• Title/Summary/Keyword: 선-후행관계

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Dynamic Relationships between the Stock Index Futures Market and the Cash Market (주가지수선물시장과 현물시장간의 동적관련성에 관한 실증적 연구)

  • Jeong, Jae-Yeop;Seo, Sang-Gu
    • The Korean Journal of Financial Management
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    • v.16 no.2
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    • pp.337-364
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    • 1999
  • 본 연구에서는 국내 주가지수선물시장과 현물시상간의 일중 가격 및 가격변동성의 선-후행관계를 실증적으로 분석함으로써 양 시장간의 동적관련성을 살펴보고자 하였다. 먼저, 상관관계분석의 결과는 KOSPI 200 주가지수선물수익률과 현물수익률, 그리고 주가지수선물수익률자승과 현물수익률 자승간에 유의한 교차상관관계가 존재하는 것으로 나타났다. 수익률의 선-후행관계를 살펴보기 위한 주가지수선물수익률의 시차변수들과 현물수익률간의 다중회귀분석의 결과는 주가지수선물수익률이 현물수익률을 약 15분 정도 선행하는 것으로 나타났으며, 이러한 현상은 현물수익률에 존재할 수 있는 비동시적 거래의 영향을 통제한 경우에도 비록 그 강도가 약하기는 하지만 여전하였다. 다음으로, 수익률 변동성의 선-후행관계를 살펴보기 위해 Grammatikos-Saunders (1986)가 제시한 무조건부 변동성의 추정치인 로그수익률자승을 사용하여 분석한 결과 주가지수선물수익률의 변동성이 현물수익률의 변동성을 약 10분 정도 선행하는 것으로 나타났으며, 이러한 결과는 비동시적 거래의 영향을 통제한 경우에도 동일하였다. 또한, Nelson(1991)의 EGARCH모형을 사용하여 수익률의 변동성을 추정한 후 이를 갖고 분석한 결과, 특히 비동시적 거래의 영향을 통제한 경우에는 주가지수선물시장과 현물시장의 수익률 변동성간에 선-후행관계가 존재한다는 것을 부정할 수 없었다.

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Price Discovery in the Korean Treasury Bond Futures Market (한국국채선물시장에서의 가격발견기능에 관한 연구)

  • Seo, Sang-Gu
    • Management & Information Systems Review
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    • v.30 no.2
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    • pp.257-275
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    • 2011
  • The price relationship between the futures market and the underlying spot market has attracted the attention of academics, practitioners, and regulators due to their roles during periods of turbulence in financial markets. The purpose of this paper is to investigate the dynamic of price relationship(or lead-lag relationship) between Korean Treasury Bond futures market and spot market. To examine the nature of the price relationship, descriptive statistics, serial correlation, and cross-correlation are used as a preliminary statistics in the Korean Treasury Bond spot and futures market. Next, following Stoll-Whaley(1990) and Chan(1992), the multiple regression method is used to examine the lead-lag patterns between the two markets. The empirical results are summarized as follows. The mean returns of spot markets and future markets are positive(+) and negative(-) respectively and the standard deviation of both stock and futures returns increase through the sub-periods. For the most periods, there is negative skewness in the both markets. The zero excess kurtosis due to the heavy tails of the distribution are relatively large. The autocorrelations in the spot returns for the sample periods are positive in time lag 1, but the autocorrelations in the future returns shows no significant evidence. The results of the daily cross-correlations between the KTB spot and futures returns indicate that a lead-lag relationship don't exist for price changes of futures and spot markets as a preliminary analysis. Finally, empirical results of regression analysis for both market indicate that there is no evidence that the KTB futures lead the KTB spot market, or the KTB spot market lead the KTB futures market. These results are robust for all sub-periods.

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The Price Dynamics in Futures and Option Markets - based on KOSPI200 stock index market - (주가지수선물가격과 옵션가격의 동적관련성에 관한 연구 - KOSPI 200 주가지수현물시장을 중심으로 -)

  • Seo, Sang-Gu
    • Management & Information Systems Review
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    • v.36 no.3
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    • pp.37-49
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    • 2017
  • This study investigates the dynamic relationship between KOSPI200 stock index and stock index futures and stock index option markets which is its derived from KOSPI200 stock index. We use 5-minutes rate of return data from 2012. 06 to 2014. 12. To empirical analysis, this study use autocorrelation and cross-correlation analysis as a preliminary analysis and then following Stoll and Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the stock index and stock index futures and option markets by Newey and West's(1987) Empirical results of our study shows as follows. First, there exist a strong autocorrelation in the KOSPI200 stock index before 10minutes but a very weak autocorrelation in the stock index futures and option markets. Second, there is a strong evidence that stock index future and option markets lead KOSPI200 stock index in the cross-correlation analysis. Third, based on the multiple regression, the stock index futures and option markets lead the stock index prior to 10-15 minutes and weak evidence that the stock index leads the future and option markets. This results show that the market efficient of KOSPI200 stock index market is improved as compared to the early stage of stock index future and option market.

