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Clinical Outcome of Treatment for Stage IIA, IIB and III Osteosarcomas (Comparative Studies between Invasive Surgical Treatment and Non-invasive HIFU Technique) (진행된 장관골 골육종의 수술 및 비수술적 강력 집속 초음파 치료의 장기 추적 결과)

  • Wenzhi, Chen;Wei, Wang;Zhibiao, Wang;Hui, Zhu;Kequan, Li;Hao, Piao Xiang;Haibing, Su;Chengbing, Jin;Feng, Wu;Jin, Bai;Rhee, Seung-Koo;Kang, Yong-Koo;Bahk, Won-Jong;Chung, Yang-Guk;Huh, Sung-Woo;Lee, Eun-Sang
    • The Journal of the Korean bone and joint tumor society
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    • v.12 no.1
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    • pp.37-46
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    • 2006
  • Purpose: To evaluate the end results between the surgical treatment with neo-adjuvant chemotherapy in Korea and non-invasive high intensity focused ultrasound (HIFU) technique in China for osteogenic sarcomas. Materials and Methods: The surgical treatment with neoadjuvant chemotherapy for total 67 cases (4 IIA, 58 IIB, and 5 III) in Korea since 1993 and the HIFU therapy for total 71 cases (57 II and 14 III) in China since 1997 was performed. In Korea, neo-adjuvant chemotherapy in 66 cases out of total 67 patients, but the adjuvant chemotherapy in only one case was done. On the contrary, in China, full chemotherapy for more than 9 times for 37 patients with stage II out of total 71 cases, but for less than 8 times of partial chemotherapy for 23 patients (stage II) and 14 patients (stage III) was done. The surgical treatment in total 67 Korean patients was done with wide resection and reconstruction for 56 patients, but wide resection without reconstruction for 5 patients and amputation for 6 patients. In china, total 71 patients was treated with average 1.5 times (1~4 times) of HIFU, and if there are some evidences of residual tumor after HIFU with following MRI, the second HIFU therapy was given 2~4 weeks later. After then, the bony defect was in no touch, keep bracing for long time expecting regeneration. All of them were followed for average 46 Mo (12~150 Mo) in Korea, but followed for average 22 Mo (9 years~8 months) in China. Results: The 5 year survival rate (stage II), was average 92.7% (IIA 100%, IIB 85.5%) in Korea series, and average 78.7% (full chemotherapy 91.8%, part chemotherapy 56.6%) in China series. The 3 year survival rate (stage III) was 20% in Korea and 7.1% in China. So, the final overall survival rate was 65.2% in Korea and 51.8% in China. The overall functional outcome score by ISOLS was 24.3 (81%) in Korea and 19.8 (73%) in China. There are 25.4% (17/67 cases) of complications in Korea and 31% (27 complications in 22 patients out of total 71 cases) in China after each treatment. Conclusions: The end results of Korea series which was treated with neoadjuvant chemo- and surgical methods are better than that of non-invasive thermal ablation in china. But we also believe the HIFU, as one of, was also effective to decrease the local recurrence and symptomatic releaf for stage II or even in III of osteogenic sarcomas.

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Clinical Analysis of Repeated Heart Valve Replacement (심장판막치환술 후 재치환술에 관한 임상연구)

