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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 Preference Analysis of Adults on the Forest Therapy Program with regard to Demographic Characteristics (인구통계학적 특성에 따른 성인 대상별 산림치유 프로그램 선호도 분석)

  • Kim, Youn-Hee;Kim, Eun-Jin;Kim, Dong-Jun;Yeoun, Pyung-Sik;Choi, Byung-Jin
    • Journal of Korean Society of Forest Science
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    • v.104 no.1
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    • pp.150-161
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    • 2015
  • The purpose of this study was to obtain the basic data for the effective development and operation of forest healing by analysing the preference of adults on the forest therapy program. The survey of 516 normal adults on the forest therapy program was conducted. Using SPSS 21.0 Program, data analysis of descriptive statistics and correlation analysis of each program confirmed number of covariate, and so we conducted a factor analysis to short meaningful data. And then we looked at the forest healing program preference difference according to demographic characteristics(sex, age, residence, occupation) through reliability analysis, frequency analysis, T-test, analysis of variance(ANOVA). Facter analysis was performed by use of the VariMax orthogonal rotation factor analysis to abbreviate 37 forest therapy program. Through this, the program has been reduced such as 7 program group(1: psychology-based treatment, 2: teaching and counselling-based treatment, 3: camping and forest bath-based treatment, 4: diet-based treatment, 5: nature and plant-based treatment, 6: meditation-based treatment, 7: respiration and yoga-based treatment) and 7 independent programs(1: sleeping in the forest, 2: vision quest, 3: soaking in water, 4: walking wearing shoes, 5: viewing the forest, 6: mountaineering, 7: athletics in the forest). With this criterion, the forest therapy program difference in accordance with sex, age, residence, occupation has been investigated. First, it was verified that there was a significant difference between male and female in the group of such as psychology-based treatment, diet-based treatment, mountaineering. Second, there appeared a significant difference in groups such as teaching and counselling-based treatment, camping and forest bath-based treatment, nature and plant-based treatment, respiration and yoga-based treatment, athletics in the forest. Third, according to the residence, there appeared a significant difference in groups such as psychology-based treatment, teaching and counselling-based treatment, diet-based treatment, nature and plant-based treatment, meditation-based treatment, vision quest, mountaineering, athletics in the forest. Fourth, according to the occupation, there appeared a significant difference in groups such as nature and plant-based treatment, medication-based treatment, vision quest, walking wearing shoes, viewing the forest, mountaineering. As shown before, it seems to be necessary that we should be mindful of this investigation which shows variety of preference of adults on the forest therapy program according to demographic characteristics. We expect the results of this study to be utilized as basic data for the development of forest therapy program targeting on adults.

Studies on the Host Range of Colletotrichum dematium Isolated from Anthracnose of Pepper and Toxic Metabolites Produced by the Pathogen (고추 탄저병균(炭疽病菌) Colletotrichum dematium의 기주범위(寄主範圍) 및 대사독소(代謝毒素)에 관(關)한 연구(硏究))

  • Kang, Hi Wang;Yu, Seung Hun;Park, Jong Seong
    • Korean Journal of Agricultural Science
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    • v.14 no.1
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    • pp.26-37
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    • 1987
  • This studies were conducted to investigate pathgenicity and host range of Colletotrichum dematium isolated from anthracnose of pepper, and phytoxicity of its culture filtrate and the partially purified toxin. The results obtained were as follows. 1. Investigation on the host range of C. dematium has revealed that pepper as well as soybean, tomato, spinach, and beet were highly susceptible, egg plant and water melon were moderately susceptible and stone leek was slightly suceptible, but no symptoms were produced on carrot, tabacco, cucumber and melon. 2. The culture filtrates of C. dematium in Czapeck dox liquid media were toxic to leaves of pepper and caused necrosis and wilting of the plant. The toxicity of culture filtrates was most active at 15 days after fungal growth in Czapeck dox liquid media and the toxin productivity in still culture was higher than that in shaking culture. 3. The partially purified toxic substance was isolated from the culture filtrates by the acetone precipitation method. When cuttings of various pepper cultivars were placed in the toxin solutions, suceptible cultivars and resistant cultivars were equally toxic and showed necrosis and wilting of the leaves. 4. Several other plants such as soybean, tomato and carrot were also affected with the toxin solution by shoot cutting bioassay and showed veinal necrosis, leaf spots and wilting of the shoots. 5. The acetone precipitation toxin affected seed germination of pepper, cucumber, sesame and egg plant and inhibited the growth of root and hypocotyl of the seedlings.

