• Journal of Intelligence and Information Systems
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• v.16 no.2
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• pp.19-32
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• 2010

Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.

• Journal of Bio-Environment Control
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• v.21 no.4
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• pp.459-465
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• 2012

This study analyzed the effect of semi-rigid rafter-purlin cross-linking connection and driven steel pipe base on the static behavior of plastic greenhouse (PG). To promote the time and cost efficiency of the assembly process, each cross-linking connections of space arch type grid that consists of rafter and purlin is linked with steel-wire buckles, and each end of the rafters was driven directly to the ground to support the PG structure. However, in the design process, cross-linking connections and bases are idealized by being categorized as fully rigid or frictionless pinned, which does not appropriately reflect actual conditions. This study takes a full-scale loading test of PG and analyzes the effect of member cross-linking connections and driven steel pipe base on the behavior of a structure. The analysis provided a basis for determining the rigidity factor of member cross-linking nodes needed for finite element analysis, and the reliability of the result regarding the static behavior of PG.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.22 no.4
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• pp.594-600
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• 2021

Curved beam structures are generally used as components in structures such as railroad bridges and vehicles. The stability analysis of curved beams has been studied by a large number of researchers. Due to the complexities of structural components, it is difficult to obtain an analytical solution for any boundary conditions. In order to overcome these difficulties, the differential quadrature method (DQM) has been applied for a large number of cases. In this study, DQM was used to solve the complicated partial differential equations for buckling analysis of curved beams. The governing differential equation was deduced and solved for beams subjected to uniformly distributed radial loads. Critical loads were calculated with various opening angles, boundary conditions, and parameters. The results of the DQM were compared with exact solutions for available cases, and the DQM gave outstanding accuracy even when only a small number of grid points was used. Critical loads were also calculated for the in-plane inextensional buckling of the asymmetric curved beams, and two theories were compared. The study of a beam with extensibility of the arch axis shows that the effects on the critical loads are significant.

• International Area Studies Review
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• v.13 no.3
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• pp.287-308
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• 2009

This article examines the distributional characteristics of the return of Chinese stock market indices. The majority of previous empirical researches have tended to focus upon the simple stock market index. However, this study focuses on the four indices which represent the characteristics of each stock market index. The empirical findings indicate that the returns of the four chinese indices are not normally distributed at conventional levels. The Ljimg-Box -statistics indicate the returns of the index of A shares are not serially autocorrelated. However, the returns of the index of B shares are serially autocorrelated. The empirical findings also indicate returns of the four chinese indices are not serially autocorrelated. The statistics of Regression Specification Error Test and ARCH indicate the returns of all four indices are not serially linear. The findings also indicate that E- GARCH model is the most fittest model for the returns of the four chinese indices and the forecast error can be reduced by using student t distribution rather normal distribution.

• Proceedings of the Korean Society for Agricultural Machinery Conference
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• 2017.04a
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• pp.161-161
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• 2017

