• 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.

• Radiation Oncology Journal
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• v.20 no.2
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• pp.186-192
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• 2002

Purpose : Measurement of transmission dose is useful for in vivo dosimetry. In this study, previous algorithm for estimation of transmission dose was modified for use in cases with tissue deficit. Materials and Methods : The beam data was measured with flat solid phantom in various conditions of tissue deficit. New algorithm for correction of transmission dose for tissue deficit was developed by physical reasoning. The algorithm was tested in experimental settings with irregular contours mimicking breast cancer patients using multiple sheets of solid phantoms. Results : The correction algorithm for tissue deficit could accurately reflect the effect of tissue deficit with errors within ${\pm}1.0\%$ in most situations and within ${\pm}3.0\%$ in experimental settings with irregular contours mimicking breast cancer treatment set-up. Conclusion : Developed algorithm could accurately reflect the effect of tissue deficit and irregularly shaped body contour on transmission dosimetry.

• The Korean Journal of Nuclear Medicine
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• v.32 no.4
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• pp.365-373
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• 1998

Purpose: The conventional gamma camera is not ideal for scintimammography because of its large detector size (${\sim}500mm$ in width) causing high cost and low image quality. We are developing a small gamma camera dedicated for breast imaging. Materials and Methods: The small gamma camera system consists of a NaI (T1) crystal ($60 mm{\times}60 mm{\times}6 mm$) coupled with a Hamamatsu R3941 Position Sensitive Photomultiplier Tube (PSPMT), a resister chain circuit, preamplifiers, nuclear instrument modules, an analog to digital converter and a personal computer for control and display. The PSPMT was read out using a standard resistive charge division which multiplexes the 34 cross wire anode channels into 4 signals ($X^+,\;X^-,\;Y^+,\;Y^-$). Those signals were individually amplified by four preamplifiers and then, shaped and amplified by amplifiers. The signals were discriminated ana digitized via triggering signal and used to localize the position of an event by applying the Anger logic. Results: The intrinsic sensitivity of the system was approximately 8,000 counts/sec/${\mu}Ci$. High quality flood and hole mask images were obtained. Breast phantom containing $2{\sim}7 mm$ diameter spheres was successfully imaged with a parallel hole collimator The image displayed accurate size and activity distribution over the imaging field of view Conclusion: We have succesfully developed a small gamma camera using NaI(T1)-PSPMT and nuclear Instrument modules. The small gamma camera developed in this study might improve the diagnostic accuracy of scintimammography by optimally imaging the breast.

• Korean Journal of Optics and Photonics
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• v.27 no.1
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• pp.1-17
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• 2016

Over the past two decades, fiber-based lasers have made remarkable progress, now having reached power levels exceeding kilowatts and drawing a huge amount of attention from academy and industry as a replacement technology for bulk lasers. In this paper we review the significant factors that have led to the progress of fiber lasers, such as gain-fiber regimes based on ytterbium-doped silica, optical pumping schemes through the combination of laser diodes and double-clad fiber geometries, and tandem schemes for minimizing quantum defects. Furthermore, we discuss various power-limitation issues that are expected to incur with respect to the ultimate power scaling of fiber lasers, such as efficiency degradation, thermal hazard, and system-instability growth in fiber lasers, and various relevant methods to alleviate the aforementioned issues. This discussion includes fiber nonlinear effects, fiber damage, and modal-instability issues, which become more significant as the power level is scaled up. In addition, we also review beam-combining techniques, which are currently receiving a lot of attention as an alternative solution to the power-scaling limitation of high-power fiber lasers. In particular, we focus more on the discussion of the schematics of a spectral beam-combining system and their individual requirements. Finally, we discuss prospects for the future development of fiber laser technologies, for them to leap forward from where they are now, and to continue to advance in terms of their power scalability.

• Journal of Environmental Impact Assessment
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• v.32 no.6
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• pp.437-449
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• 2023

This study measured PM₁₀ concentrations and wind speeds in buffer green spaces and neighborhood parks located along the road, and compared them with roadside measurementresults to understand the effect of mitigating PM₁₀ concentrations by type of green space and the influence of wind speeds on it. As a result of the analysis, the effect of mitigating PM₁₀ concentration was different depending on the type of roadside green space, and an increase in wind speed had a significant effect on reducing PM₁₀ concentration. In buffer green areas with high planting density, wind speed was low and PM₁₀ stagnated inside, resulting in the highest concentration. On the other hand, green areas in neighborhood parks with relatively low planting density had high wind speeds and the lowest PM₁₀ concentration. The non-green area within the neighborhood park recorded the highest wind speed, which was advantageous for the spread of PM₁₀, but the concentration was higherthan that of the green area. Therefore, in orderto reduce PM₁₀ concentration in roadside green space, it is necessary to create green space with good ventilation, and the combined effect of green space and wind speed seems to be more advantageous in reducing PM₁₀ concentration. Green spaces capture and remove PM inside, contributing to reducing the concentration of PM outside. In order to manage PM in the entire city and on roads, it is necessary to increase planting density and leaf area in roadside green spaces, such as buffer green spaces, so that PM can be removed within the green spaces. However, in green spaces such as neighborhood parks that are actively used by city residents, in orderto minimize damage to users due to PM, it is desirable to create green spaces with a structure that allows PM to spread to the outside rather than stagnate inside.