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A Study on Dental Caries Activity Test Targeting Female Undergraduates in Their 20s (20대 여대생을 대상으로 한 치아우식활성검사 연구)

  • Yoon, Mi sook;Youn, Hye-jeong
    • Journal of dental hygiene science
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    • v.10 no.6
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    • pp.465-472
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    • 2010
  • This study surveyed salivary flow rate, salivary viscosity, and salivary buffering capacity in order to intensively analyze salivary factors among factors of occurrence in dental caries for finding mutually different factors that function in occurrence of dental caries depending on each individual. Even the acid body within dental plaque has great influence upon dental caries. Thus, the comparative analysis was carried out by surveying the hydrogen ion concentration in dental plaque. The following results were obtained in this study. 1. The average decayed teeth in the survey subjects stood at 1.67 piece. The extracted teeth caused by dental caries stood at 0.47 piece. The filled teeth were indicated to be 6.31 pieces. Accordingly, the average permanent dental caries experience teeth were surveyed to be 8.44 pieces. 2. The results according to dental caries activity test method were indicated to be $12.56{\pm}4.15ml$ for the average stimulated salivary flow rate, $3.89{\pm}1.83ml$ for non-stimulated salivary flow rate, $1.49{\pm}0.69$ for salivary viscosity, and $8.51{\pm}2.44$ for salivary buffering capacity. The hydrogen ion concentration test in dental plaque was indicated to be $5.62{\pm}0.50$ for before brushing teeth, $5.23{\pm}0.58$ for 5 minutes after brushing teeth, $5.25{\pm}0.56$ for 10 minutes after brushing teeth, $5.29{\pm}0.62$ for 15 minutes after brushing teeth, $5.34{\pm}0.58$ for 20 minutes after brushing teeth, $5.40{\pm}0.53$ for 25 minutes after brushing teeth, and $5.61{\pm}0.59$ for 30 minutes after brushing teeth. 3. Stimulated salivary and non-stimulated salivary flow rate, salivary viscosity, and salivary buffering capacity were indicated to be higher in group with non-caries than group with caries. However, it was statistically insignificant. The hydrogen ion concentration in dental plaque showed wholly statistical significant in the relationship with people with dental caries under progression. However, people without dental caries were indicated to be higher than people with dental caries. 4. As for correlation between caries activity test methods, the stimulated salivary flow rate had significantly positive correlation with non-stimulated salivary flow rate(p<0.001). Non-stimulated salivary flow rate showed negative correlation with salivary buffering capacity(p<0.01). The hydrogen ion concentration test in dental plaque showed positive correlation according to the passage of time after brushing teeth. However, there was no significant correlation with salivary viscosity and salivary buffering capacity(p>0.05).

Characterization of Lecanicillium lecanii Btab0l Isolated with Bioactivities to Tabacco Whitefly (Bemisia tabaci) (담배가루이(Bemisia tabaci) 병원성곰팡이 Lecanicijjium lecanii Btab0l 균주의 특성)