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Method of Transforming PDM Overlapping Relationships to BDM Overlapping Relationships in CPM Schedule (CPM 공정계획의 PDM 중복관계를 BDM 중복관계로 전환시키는 방법)

  • Kim, Seon-Gyoo;Yoo, Jae-Woo;Ko, Dae-Gyu
    • Korean Journal of Construction Engineering and Management
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    • v.13 no.5
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    • pp.144-152
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    • 2012
  • The reason why most scheduling softwares currently using at construction projects adopt PDM (Precedence Diagramming Method) is that it can express an overlapping relationship between activities. However, the overlapping relationships in PDM are represented only by combinations of four overlapping types that connect the start and finish points of two activities, therefore, PDM cannot express efficiently the relationships between any middle points of two activities if they should be represented. This research proposes the method of transforming the four overlapping types of PDM to the overlapping relationships of BDM(Beeline Diagramming Method), new networking technique, that can connect the inter-relationships at any middle points of two activities as well as express multiple overlapping relationships. The proposed method will help not only to improve an efficiency of scheduling but also to upgrade the scheduling technique because BDM technique has a lot of unique advantages in scheduling.

An Analysis on the Asymmetric Time Varying Spillover Effect between Capesize and Panamax Markets (케이프사이즈와 파나막스 시장간의 비대칭 시간가변 파급효과에 관한 분석)

  • Chung, Sang-Kuck
    • Journal of Korea Port Economic Association
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    • v.27 no.3
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    • pp.41-64
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    • 2011
  • This article investigates the interrelationships in daily returns using fractionally integrated error correction term and volatilities using constant conditional correlation and dynamic conditional correlation GARCH with asymmetries between Capesize and Panamax markets. Our findings are as follows. First, for the fractionally cointegrated error correction model, there is a unidirectional relationship in returns from the Panamax market to the Capesize market, but a bidirectional causal relationship prevails for the traditional error correction models. Second, the coefficients for the error correction term are all statistically significant. Of particular interest are the signs of the estimates for the error correction term, which are all negative for the Capesize return equation and all positive for the Panamax return. Third, there are bidirectional volatility spillovers between both markets and the direction of the information flow seems to be stronger from Panamax to Capesize. Fourth, the coefficients for the asymmetric term are all significantly positive in the Capesize market, but the Panamax market does not have a significant effect. However, the coefficients for the asymmetric term are all significant, implying that the leverage effect does exist in the Capesize and Panamax markets.

The Intraday Lead-Lag Relationships between the Stock Index and the Stock Index Futures Market in Korea and China (한국과 중국의 현물시장과 주가지수선물시장간의 선-후행관계에 관한 연구)

  • Seo, Sang-Gu
    • Management & Information Systems Review
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    • v.32 no.4
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    • pp.189-207
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    • 2013
  • Using high-frequency data for 2 years, this study investigates intraday lead-lag relationship between stock index and stock index futures markets in Korea and China. We found that there are some differences in price discovery and volatility transmission between Korea and China after the stock index futures markets was introduced. Following Stoll-Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the two markets by Newey-West's(1987) heteroskedasticity and autocorrelation consistent covariance matrix(HAC matrix). Empirical results of KOSPI 200 shows that the futures market leads the cash market and weak evidence that the cash market leads the futures market. New market information disseminates in the futures market before the stock market with index arbitrageurs then stepping in quickly to bring the cost-of-carry relation back into alignment. The regression tests for the conditional volatility which is estimated using EGARCH model do not show that there is a clear pattern of the futures market leading the stock market in terms of the volatility even though controlling nonsynchronous trading effects. This implies that information in price innovations that originate in the futures market is transmitted to the volatility of the cash market. Empirical results of CSI 300 shows that the cash market is found to play a more dominant role in the price discovery process after the Chinese index started a sharp decline immediately after the stock index futures were introduced. The new stock index futures markets does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures markets. Based on EGAECH model, the results uncover strong bi-directional dependence in the intraday volatility of both markets.