  • Kim, Hyuck;Nam, Seung-Hyuk;Kang, Jeong-Ho;Kim, Young-Hak;Lee, Chul-Burm;Chon, Soon-Ho;Shinn, Sung-Ho;Chung, Won-Sang
    • Journal of Chest Surgery
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    • v.40 no.12
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    • pp.817-824
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    • 2007
  • Background: There are two choices for heart valve replacement-the use of a tissue valve and the use of a mechanical valve. Using a tissue valve, additional surgery will be problematic due to valve degeneration. If the risk of additional surgery could be reduced, the tissue valve could be more widely used. Therefore, we analyzed the risk factors and mortality of patients undergoing repeated heart valve replacement and primary replacement. Material and Method: We analyzed 25 consecutive patients who underwent repeated heart valve replacement and 158 patients who underwent primary heart valve replacement among 239 patients that underwent heart vale replacement in out hospital from January 1995 to December 2004. Result: There were no differences in age, sex, and preoperative ejection fraction between the repeated valve replacement group of patients and the primary valve replacement group of patients. In the repeated valve replacement group, the previously used artificial valves were 3 mechanical valves and 23 tissue valves. One of these cases had simultaneous replacement of the tricuspid and aortic valve with tissue valves. The mean duration after a previous operation was 92 months for the use of a mechanical valve and 160 months for the use of a tissue valve. The mean cardiopulmonary bypass time and aortic cross clamp time were 152 minutes and 108 minutes, respectively, for the repeated valve replacement group of patients and 130 minutes and 89 minutes, respectively, for the primary valve replacement group of patients. These results were statistically significant. The use of an intra aortic balloon pump (IABP) was required for 2 cases (8%) in the repeated valve replacement group of patients and 6 cases (3.8%) in the primary valve replacement group of patients. An operative death occurred in one case (4%) in the repeated valve replacement group of patients and occurred in nine cases (5.1%) in the primary valve replacement group of patients. Among postoperative complications, the need for mechanical ventilation over 48 hours was different between the two groups. The mean follow up period after surgery was $6.5{\pm}3.2$ years. The 5-year survival of patients in the repeated valve replacement group was 74% and the 5-year survival of patients in the primary valve replacement group was 95%. Conclusion: The risk was slightly increased, but there was little difference in mortality between the repeated and primary heart valve replacement group of patients. Therefore, it is necessary to reconsider the issue of avoiding the use of a tissue valve due to the risk of additional surgery, and it is encouraged to use the tissue valve selectively, which has several advantages over the use of a mechanical valve. In the case of a repeated replacement, however, the mortality rate was high for a patient whose preoperative status was not poor. A proper as sessment of cardiac function and patient status is required after the primary valve replacement. Subsequently, a secondary replacement could then be considered.

Effect of Dietary Energy, Protein on Growth and Blood Composition of Cross Bred Chicks (유색육용계의 성장과 혈액성상에 사료단백질 및 에너지가 미치는 영향)

  • Jeong, Y.D.;Ryu, K.S.
    • Korean Journal of Poultry Science
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    • v.35 no.3
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    • pp.291-302
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    • 2008
  • To acquire essentially necessary basic data to establish feeding system by verifying appropriate dietary energy and protein level for the growth of commercial slow growing broiler chicks within the country, two experiments were conducted for 5 weeks. One day old, 1,404 male and female broiler chicks were used for the experiments, and 26 chicks were placed at each pen. The energy level of feed was maintained about 3,000 or 3,100 kg/kcal for whole breeding period of 5 weeks, and protein content was adjusted about 20, 21, and 22% during the first two weeks and the content was adjusted to 18, 19, 20, 21, and 22% from the 3 to 5 weeks old of the experiment. The categories of body weight and feed intake amount were monitored to calculate the productivity and blood sampling was conducted for the analysis at the end of each experiment. Experiment 1:Although the productivity by the ME content difference during $0{\sim}2$ weeks did not have significant difference and the body weight increase by the difference of CP content and feed intake amount did not have much difference, the feed requirement rate was statistically improved in CP 21 and 22% treatment groups compared to the CP 20% group (P<0.05). The feed ME 3,100 kcal/kg treated group during $3{\sim}5$ weeks after starting the experiment revealed to show improved feed requirement rate (P<0.05). Within the period of experiment, the CP 22% treated group resulted to show significant body weight increase compared to the groups treated with low levels of CP (P<0.05) and the feed requirement rate was improved in high CP treated group compared to low CP treated groups, but the feed intake amount did not show significant difference between treated groups. During the experiment period, the body weight increase and feed requirement rate revealed to interact between ME and CP (P<0.05). During the whole experiment period of the 5 weeks, the feed requirement rate was improved in ME 3,100 kcal/kg treated group than the groups treated with ME 3,000 kcal/kg, and the CP (20) 18% treatment groups resulted to show higher values than other treatment groups (P<0.05). Body weight increase was high in CP (22) 22% treated groups than those of CP (21) 21% and (20) 18% treated groups, and the interaction between ME and CP was found at body weight increase and feed requirement rate (P<0.05). Although blood albumin and total cholesterol levels were elevated in ME 3,100 kcal/kg treated group than ME 3,000 kcal/kg treated group, but neutral fat content was reduced (P<0.05). On the other hand, the total cholesterol content was increased in CP (22) 21% treated group than CP (22) 20% and CP (20) 18% treated groups (P<0.05). Experiment 2: The body weight increase in 0-2 weeks was higher in ME 3,100 kcal/kg treated group than ME 3,000 kcal/kg treated group, and it was highly improved in CP 22% treated group than CP 20% treated group by showing the interaction between CP and ME (P<0.05). The significant improvement of feed requirement rate was observed in CP 21% and 22% treated groups compared to CP 20% treated group (P<0.05). The productivity between the growth period from 3 to 5 weeks of age and whole growth period resulted to show no significant difference. Although no difference was observed in blood composition between treated groups, the interaction of ME and CP on cholesterol content was accepted at the range of P<0.05). Therefore, it is considered that the appropriate dietary protein level within feed for the physiology of growing broiler chicks was 22% or more for the first two weeks and protein level of 21% or 20% from 3 to 5 weeks old for the maximization of productivity. Even if the energy level within feed had some partial effects on the productivity, but did not show consistency. So, further experiments needto be conducted by differentiating the energy level.