  • Yoon, Yeo-Jun;Yu, Yong-Man;Lee, Min-Ho;Han, Eun-Jung;Hong, Sung-Jun;Ahn, Nan-Hee;Kim, Yong-Ki;Jee, Hyung-Jin;Park, Jong-Ho
    • Korean journal of applied entomology
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    • v.49 no.4
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    • pp.417-422
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    • 2010
  • Cultural characteristics Lecanicillium lecani Btab01 and its insecticidal activity against tobacco whitefly (Bemisia tabaci) were investigated. On potato dextrose agar, tryptic soy agar and SDA+Y media, mycelial growth of L. lecani Btab01 was best at $20{\sim}25^{\circ}C$ and suppressed above $28^{\circ}C$. Both solid culture and liquid culture of L. lecani Btab01 showed high insecticidal activity, 93.9 and 98.3% respectively, against nymph of tobacco whitefly, but there is no significant difference. When culture of L. lecani Btab01 was treated at the concentration of $10^5$, $10^6$, $10^7$ and $10^8$ cfu/ml, their insecticidal activity were 5.8%, 33.8%, 77.3% and 98.5% respectively, and $LT_{50}$ values were 16.1 days, 7.3 days, 5.1 days and 3.5 days respectively. When nymphs were treated by the cultures of L. lecani Btab01 and maintained under saturated condition for zero hour, 24 hours and 168 hours, their control activities were 0%, 20.3% and 100% respectively. Spore germination of L. lecani Btab01 was increased about two times by adding edible oil. When L. lecani Btab01 was treated to control nymph with 0.1% edible oil, it showed high control activity(98.6%) compared to single treatment of L. lecani Btab01 (79.9%).

The Effect of Cutting Positions and Temperature on the Rooting of Bitter Gourd (여주 삽목 시 삽수절단 위치와 온도조건이 발근에 미치는 영향)

  • Lee, Hee Ju;Lee, Sang Gyu;Kim, Sung Kyeom;Choi, Chang Sun;Kim, Sang Beom
    • Journal of Bio-Environment Control
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    • v.25 no.3
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    • pp.162-167
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    • 2016
  • This study was carried out to investigate proper stem cutting position and air temperature to regenerate roots from cuttings of bitter gourd. 'NS454' (NS) and 'Dragon' (DR) cultivars were tested and the cutting position was cut at the 3rd node in the stem (treatment I) and cut at the central part (stem segment) between 3rd leaf and 4th leaf in the stem (treatment II). The air temperature was maintained at 18, 23, 28 and $35^{\circ}C$ in the growth chambers, respectively. The photosynthetic photon flux at the ground of a chamber was maintained in approximately $150-200{\mu}mol\;m^{-2}s^{-1}$ during the 16-hour photoperiod. The relative humidity in the chambers was maintained over 85%. After 10 days of cuttings, regardless of cutting position, DR and NS cultivars showed 100% the survival rate in the $18^{\circ}C$ or $23^{\circ}C$ treatments, however, most of plants $18^{\circ}C$ treatment had not rooting. In the $28^{\circ}C$ treatment, regardless of cutting position, DR and NS cultivars showed 100% of the rooting rate. In the $23^{\circ}C$ treatment, for DR cultivar, the node cutting showed 90% of rooting rate and the stem segment cutting showed 40% rooting rate. For NS cultivar, the node cutting showed 50% of rooting rate and the stem segment cutting showed 40% rooting rate. DR and NS cultivars have high rooting rate, while the rooting rate remarkably decreased in the $35^{\circ}C$ treatment. For DR cultivar, the stem segment cutting showed 5.3 of the highest rooting number and the node cutting showed 2.7 rooting number in the $28^{\circ}C$ treatment. NS cultivar was not significantly different the rooting regardless of cutting position. The results suggested that cutting at the stem segment cutting of bitter gourd is an effective cutting method for increasing survival rate and the air temperature should be maintained at $28^{\circ}C$.