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A study on the ergonomic design of the cockpit interior space (인간공학적인 조종실 공간 설계에 관한 연구)

  • 이창민;김영준;이종선;박세권;유희천
    • Proceedings of the ESK Conference
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    • 1993.10a
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    • pp.145-162
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    • 1993
  • 조종실은 항공기-조종사 시스템에서 항공기와 조종사간의 긴밀한 상호작용이 이루어지는 유일한 공유영역으로서, 조종사의 인간성능 특성과 조종업무 특성의 체 계적 반영이 요구되어 진다. 인간공학적으로 설계된 조종실은 조종 편이성, 운용성 및 비행 안정성의 향상을 가져올 수 있다. 항공산업 육성의 초기 단계에 있는 국내 에서는 항공기 장비성능 개발 연구가 활발히 진행되고 있으나, 조종실에 대한 인간 공학적 분석 연구는 미흡한 실정이다. 조종사의 인간요소특성에 적합한 조종실 공 간을 체계적으로 설계하기 위하여, -조종실 공간 설계요소의 체계적 추출 및 계층적 구조 설정 -공간 설계에 적용될 인체측정요소의 정의 및 계층적 구조 설정, -설계요 소의 특성 파악을 위한 설계요소간 연관관계 분석, -설계요소와 인간요소간의 연관 관계 분석, -기존 전투기, 훈련기의 설계 제원 현황 및 설계지침 파악, -한국인 인체 측정자료의 Data Base화, -인간공학적인 조종실 공간 설계제원 분석을 수행하였다. 조종실 공간 설계요소로는 143 항목이 정의 되었으며, 설계요소들 간의 연관관계 Matrix 분석을 통하여 선행/병행/후행 설계요소 및 설계요소의 중요도가 파악되었다. 조종실 공간 설계에 적용될 인간 측정요소로는 133개 항목이 정의 되었으며, 설계요소 와 인간요소간의 연관관계 분석을 통하여 설계요소별로 고려되어질 인간요소를 분석 하였다. 또한 설계요소와 관련된 다른 설계요소, 인간요소 및 인체측정치, 설계지침을 종합적으로 적용함으로써 인간공학적인 조종실 공간 설계제원을 제시하였다.

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Enhancing Work Trade Image Classification Performance Using a Work Dependency Graph (공정의 선후행관계를 이용한 공종 이미지 분류 성능 향상)

  • Jeong, Sangwon;Jeong, Kichang
    • Korean Journal of Construction Engineering and Management
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    • v.22 no.1
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    • pp.106-115
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    • 2021
  • Classifying work trades using images can serve an important role in a multitude of advanced applications in construction management and automated progress monitoring. However, images obtained from work sites may not always be clean. Defective images can damage an image classifier's accuracy which gives rise to a needs for a method to enhance a work trade image classifier's performance. We propose a method that uses work dependency information to aid image classifiers. We show that using work dependency can enhance the classifier's performance, especially when a base classifier is not so great in doing its job.

An Extraction Method of Bibliographic Information from the US Patents: Using an HTML Parsing Technique (미국 특허 서지정보 추출 방법에 대한 연구: HTML 파싱 기법의 활용을 중심으로)

  • Han, Yoo-Jin;Oh, Seung-Woo
    • Journal of the Korean Society for information Management
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    • v.27 no.2
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    • pp.7-20
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    • 2010
  • This study aims to provide a method of extracting the most recent information on US patent documents. An HTML paring technique that can directly connect to the US Patent and Trademark Office (USPTO) Web page is adopted. After obtaining a list of 50 documents through a keyword searching method, this study suggested an algorithm, using HTML parsing techniques, which can extract a patent number, an applicant, and the US patent class information. The study also revealed an algorithm by which we can extract both patents and subsequent patents using their closely connected relationship, that is a very distinctive characteristic of US patent documents. Although the proposed method has several limitations, it can supplement existing databases effectively in terms of timeliness and comprehensiveness.

Dynamic Syllabus Composition System Considering the Priority of Educational Objectives (교육목표의 우선순위를 고려한 동적 강의계획서 구성 시스템)

  • Kim, Ho-Sook;Kim, Hyoung-seok B.
    • The Journal of Korean Association of Computer Education
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    • v.12 no.2
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    • pp.13-22
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    • 2009
  • In this paper, we propose a new dynamic syllabus composition system to solve the problems of a static syllabus which can appear in the field of computer education, where the relationship between pre-post study subjects is clear and teachers may grasp easily the degree of understanding of learners in real time. Our dynamic syllabus composition system is designed to be adjusted according to the physical change of the amount of education and the level of learners, which is based on the priority of educational objects. The result of instance performed on two groups of different entering behavior shows that the proposed method enhances the degree of transfer of education and helps us teach a class around the representative subject which has to be dealt with in the class, so that it is very effective for the achievement of educational objects prior to others.

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