• The Korean Journal of Financial Management
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• v.15 no.2
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• pp.279-337
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• 1998

이 논문에서는 주가가 확률과정, 즉 확률미분방정식에 의하여 생성되는가를 검정하고 주가의 운동법칙을 규명한다. 일별종합주가지수가 양수의 완전시계열상관을 갖고 있으며, 더욱이 3년 정도의 시차까지 의미있는 시계열상관을 갖고 있음이 발견되었다. 수익률과 가격변화의 시계열상관도 존재하고 시계열은 정상성(定常性)을 갖고 있다. 마팅게일에 의하여 주가가 생성되고있지 않음이 밝혀졌다. 한국증권거래소에서 계산하고 있는 일별 종합주가지수를 포함한 41개 산업별 지수를 사용하여 자본시장의 운동법칙을 규명하기 위하여 가장 많이 이용하고 있는 세개의 확률미분방정식을 검정하였다. 각 주가지수들이 온스타인 울렌벡 브라운 운동과정과 평균회귀과정을 따르지 않고 있다는 것이 발견되었다. 그러나 주가가 편류를 갖는 일반 기하 브라운 운동과정에 의하여 생성되고 있음이 검정을 통하여 확인되었다. 평균회귀과정에 의하여 주가가 생성되지 않는다는 발견은 의외라 할 수 있다. 주가가 온스타인 울렌벡 과정을 따르지 않는다는 것은 주가가 제 1계 정상적 자기회귀과정이 아니라는 것을 의미한다. 일별종합주가지수는 제 4계 자기회귀과정에 의하여 생성된다. 가격변화와 수익률의 생성함수는 제 4계 자기회귀과정이다. 종합주가지수의 제 1계 시계열상관계수는 1이다. 상당히 큰 시차를 갖을 때까지 시계열상관이 대략적으로 1을 유지하고 있다. 따라서 지수가 마팅게일을 따르고 있지 않다. 이 점은 가격변화와 수익률에 있어서도 유사하다. 가격변화, 수익률, 대수수익률의 제 1계 시계열상관이 0.1로 유의적이다. 따라서 수익도 마팅게일 과정을 따르고 있지 않다. 증권가격은 세 번에 걸쳐 구조의 번화가 발생하였다. 구조의 변화가 발생할 때마다 평균가격이 상승하였다. 이와 같은 현상은 장기적 기대가격이 미지일 가능성이 배제되지 않는다. 단기적 기대 주가가 알려진 반면 장기적 기대 주가가 미지라면 평균회귀과정은 장기적 기대주가로 회귀하고 있는 과정이므로 장기기대 주가의 미지성이 평균회귀 과정의 기각을 유도하게 된다. 우리나라의 투자자들은 무위험자산과 위험을 동시에 고려하여 투자활동을 전개하고 있음이 발견되었다. 선형의 효용함수를 갖는 위험중립적 태도의 투자자가 아니다. 위험기피형 효용함수 아래에서 투자활동을 수행하고 있는 합리적 투자자들이라 할 수 있다. 뿐 만 아니라 자신의 평생에 걸친 소비를 소비가 이루어지는 각 기마다 가급적 일정하게 하는 소비행동을 목표로 삼고 소비와 투자에 대한 의사결정을 내리고 있음이 실증분석을 통하여 밝혀졌다. 투자자들은 무위험 자산과 위험성 자산을 동시에 고려하여 포트폴리오를 구성하는 투자활동을 행동에 옮기고 있다.

• Journal of the Korean Institute of Landscape Architecture
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• v.16 no.3
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• pp.1-6
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• 1989

The current linear programming model as for city park planning has the following intrinsic constraints. First of all, it cannot explicity consider choice behaviors of people. Secondly, the objective function of linear programming model cannot sufficiently intergrate satisfactions of people. In order to overcome these weak points of linear programming model, the following extensions have been made in this paper. First of all, bionominal and multinominal logit models based upon logit models, utility maximization of people have been constructed, Secondly, based upon logit models, social welfare function has been constructed in order to aggregate satisfactions of people. By doing this, intrinsic oonstraints of linear programming model have been successfully overcome. In the future research, empirical study of the model developed in this paper will be necessary. By doing this, the construction of optimal investment plan for city parks will be possible.

• Journal of Korean Society of Transportation
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• v.23 no.2
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• pp.151-160
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• 2005

In case of public transit such as bus system, the probability concept is used to evaluate the Level-of-Service of the operations. And each levels could be classified according to the linear probability value. (TCQSM: Transit Capacity and Quality of Service Manual-2nd Edition, TRB, Washington DC., 2003) In this case, the drivers or passengers wouldn't think that the service level isn't equivalent to the linear probability value. Thus the linear probability value doesn't exactly reflect the service level. This study shows the problems of using the linear probability value in classifying the service level through the case of evaluation of bus operation's punctuality, presented in TCQSM. To make up for the problems of such case, two methodologies are presented in this study. The method of determining Level-of-Service criteria using probability density of headway variation's distribution, presented in this paper, adequately reflects passenger's expected waiting time. According to the application result to real bus operation data, it tis better than the method of TCQSM to evaluate the reliability of bus operations. However further research about the relations between utility difference and passenger feeling of service level in necessary to apply the method that uses the utility function. It remains as the limitation of this paper.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.28 no.3D
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• pp.437-444
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• 2008

