• Journal of the Korea Academia-Industrial cooperation Society
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• v.16 no.10
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• pp.6511-6516
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• 2015

This paper examines the relationship between idiosyncratic volatility(IVOL) puzzle and trading volumes by trader types in the Korean stock market. The data set includes all stock in both KRX and KOSDAQ for the period from January 1999 through December 2013. Idiosyncratic volatility is measured by using the Fama-French's three-factor model. Traders are classified into individual, institution, and foreign trader. We construct (5X5) portfolios based on each trader's net buying and idiosyncratic volatility. We find that there are some special portfolios that show the idiosyncratic volatility puzzle. For individual investors, top net buying portfolios show clear the idiosyncratic volatility puzzle. However, for institution and foreign investors, lowest net buying portfolio show the idiosyncratic volatility puzzle. This results imply that the idiosyncratic volatility puzzle in the Korean stock market is mainly caused by individual investors.

• The Korean Journal of Financial Management
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• v.25 no.1
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• pp.109-140
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• 2008

The primary objective of this paper investigates whether asymmetric volatility phenomenon is caused by differences of opinion among investors and analyses information availability has an effect on asymmetric volatility. The empirical test period covers recent 6 years from January 4, 2000 to December 29, 2005. Five portfolios have been formed according to information availability(volume and market value). For the purpose of this study, We use TGARCH model, TGARCH-M model and adjusted model which include trading volume as a proxy differences of opinion among investors. The results are summarized as follows ; First, adjusted model analysis shows that asymmetric volatility phenomenon is disappeared or asymmetric coefficient and ratio is decreased than basis model. Second, portfolio analysis shows that the higher volume and market value, the more prominent asymmetric volatility phenomenon. And adjusted model analysis shows the higher volume and market value, the more decrease asymmetric ratio. Over all, assertion that differences of opinion among investors has caused asymmetric volatility phenomenon is regarded as reasonable. And, We see that information availability have great effect on asymmetric volatility phenomenon. We think that theses results can also occur opinion adjustment of optimistic investors. Namely, asymmetric volatility phenomenon can occur difference of information authenticity.

• Korean Journal of Ecology and Environment
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• v.36 no.3 s.104
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• pp.242-256
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• 2003

This study aimed to determine the relationship between rainfall-discharge patterns and maior aquatic environmental factors in a river-type reservoir. Specifically, daily monitoring was conducted in Paltang Reservoir from January 1999 to December 2001. Observation of the daily changes of the environment factors showed that natural meteorological factors and hydrological factors causing the change of water discharge had a major effect on the aquatic environment. Rainfall was the main source of hydrological changes, with its frequency a possible direct variable governing the range of discharge changes. Rainfall was weak in November${\sim}$May and heavy in June${\sim}$October (heavist in summer). The range of water discharge was greatest during summer (July to September) and lowest during winter (January to February). A principal component analysis (PCA) showed that aquatic environmental factors could be classified into three different types in the pattern of annual variation. First, type I included water temperature, turbidity, water color and organic matter (COD), which increased with increasing water discharge. Second, type ll consisted of DO and pH, which decreased with increasing water discharge. Third, type III included conductivity, alkalinity and chloride ion, which showed middle values with increasing water discharge. Monthly variation of aquatic environments explained by the first two dimensions of the PCA suggests that aquatic environments of Paltang Reservoir may have annual cycle typical of river-type reservoirs depending on hydrological factor such as water discharge.

• Proceedings of the Korean Society of Coastal and Ocean Engineers Conference
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• 1992.08a
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• pp.179-187
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• 1992

해안지형이 표사이동으로 인하여 변화되는 주요 원인은 인위적 요인(예를 들면, 해안구조물의 설치, 토사채취, 하상준설 등에 의한 표사이동의 차단, 표사이동량의 변동 등)과 자연적 요인(예를 들면, 해안환경-기압, 바람, 조석 등-변화에 따른 해수면 변화, 파랑내습 등에 의한 표사이동과 표사량 분포의 변화 등)으로 구분된다(CERC, 1984).(중략)

• Proceedings of the Korea Water Resources Association Conference
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• 2020.06a
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• pp.288-288
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• 2020