스마트 시설환경의 제어 요소는 난방기, 창 개폐, 수분/양액 밸브 개폐, 환풍기, 제습기 등 직접적으로 시설환경의 조절에 관여하는 인자와 정보 교환을 위한 통신, 사용자 인터페이스 등 간접적으로 제어에 관련된 요소들이 복합적으로 존재한다. PID 제어와 같이 하는 수학적 논리를 바탕으로 한 제어와 전문 관리자의 지식을 기반으로 한 비선형 학습 모델에 의한 제어 등이 공존할 수 있다. 이러한 다양한 요소들을 복합적으로 연동시키기 위해선 기존의 시퀀스 기반 제어 방식에는 한계가 있을 수 있다. 관행의 방식과 같이 시계열 상에서 획득한 충분한 데이터를 이용하여 제어의 양과 시점을 결정하는 방식은 예외 상황에 충분히 대처하기 어려운 단점이 있을 수 있다. 이러한 예외 상황은 자연적인 조건의 변화에 따라 불가피하게 발생하는 경우와 시스템의 오류에 기인하는 경우로 나뉠 수 있다. 본 연구에서는 실시간으로 변하는 시설환경 내의 다양한 환경요소를 실시간으로 분석하고 상응하는 제어를 수행하여 수학적이며 예측 가능한 논리에 의해 준비된 제어시스템을 보완할 방법을 연구하였다. 과거의 고성능 컴퓨팅(HPC; High Performance Computing)은 다수의 컴퓨터를 고속 네트워크로 연동하여 집적적으로 연산능력을 향상시킨 기술로 비용과 규모의 측면에서 많은 투자를 필요로 하는 첨단 고급 기술이었다. 핸드폰과 모바일 장비의 발달로 인해 소형 마이크로프로세서가 발달하여 근래 2 Ghz의 클럭 속도에 이르는 어플리케이션 프로세서(AP: Application Processor)가 등장하기도 하였다. 상대적으로 낮은 성능에도 불구하고 저전력 소모와 플랫폼의 소형화를 장점으로 한 AP를 시설환경의 실시간 제어에 응용하기 위한 방안을 연구하였다. CPU의 클럭, 메모리의 양, 코어의 수량을 다음과 같이 달리한 3가지 시스템을 비교하여 AP를 이용한 마이크로 클러스터링 기술의 성능을 비교하였다.1) 1.5 Ghz, 8 Processors, 32 Cores, 1GByte/Processor, 32Bit Linux(ARMv71). 2) 2.0 Ghz, 4 Processors, 32 Cores, 2GByte/Processor, 32Bit Linux(ARMv71). 3) 1.5 Ghz, 8 Processors, 32 Cores, 2GByte/Processor, 64Bit Linux(Arch64). 병렬 컴퓨팅을 위한 개발 라이브러리로 MPICH(www.mpich.org)와 Open-MP(www.openmp.org)를 이용하였다. 2,500,000,000에 이르는 정수 중 소수를 구하는 연산에 소요된 시간은 1)17초, 2)13초, 3)3초 이었으며, $12800{\times}12800$ 크기의 행렬에 대한 2차원 FFT 연산 소요시간은 각각 1)10초, 2)8초, 3)2초 이었다. 3번 경우는 클럭속도가 3Gh에 이르는 상용 데스크탑의 연산 속도보다 빠르다고 평가할 수 있다. 라이브러리의 따른 결과는 근사적으로 동일하였다. 선행 연구에서 획득한 3차원 계측 데이터를 1초 단위로 3차원 선형 보간법을 수행한 경우 코어의 수를 4개 이하로 한 경우 근소한 차이로 동일한 결과를 보였으나, 코어의 수를 8개 이상으로 한 경우 앞선 결과와 유사한 경향을 보였다. 현장 보급 가능성, 구축비용 및 전력 소모 등을 종합적으로 고려한 AP 활용 마이크로 클러스터링 기술을 지속적으로 연구할 것이다.

• Journal of the Korea Concrete Institute
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• v.18 no.5 s.95
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• pp.611-620
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• 2006

In the shear failure mechanism of a beam, beam and arch actions always exist simultaneously. According to the shear span to depth ratio, the proportion between these two actions is varied and the contribution of these actions to shear capacity is changed. Moreover, the current codes provide recommendations based on experimental results of normal strength concrete, so the application range of concrete strength must be extended. Based on this mechanism and new requirement, a simplified analytical equation for shear capacity prediction of reinforced high strength concrete beams without stirrups is proposed. To reflect the change in the contribution between these actions, stress variation in the longitudinal reinforcement along the span is considered by use of the Jenq and Shah Model. Dowel action with horizontal splitting failure and shear friction between cracks are also taken into account. ize effect is included to derive a more precise equation. Regression analysis is performed to determine each variable and simplify the equation. And, the formula derived from theoretical approaches is evaluated by comparison with numerous experimental data, which are in broad range of concrete strength(especially in high strength concrete), shear span to depth ratio, geometrical size and longitudinal steel ratio. It is shown that the proposed equation is more accurate and simpler than other empirical equations, so a wide range of a/d can be considered in one equation.

