• Digital Contents
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• no.1 s.152
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• pp.29-36
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• 2006

올해는 와이브로ㆍIP TVㆍDMB등의 본격적인 서비스가 기대되는 해로 DC업체들에게도 새로운 도약의 기회가 주어졌다.2006년 DC 시장의 성장세가 지속될 것이라는 데는 이견이 없지만, 업계별로 해결해야 할 숙제는 여전히 남아 있다. 게임업체들은 성장률 둔화를 타파할 새로운 시장 개척의 과제가,애니메이션ㆍ모바일콘텐츠분야는 새로운 사업 모델 발굴로 수익개선의 과제에 직면해 있다. 대기업의 시장 진출 러시가 이뤄지고 있는 가운데 DC 업체들의 체질개선도 요구된다. <편집자주>

• 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.

• The Korean Journal of Financial Management
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• v.25 no.2
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• pp.69-101
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• 2008

We empirically investigate the option leverage property that should be priced under much more general conditions than the Black-Scholes assumptions and the option redundancy property that is based on the assumption that the underlying asset price follows a one-dimensional diffusion process and examine the systematic risk factors implied in the return dynamics of KOSPI 200 index options. We find that the option leverage pattern is similar to the theoretical result but the options are not redundant securities and in the nonlinear structure of option payoffs, the traders of KOSPI 200 index options price the systematic higher-moments and the negative volatility risk premium significantly affects delta-hedged gains, even after accounting for jump fears. But the empirical evidence on jump risk preference is less conclusive.

• Management & Information Systems Review
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• v.31 no.3
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• pp.21-46
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• 2012

This paper attempts to offer an effective strategy of hedge fund based on trade probability control in the futures market. By using various technical indicators, we create an association rule and transforms it into a trading rule to be used as an investment strategy. Association rules are made by the combination of various technical indicators and the range of individual indicator value. Adjustments of trade probabilities are performed by depending on the rule combinations and it can be utilized to establish an effective investment strategy onto the risk management. In order to demonstrate the superiority of the investment strategy proposed, we analyzed a profitability using the futures index based on KOSPI200. Experiments results show that our proposed strategy could effectively manage and response the dynamics investment risks.

• Plant Journal
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• v.11 no.4
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• pp.47-54
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• 2015

국내 플랜트 엔지니어링 및 건설 업체들의 수익성 악화가 지속됨에 따라 플랜트 원가 경쟁력 강화 및 생산성 향상에 대한 요구가 증대되고 있다. 본 논문에서는 ISO 도면으로부터 용접 포인트의 번호를 부여 하는 용접커팅플랜 작업과 용접이력관리를 위한 용접검사보고서 작성에 대하여 현행 프로세스를 분석하고 문제점을 도출하였다. 현행 프로세스에서는 수작업에 따른 생산성 저하와 현장변경요청 발생에 대한 검증의 어려움이 발생하여 전산화를 통하여 석유화학 플랜트 배관공사용 용접관리 프로세스를 개선하였다. 개선 효과의 검증을 위해 국내 석유화학 플랜트 건설 프로젝트를 대상으로 현장변경요청 발생률과 업무 생산성 향상에 대하여 개선 전후를 비교하였다. 개선된 프로세스를 적용하여 현장변경요청 발생률은 개선프로세스 적용 이전 대비 4.3%p 감소하였고, 업무 생산성은 개선프로세스 적용 이전 대비 생산성이 한 장당 0.13 시간 향상이 있음을 확인할 수 있었다.

• Korean Chemical Engineering Research
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• v.47 no.1
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• pp.127-132
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• 2009

This report examines the economic feasibility of a commercial 50,000 barrel per day direct coal liquefaction(DCL) facility to produce commercial-grade diesel and naphtha liquids from medium-sulfur bituminous coal. The scope of the study includes capital and operating cost estimates, sensitivity analysis and a comparative financial analysis. Based on plant capacity of 50,000BPD, employing Illinois #6 bituminous coal as feed coal the total capital cost appeared $3,994,858,000. Also, the internal rate of return of DCL appeared 6.60% on the base condition. In this case, coal price and sale price of products were the most influence factors. And DCL's payback period demanded a long time(12.3 years), because of high coal price at the present time. According to sensitivity analyses, the important factors on DCL processes were product sale price, feed coal price and the capital cost in order.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.05a
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• pp.1771-1776
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• 2006