Effect of Different Nutrient Solution and Light Quality on Growth and Glucosinolate Contents of Watercress in Hydroponics (배양액의 종류 및 광질이 물냉이의 생육 및 Glucosinolate 함량에 미치는 영향)

  • Choi, Jae Yun;Kim, Sung Jin;Bok, Kwon Jeong;Lee, Kwang Ya;Park, Jong Seok
    • Journal of Bio-Environment Control
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    • v.27 no.4
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    • pp.371-380
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    • 2018
  • Aim of this study was to investigate the effects of different nutrient solutions and various light qualities generated by LED on the growth and glucosinolates contents of watercress (Nasturtium officinale) grown under hydroponics for 3 weeks. The seeds of watercress were sown on crushed rockwool media and raised them for two weeks. They were transplanted in a semi-DFT (deep flow technique) hydroponics system. A controlled-environment room was maintained at $20{\pm}1^{\circ}C$ and $16{\pm}1^{\circ}C$ temperatures and $65{\pm}10%$ and $75{\pm}10%$ relative humidity (day and night, respectively), with a provided photosynthetic photon flux density (PPFD) of $180{\pm}10{\mu}mol{\cdot}m^{-2}{\cdot}s^{-1}$ and a photoperiod of 16/8h. To find out the best kinds of nutrient solutions for growing watercress, Otsuka House 1A (OTS), Horticultural Experiment Station in Korea (HES), and Netherland's Proefstaion voor Bloemisterij en Gasgroente (PBG) were adapted with initial EC of $1.0-1.3dS{\cdot}m^{-1}$ and pH of 6.2, irradiating PPFD with fluorescent lamps (Ex-1). Either monochromatic (W10 and R10) or mixed LEDs (R5B1, R3B1, R2B1G1, and W2B1G1) were irradiated with a differing ratio of each LED's PPFD to understanding light quality on the growth and glucosinolates contents of watercress (Ex-2). Although significant difference in the shoot growth of watercress was not found among three nutrient solutions treatments, but the root fresh weight increased by 13.7% and 55.1% in PBG and OTS compared to HES, respectively. OTS increased the gluconasturtiin content by 96% and 65% compared to PBG and HES. Compared with the white light (W10), the red light (R10) showed a 101.3% increase in the shoot length of watercress. Increasing blue light portion positively affected plant growth. The content of total glucosinolates in watercress was increased by 144.5% and 70% per unit dry weight in R3B1 treatment compared with R2B1G1 and W10 treatments, respectively. The growth and total glucosinolates contents of the watercress were highest under R3B1 among six light qualities.

Growth Characteristics of Bay Scallop (Argopecten irradians) reared in the Southern East Sea (동해 남부해역에서 양식된 해만가리비 (Argopecten irradians) 의 성장 특성)

  • Kim, Young Dae;Lee, Chu;Shim, Jeong Min;Kim, Gi Seung;Choi, Jae-Suk;Nam, Myung-Mo
    • The Korean Journal of Malacology
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    • v.31 no.2
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    • pp.103-112
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    • 2015
  • Bay scallop (Argopecten irradians) has been farmed only in the South Sea of Korea. East Sea Fisheries Research Institute (ESFRI) has developed bay scallop aquaculture technologies to extend its aquaculture area to the Southeast Sea of Korea. For the artificial spawning, the water temperature was maintained at $23^{\circ}C$. Over 100,000,000 eggs were spawned through artificial spawning inductions, such as air exposure and thermal shock by rising the water temperature. The fertilization rate was over 91% with nearly 94,000,000 fertilized eggs. The shape of fertilized eggs was spherical with an average diameter of $61.7{\pm}0.05{\mu}m(54.1-67.4{\mu}m)$. Five days after fertilization, the eggs developed into prodissoconch shell, and continuously grew into umbo stage and then umbones stage. After 8 days of fertilization, the size of larva became $179.7{\pm}8.4{\mu}m$ on average ($150.4-204.8{\mu}m$), and the larva formed a foot and an eye spot. The larvae grew to $235.4{\pm}9.7{\mu}m$ in 10 days and attached to adherence material, becoming juvenile bay scallop. The shells grew from 22.71 mm to 72.40 mm in 6 month (June-December). The total weight increased from 2.0 g to 32.7 g at the same period. The daily growth rates of young scallop were $0.35mm\;d^{-1}$ (Apr. to Jun.) and $0.41mm\;d^{-1}$ (Jun. to Aug.), which were comparable to those found in the South Sea. These findings suggest that the bay scallop aquaculture may be suitable in the Southeast Sea of Korea and may provide an additional crop to aquaculturists.