In the paper, a methodology is verified to integrate IKONOS-2 satellite imagery and ALS dataset by compensating biases of RPC models. To achieve this, conjugate features from both data should be extracted in advance. For this purpose, linear features are chosen as conjugate features because they can be accurately extracted from man-made structures in urban area and more easily extracted than point features from ALS data. Then, observation equations are established from similarity measurements of the extracted features. During the process, several kinds of transformation functions were selected and used to register them. In addition, it was also analyzed how the number of linear features used as control features affects the accuracy of registration results. Finally, the results were evaluated by using check-points obtained from DGPS surveying techniques and it was clearly demonstrated that the proposed algorithms are appropriate to integrate these data.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.36 no.10
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• pp.1139-1146
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• 2012

An alternative approach for topology optimization of steady incompressible Navier-Stokes flow problems is presented by using P1 nonconforming finite elements. This study is the extended research of the earlier application of P1 nonconforming elements to topology optimization of Stokes problems. The advantages of the P1 nonconforming elements for topology optimization of incompressible materials based on locking-free property and linear shape functions are investigated if they are also valid in fluid equations with the inertia term. Compared with a mixed finite element formulation, the number of degrees of freedom of P1 nonconforming elements is reduced by using the discrete divergence-free property; the continuity equation of incompressible flow can be imposed by using the penalty method into the momentum equation. The effect of penalty parameters on the solution accuracy and proper bounds will be investigated. While nodes of most quadrilateral nonconforming elements are located at the midpoints of element edges and higher order shape functions are used, the present P1 nonconforming elements have P1, {1, x, y}, shape functions and vertex-wisely defined degrees of freedom. So its implentation is as simple as in the standard bilinear conforming elements. The effectiveness of the proposed formulation is verified by showing examples with various Reynolds numbers.

• Environmental and Resource Economics Review
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• v.20 no.1
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• pp.119-153
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• 2011

This study reviews various aspects of model formulating processes of dichotomous choice responses of the contingent valuation method (CVM), which has been increasingly used in the preliminary feasibility test of Korea public investment projects. The theoretical review emphasizes the consistency between WTP estimation process and WTP measurement process. The empirical analysis suggests that two common parametric models for dichotmous choice responses (RUM and RWTP) and two commonly used probability distributions of random components (probit and logit) resulted in all most the same empirical WTP distributions, as long as the WTP functions are specified to be a linear function of the bid amounts. However, the efficiency gain of DB response compared to SB response were supported on the ground that the two CV responses are derived from the same WTP distribution. Moreover for the exponential WTP function which guarantees the non-negative WTP measures, sample mean WTP were quite different from median WTP if the scale parameter of WTP function turned out to be large.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.3 no.4
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• pp.325-332
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• 2002

In the process of designing pareto optimal insurance contract, it is necessary to assume that insurance contract conditions are endogenous to build a model. The expected utility, the non-expected utility and the state-dependent utility function can be applied as a insurance decision making principle. The insurance costs may have the linear, convex, and concave ralationship with the indemnity schedule. However, the sunk cost and fixed cost must be recognized. The deductible which decides whether an insurance contract to be a full or partial insurance contract can exist in the forms of straight deductible or diminishing deductible. Indeciding the level of deductible, the types of the insurance and the risks to be insured should be the deciding factors. Especially for recall insurance, there is relatively high chance that the recalling company being bankrupt. Therefore, the possibility of bankrupcy should be the considering factor in deciding the policy limit. The existence of the incomplete market and uninsurable background risk should be understood as restricting conditions of the pareto-optimal insurance contract.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.32 no.11B
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• pp.709-717
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• 2007

Pricing a network service aims for congestion control of the network as well as economic efficiency. A monopolistic supplier providing users with a network service on a shared link needs a pricing schedule that maximizes revenue under the link's bandwidth constraint and guarantees the bandwidth purchased by the users. In that case, nonlinear pricing is an efficient scheme which meets both requirements. This study reviews how nonlinear pricing can be applied to the network service under the constraint and shows that the nonlinear pricing may result in a fixed unit price of bandwidth as linear pricing when demand characteristics of the users follow a power law. Also, the way how the provider with incomplete information on the demand distribution seeks for the optimal pricing from the degree of the network congestion is introduced and the relationship between the development direction of the Internet and internet pricing is considered based on the results of the study.

• Journal of the Institute of Electronics and Information Engineers
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• v.51 no.2
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• pp.163-167
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• 2014

To prove the vibration and speed error problems caused by the nonlinear friction characteristics and load variation of the hydraulic system, a PID speed controller and a load compensation controller for the hydraulic inverter-fed elevator are proposed. The load compensation controller is composed by the PI controller and the speed controller is composed by the PID controller. The P,I and D gains of the control parameters are obtained by the frequency response of system transfer function. The Effectiveness of the proposed controller are shown by experimental results, which the proposed controller yields robustness with load variations and stable and good speed and acceleration responses with less oscillations.

• Transactions of the Korean Society of Mechanical Engineers
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• v.10 no.5
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• pp.742-750
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• 1986

The lateral vibrating motion of a railway vehicle over a certain critical speed is a well known problem in the field of train dynamics. It is known that the train equations of motion are strongly coupled and highly nonlinear with the motion and causing that it is very difficult to solve the equations simultaneously. In this paper, a 8 degree of feedom model of a railway vehicle was suggested to solve the rail vehicle lateral motion. In stead of solving the nonlinear equation simultaneously, statistical linearization technique was adopted to solve those equations. The analysis results from the statistical linearization method were directly compared with those from direct nonlinear equations and found that the linearization technique can be very effective and economical for railroad vehicle analysis. By the way, it was found that the analysis results can analytically explain the intermittent hunting phenomena which has been frequently observed in experiments.