인터넷을 기반으로 하는 IT의 눈부신 발전과 더불어 언제, 어디서나, 시간과 장소에 구애받지 않고 인터넷을 사용할 수 있도록 하는 사회적 요구가 구체화 되고 있다. 이러한 요구에 부응하고자 국내에서는 200km 이상의 빠른 속도로 이동 중에 있더라도 초고속인터넷이나 방송 서비스를 제공할 수 있는 위성/무선통신 연동 초고속인터넷 시스템기술을 개발하고 있다. 본 연구에서는 위와 같이 개발된 연동시스템을 국내 고속철도(KTX)에 적용하여 서비스를 제공할 때, 관련 시설투자에 대한 경제적 타당성을 검토하고자 한다. 경제성 분석을 위해 현재 유럽에서 이미 제공되고 있는 고속철도 인터넷 서비스를 조사하였고, 국내 고속철의 특성을 감안하여 필요시설과 장비의 항목별 비용분석을 수행하였다. 해외 사례와 비행기 등의 다른 운송수단에서 예상되는 수요 및 요금 수준에 근거하여 고속철도 인터넷서비스 매출을 시나리오별로 산정하였으며, 각각에 대한 순현재가와 수익률을 도출하였다. 본 연구의 결과를 토대로 하여 위성/무선통신 연동 시스템 기술 개발에 대한 경제적 타당성을 도출할 수 있으며, 서비스 제공 시 마케팅자료로 활용할 수 있을 것이다.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.18 no.5
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• pp.543-548
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• 2017

This paper examines the effects of strong corporate governance for listed companies in accessing capital markets from the point of view of the weighted average cost of capital. Results found that corporate governance had a significant negative(-) relation to the weighted average cost of capital. This finding is consistent with previous research and implies that the higher shareholder ownership and foreign ownership have confidence in the financial information of the company, and therefore, risk is reduced for investors. This results in lower expected rates of return and companies will pay a lower cost of capital. Second, tax evasion had a positive effect(+) on the weighted average cost of capital. The low quality of corporate accounting information is expected to increase tax avoidance. Accordingly, this results in increased risk. If the required rate of return is high in its impact,it leads to increased capital costs. In addition, corporate governance and tax avoidance factors showed a negative affect (-) on the weighted average cost of capital. Corporate governance plays an important role in tax avoidance and the weighted average cost of capital, and strong corporate governance reducesthe impact on tax avoidance. In addition, the weighted average cost of capital in capital markets showed the reducing effect.

• Journal of Forest and Environmental Science
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• v.18 no.1
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• pp.61-72
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• 2001

The study was carried out to investigate the surroundings and benefit analysis on the planting investment of Thailand for securing a stable supply of timber through overseas planting, The results show that Thailand government is planing to increase the coverage of forest from 25% to 40%, encouraging planting over the country. More advantages and incentives are given in the investments in planting and wood-processing industries such as plywood, veneer, and chip & hard board, etc. In Thailand Eucalyptus species which are most popular in planting as they are lucratively used as a material of pulp. The Internal rate of return (IRR) in the study was ranged from 29.1 % to 59.3.

• International Area Studies Review
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• v.13 no.3
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• pp.29-49
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• 2009

We examine the effects of information transparency, lender identity, and credit rating on the commitment fees of syndicated loans originated in Japan, employing a sample of 331 facilities. A syndicated loan is a financing instrument offered to a single borrower by multiple lenders, and Japanese syndicated loan volume increased 36% to a record-high of $283 billion in 2008 compared to 2007. We find that the more informational opaque the borrower, the higher the commitment fees the lender charges to the Japanese borrowers. There is evidence that a syndicate involving a Japanese lead agent is able to extract rents through higher commitment fees. We document that there is a significant relation between the credit rating of the borrower and the commitment fee cost of syndicated loans originated in Japan. Most importantly, our results provide evidence that banks in Japan extract higher returns on syndicated loans through the commitment fees in addition to higher loan spreads. Using a micro-level of Japanese borrowers, we contribute to existing literature by providing our empirical evidence after controlling for borrowing spread.