우리나라의 1시간 간격으로 측정되고 있는 지하수 관측망의 지하수위의 변동성은 강우, 양수, 하천, 지표피복에 의한 영향 등 다양하게 나타날 수 있다. 현재 한국수자원공사 및 한국농어촌공사에서 운영중인 지하수 관측망 중에서 지하수위의 변동 양상이 일반적(계절변동, 강우반응 변동 등)이지 않은 것으로 파악되는 101개소(국가지하수관측망 62개, 4대강보 주변 관측망 5개, 해수침투 관측망 15개, 농촌지하수관리관측망 19개)를 대상으로 현장조사를 실시하고 관측정 주변의 특성과 지하수위 변화와의 관계를 정성적으로 분류하여 보았다. 현장 조사는 지하수 관측정 주변 반경 100 m를 대상으로 하였으며, 기존 우물의 존재 및 규모, 지표 피복 상태, 인근 하천과의 관계(표고차, 하천의 규모, 보의 존재 등), 지형적 이상 특성, 저수지 분포 등을 조사하였다. 조사 대상 지하수 관측정 중에서 주변의 인위적인 요인(양수 영향, 하천수위 조절 영향, 지표 피복 변화, 저수지 수위 조절 등)에 의한 변동으로 확인된 것은 총 89개에 해당한다. 이와 같은 지하수위의 이상 데이터는 지하수 모델링, 함양량 산정과 같은 추가적인 분석에 오류를 발생할 수 있으므로 인공신경망 또는 통계 기법을 활용하여 보정하는 과정이 필요해 보인다.

• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.49-62
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• 2022

Realized volatility is well known to have long memory, strong association with other global financial markets and interdependences among macroeconomic indices such as exchange rate, oil price and interest rates. This paper proposes autoencoder factor-augmented heterogeneous autoregressive (AE-FAHAR) model for realized volatility forecasting. AE-FAHAR incorporates long memory using HAR structure, and exogenous variables into few factors summarized by autoencoder. Autoencoder requires intensive calculation due to its nonlinear structure, however, it is more suitable to summarize complex, possibly nonstationary high-dimensional time series. Our AE-FAHAR model is shown to have smaller out-of-sample forecasting error in empirical analysis. We also discuss pre-training, ensemble in autoencoder to reduce computational cost and estimation errors.

• Journal of Soil and Groundwater Environment
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• v.7 no.3
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• pp.45-59
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• 2002

This study is objected to demonstrate the spatial variability of the ground-water recharge by classifying the types of ground-water hydrographs and assessing the recharge ratio(the ratio of the rise of ground-water level to cumulative precipitation) of each type using the National Ground-water Monitoring network data. A total of 5 types were identified by factor analysis on the ground-water hydrographs nationwide. The recharge ratio of each type were estimated to be 6.5% (TYPE I), 4.1 % (TYPE II), 9.2%(TYPE III), 5.8 %(TYPE IV), 15.3 %(TYPE V) in the confidence level of 95.44% and 6% variation was estimated site by site even in the same type. The recharges of Han, Nakdong, Keum, Youngsan·Seomjin river basins were estimated as 10.0 %, 6.1 %, 8.3 %. and 6.6 % respectively. These results were consistent with the results of the existing baseflow method.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.261-277
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• 2003

The Korean Stock Market Surveillance System is desinged to control the volatility of stocks by drawing investor's attention and suppressing disguised demand, when stocks run up so rapidly in short period of time. Yet the Surveillance System has not been under empirical examination about its role and evolved in line with the Price Limit System. This study looks at the security returns under surveillance designation for 1995 -2001 period. The results indicate that the volatility of stocks has not been affected after surveillance designation. The constraints against the disguised demand, however, seems to limit the security returns rather than volatilities. These findings raises a question about the role of The Korean Stock Market Surveillance System for the control of volatility. The Surveillance System needs to be examined thoroughly about its role, function, and its conditions. Otherwise, the shareholders with less information could be placed at a disadvantage. This paper suggests that the system should be amended in an effort to make the volatility of stocks under control.

• Proceedings of the Korean Radioactive Waste Society Conference
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• 2004.06a
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• pp.334-335
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• 2004

It is important that the contaminated air is not revealed to the outside of the facility. The inside of the facility should be classified into several zones according to the radioactivity and each zone should maintain tile differential negative pressure between the zones also. It is not easy to equilibrate the pressure during the operation. On the normal operation, the clogging of the HEPA filter and the opening of the doors/shutters influence very much. We could maintain the differential negative pressure between the zones by the constant watching and periodical replacement of the filters.

• Korean Journal of Construction Engineering and Management
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• v.20 no.1
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• pp.105-113
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• 2019

A construction project is a complex process consisting of interdependent tasks. If one task has variation, other tasks will be affected additionally and it is difficult to reach consensus on task variation due to the characteristics of the construction site that is going on quickly and complicatedly. Therefore, this study identified the root cause of task variation in construction process. Adjacent matrix was created with the tasks corresponding to major causes of variation, and the network analysis was performed. The results of social network analysis in the construction process can stabilize the work flow in the complex process and improve the reliability of the process plan and the project performance.