• The korean journal of orthodontics
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• v.30 no.6 s.83
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• pp.699-712
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• 2000

Reduced nasal breathing can influence the growth at)d development of facial structures. It nay have many causes, and enlarged adenoid is the most frequent one. To investigate the effects of adenoids to jaw growth, we must first understand the normal growth of adenoids and jaws, and the relationship between size of adenoids and the values lot the jaw variables. The purpose of this study is to present a more objective standard of nasopharyngeal size and jaw dimension at each bone age, by using Cervical Vertebrae Maturation Index(CYMI) of Hassel, from normal occlusion children aged 6 to 17. The results of this study suggests as follows : 1. At same bone age, female's chronologic age was about 2 year older than male. 2. There was a growth peak of nasopharyngeal(NP) height and depth between CVMI 1 to 2 in male, hut in female NP height and depth gradually increase through CVMI 1 to 6. 3. Relative airway of nasopharynx increases the most between CVMI 1 to 2 period in both gender 4. Among adenoid measurements, Ad2-related variables and upper pharynx, and among dentofacial measurements inter canine width in both arch, maxillary intermolar width and palatal depth had high correlation coefficient with adenoid percentage.

• Proceedings of the Korean Institute of Navigation and Port Research Conference
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• v.29 no.1
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• pp.77-83
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• 2005

In collision avoidance problem of a ship, collision risk model is usually set up using the interview results fron experts who sit on a simulator by varying parameters, in which DCPA and TCPA are commonly used. This method, however, has the weakness in that not only it is expensive but also it shows different results depending on the inerviewees and other navigational parameters. In this study, a fuzzy inference system is designed based on own ship's maneuverability verified fron simulation instead of interviewing navigators. The time and distance corresponding to the collision risk value on which avoidance maneuver should be started are set to the minimum marginal time at which own ship starts maneuvering and the minimum marginal distance suggested by marine traffic rules respectively. This system can be recorfigured as a nonlinearity-strengthened one by increasing the number of fuzzy membership functions.

• The Journal of Engineering Geology
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• v.30 no.3
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• pp.237-251
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• 2020

This study examined structural analysis of supports in tunnel and displacement and underground stress of tunnel by measurement, in order to evaluate the performance of high-strength lattice girders developed as a substitute for H-profiles. According to the three-dimensional nonlinear structural analysis results of the tunnel support, the load and displacement relationship between the H-profiles and the high-strength lattice girders showed almost the same behavior, and the maximum load of the high-strength lattice girders were 1.0 to 1.2 times greater than the H-profiles. By the results of the three-dimensional tunnel cross-section analysis of the supports, the axial force was occurred largely in the lower left and right sides of the tunnel, and showed a similar trend to the field test values. In the results of the measurement of the roof settlement and rod extension, the final displacement of the steel arch rib (H-profile) and high-strength lattice girder section in tunnel was converged to a constant value without significant difference within the first management standard of 23.5 mm. According to the results of underground displacement measurement, the final change amount of the two support sections showed a slight displacement change, but converged to a constant value within the first management standard of 10 mm. By the results of measurement of shotcrete stress and steel arch rib stress, the final change amount of the two support sections showed a slight stress change, but converged to a constant value within the first management standard of 81.1 kg/㎠ and 54.2 tonf.

• The Journal of Korean Academy of Prosthodontics
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• v.59 no.3
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• pp.299-304
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• 2021

Purpose. The purpose of the present study was to investigate the effects of image matching experience of operators on the accuracy and working time of image registration between radiographic and optical scan images. Materials and methods. Computed tomography and optical scan of a dentate dental arch were obtained. Image matching between the computed tomography and the optical scan (IDC S1, Amann Girrbach, Koblah, Austria) was performed using the point-based automatic registration method in planning software programs (Implant Studio, 3Shape, Copenhagen, Denmark) using two different experience conditions on image registration: experienced group and inexperienced group (n = 15 per group, N = 30). The accuracy of image registration in each group was evaluated by measuring linear discrepancies between matched images, and working time was recorded. Independent t test was used to statistically analyze the result data (α = .05). Results. In the linear deviation, no statistically significant difference was found between the experienced and inexperienced groups. Meanwhile, the working time for image registration was significantly shorter in the experienced group than in the inexperienced group (P = .007). Conclusion. Difference in the image matching experience may not influence the accuracy of image registration of optical scan to computed tomography when the point-based automatic registration was used, but affect the working time for the image registration.