A Study on the Cost Analysis of Service Export - K SME Case of MICE-related Industry - (서비스 수출원가 분석 - MICE 산업 관련 중소기업 사례연구 -)

  • Park, Moon-Suh
    • International Commerce and Information Review
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    • v.13 no.4
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    • pp.485-516
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    • 2011
  • Republic of Korea is small nation that is comprised of 0.7% of the world population and occupying just 0.07% of the world territory. Despite this, Republic of Korea once again proved herself to be as the world's major economic powerhouse by becoming the world's 7th largest exporter in 2010. However, the reality is that Republic of Korea is still significantly concerned about the volatile economic nature and anxiety that is spread across the globe since the global depression that began at the end of 2008 and the financial crisis that has been threatening the Euro-Zone recently. This has resulted in the nation reaching the limitation in significant economic growth and limited creation of jobs within the nation and due to such circumstances, the nation is becoming more aware of the fact that she needs to pay more attention on the service sector and service exports if she was to see a more positive economic outlook in the upcoming future. This research is aimed to analyse the cost that is associated with the service export sector, by examining a number of enterprises in relation to the MICE(Meeting Incentives Convention Exhibition) industry which certainly has both direct and indirect influences on the service exports of the nation Further, the prime goal of the research is to encourage the SMEs of Korea, who have substandard experience associated to foreign exports, to intensify and increase service exports and also the goal extends to the degree to suggest appropriate assistance measures to aid these enterprises to achieve such goals. This research is fundamentally designed and based on the literature research associated with the MICE industry and also, this research is premeditated through the analysis of the case of exports to Vietnam. As the result of research, it has been found out that SMEs in the MICE industry and those of in service export sector are reluctant or even feel insecure to attempt any kind of export of their services mainly due to; the lack of foreign market information and also the lack of experience associated with service exports. Furthermore, it has also been revealed that the difficulty to estimate the validity and profitability of service the export is a significant factor withholding those enterprises from attempting any service export to the foreign markets. Henceforth, in order to aid and stimulate service export to the foreign markets by these SMEs (including those in association with the MICE industry), it is imperative to prepare an one-stop service export assistance program which would provide the information associated with marketing, law and legislation, taxation system and financial area in regard to the global markets.

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Empirical Study of Key Factors in Satisfaction with Subway Services (지하철 이용만족도 결정요인에 관한 실증적 연구 -서울지역을 중심으로-)

  • Shim, Jong-Seop;Jeon, Ki-Heung
    • Korean Business Review
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    • v.13
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    • pp.49-66
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    • 2000
  • Despite the fact that understanding customers satisfaction with transportation services is a subject of great importance, authors, so far, found no systematic researches referred to that issue. From this point, studying the satisfaction with subways services can be extremely useful. Empirical study of key factors in the satisfaction with subway services is the departure point, which holds as objectives, and we believe, will contribute to overall increasing in the number of subways services used and in the amount of public benefits derived from that usage. In order to achieve these goals: First, several items referred to some key factors in the satisfaction of subway usage were systemized. Second, a research of specific weights attached to those key factors by subway passengers was conducted. Knowledge of the satisfaction variables system can provide deep insights into ones perceptual experience when using a subway. The results were as follows: Various interrelated factors compose a passengers satisfaction with subway services. People do not just use subway passively; a number of key factors, like physical and personal services, exact timing, easiness to access etc. determine the passengers satisfaction with subway. In order to find out specific weights of these key factors multiple regression analysis was employed. Results showed that satisfaction with subway is determined by (in order of importance) easiness to access, quality of physical services, friendliness of working stuff and timing exactness. According to the findings, passengers do not use subway as a simple mean of transportation, rather they perceive it as a complex combination of environmental elements and overall satisfaction depends on these various factors. Therefore, to learn passengers satisfaction with subways services, passengers subway experience must be thoroughly studied and analyzed, and this is where papers value resides.

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