with a GR740 board by executing SMP benchmark functions. Performance improvements are reviewed to check the effectiveness of SMP operations.

• The Journal of the Acoustical Society of Korea
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• v.30 no.4
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• pp.197-206
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• 2011

In this paper, we proposes the virtual sound source panning algorithm in the multichannel system. Recently, High-definition (HD) and Ultrahigh-definition (UHD) video formats are accepted for the multimedia applications and they provide the high-quality resolution pixels and the wider view angle. The audio format also needs to generate the wider sound field and more immersive sound effects. However, the conventional stereo system cannot satisfy the desired sound quality in the latest multimedia system. Therefore, the various multichannel systems that can make more improved sound field generation are proposed. In the mutichannel system, the conventional panning algorithms have acoustic problems about directivity and timbre of the virtual sound source. To solve these problems in the arbitrary positioned multichannel loudspeaker system, we proposed the virtual sound source panning algorithm using multiple vectors base nonnegative amplitude panning gains. The proposed algorithm can be easily controlled by the gain control function to generate an accurate localization of the virtual sound source and also it is available for the both symmetric and asymmetric loudspeakers format. Its performance of sound localization is evaluated by subjective tests comparing with conventional amplitude panning algorithms, e.g. VBAP and MDAP, in the symmetric and asymmetric formats.

• The Transactions of the Korea Information Processing Society
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• v.6 no.1
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• pp.122-133
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• 1999

Uses can share information and use resources effectively by using TCP/IP-based networks. So, a protocol to manage complex networks effectively is needed. For the management of the distributed networks, the SNMP(Simple Network Management Protocol) has been adopted as an international standard in 1989, and the SNMPv2 in which a security function was added was published in 1993. There are two encryption schemes in SNMPv2, the one is a DES using symmetric encryption scheme and the other is a MD5(Message Digest5) hash function for authentication. But the DES has demerits that a key length is a few short and the encryption and the authentication is executed respectively. In order to solve these problems, wer use a RSA cryptography in this paper. In this paper, we examine the items related with SNMP. In addition to DES and MD5 propose in SNMPv3, we chance security functionality by adopting RSA, a public key algorithm executing the encryption and the authentication simultaneously. The proposed SNMPv3 security module is written in JAVA under Windows NT environment.

• Journal of the Korean Chemical Society
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• v.42 no.6
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• pp.646-651
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• 1998

The molecular structure of sulfur compounds and the retention relationship are studied by gas chromatography. Analyzed sulfur compounds are, hydrogen sulfide, sulfur dioxide, carbon disulfide, ethyl mercaptan, dimethyl sulfide, iso-propyl mercaptan, normal propyl mercaptan, ethyl methyl sulfide, tert-butyl mercaptan, tetrahydrothiophene, thiophene, and 2-chlorothiophene. Multiple linear regression explains the retention relationship of molecular descriptors. In GC the temperature program is 30$^{\circ}C$ held for 10.5 min, and then increased to 150$^{\circ}C$ at a rate 15$^{\circ}C$/min. Predicted equation for relative retention time (RRT) using SAS program is as follows; $RRT=0.121bp+14.39dp-8.94dp^2+0.0741sqmw-35.78\; (N=8,\; R^2=0.989, \;Variance=0.175,\;F=66.21)$. RRTs are function of boiling point, the square root of molecular weight, molecular dipole moment, and boiling point effects mostly on RRT. The RRT is maximized at the molecular dipole moment of 0.805D, when using nonpolar columns. The planar and highly symmetric compounds are eluted slowly. The square, of correlation coefficient $(R^2)$ using SAS program, is 0.989, and the variance is 0.175 in training sets. For three sulfur compounds, the variance between observed RRTs and predicted RRTs is 0.432 in testing sets.

• Journal of the Institute of Electronics and Information Engineers
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• v.53 no.4
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• pp.37-47
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• 2016

The practical constraints on the commercial FPGAs which contain dedicated wide function multiplexers in their slice structure are incorporated with one of the most advanced FPGA mapping algorithms based on the AIG (And-Inverter Graph), one of the best logic representations in academia. As the first step of the mapping process, cuts are enumerated as intermediate structures. And then, the cuts which can be mapped to the multiplexers are recognized. Without any increased complexity, the delay and area of multiplexers as well as LUTs are calculated after checking the requirements for the tree construction such as symmetry and depth limit against dynamically changing mapping of neighboring nodes. Besides, the root positions of multiplexer trees are identified from the RTL code, and annotated to the AIG as AOs (Auxiliary Outputs). A new AIG embedding the multiplexer tree structures which are intentionally synthesized by Shannon expansion at the AOs, is overlapped with the optimized AIG. The lossless synthesis technique which employs FRAIG (Functionally Reduced AIG) is applied to this approach. The proposed approach and techniques are validated by implementing and applying them to two RISC processor examples, which yielded 13~30% area reduction, and up to 32% delay reduction. The research will be extended to take into account the constraints on the dedicated hardware for carry chains.

• Journal of Korea Port Economic Association
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• v.31 no.1
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• pp.1-14
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• 2015

The standard GARCH model imposing symmetry on the conditional variance, tends to fail in capturing some important features of the data. This paper, hence, introduces the models capturing asymmetric effect. They are the EGARCH model and the GJR model. We provide the systematic comparison of volatility models focusing on the asymmetric effect of news on volatility. Specifically, three diagnostic tests are provided: the sign bias test, the negative size bias test, and the positive size bias test. This paper shows that there is significant evidence of GARCH-type process in the data, as shown by the test for the Ljung-Box Q statistic on the squared residual data. The estimated unconditional density function for squared residual is clearly skewed to the left and markedly leptokurtic when compared with the standard normal distribution. The observation of volatility clustering is also clearly reinforced by the plot of the squared value of residuals of export volume and values. The unconditional variance of both export volumes and export value indicates that large shocks of either sign tend to be followed by large shocks, and small shocks of either sign tend to follow small shocks. The estimated export volume news impact curve for the GARCH also suggests that $h_t$ is overestimated for large negative and positive shocks. The conditional variance equation of the GARCH model for export volumes contains two parameters ${\alpha}$ and ${\beta}$ that are insignificant, indicating that the GARCH model is a poor characterization of the conditional variance of export volumes. The conditional variance equation of the EGARCH model for export value, however, shows a positive sign of parameter ${\delta}$, which is contrary to our expectation, while the GJR model exhibits that parameters ${\alpha}$ and ${\beta}$ are insignificant, and ${\delta}$ is marginally significant. That indicates that the asymmetric volatility models are poor characterization of the conditional variance of export value. It is concluded that the asymmetric EGARCH and GJR model are appropriate in explaining the volatility of export volume, while the symmetric standard GARCH model is good for capturing the volatility.