A Statistical model to Predict soil Temperature by Combining the Yearly Oscillation Fourier Expansion and Meteorological Factors (연주기(年週期) Fourier 함수(函數)와 기상요소(氣象要素)에 의(依)한 지온예측(地溫豫測) 통계(統計) 모형(模型))

  • Jung, Yeong-Sang;Lee, Byun-Woo;Kim, Byung-Chang;Lee, Yang-Soo;Um, Ki-Tae
    • Korean Journal of Soil Science and Fertilizer
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    • v.23 no.2
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    • pp.87-93
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    • 1990
  • A statistical model to predict soil temperature from the ambient meteorological factors including mean, maximum and minimum air temperatures, precipitation, wind speed and snow depth combined with Fourier time series expansion was developed with the data measured at the Suwon Meteorolical Service from 1979 to 1988. The stepwise elimination technique was used for statistical analysis. For the yearly oscillation model for soil temperature with 8 terms of Fourier expansion, the mean square error was decreased with soil depth showing 2.30 for the surface temperature, and 1.34-0.42 for 5 to 500-cm soil temperatures. The $r^2$ ranged from 0.913 to 0.988. The number of lag days of air temperature by remainder analysis was 0 day for the soil surface temperature, -1 day for 5 to 30-cm soil temperature, and -2 days for 50-cm soil temperature. The number of lag days for precipitaion, snow depth and wind speed was -1 day for the 0 to 10-cm soil temperatures, and -2 to -3 days for the 30 to 50-cm soil teperatures. For the statistical soil temperature prediction model combined with the yearly oscillation terms and meteorological factors as remainder terms considering the lag days obtained above, the mean square error was 1.64 for the soil surfac temperature, and ranged 1.34-0.42 for 5 to 500cm soil temperatures. The model test with 1978 data independent to model development resulted in good agreement with $r^2$ ranged 0.976 to 0.996. The magnitudes of coeffcicients implied that the soil depth where daily meteorological variables night affect soil temperature was 30 to 50 cm. In the models, solar radiation was not included as a independent variable ; however, in a seperated analysis on relationship between the difference(${\Delta}Tmxs$) of the maximum soil temperature and the maximum air temperature and solar radiation(Rs ; $J\;m^{-2}$) under a corn canopy showed linear relationship as $${\Delta}Tmxs=0.902+1.924{\times}10^{-3}$$ Rs for leaf area index lower than 2 $${\Delta}Tmxs=0.274+8.881{\times}10^{-4}$$ Rs for leaf area index higher than 2.

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Effects of Activation Treatments and Culture Condition on In Vitro Development of Caprine In Vivo and In Vitro Oocytes (재래산양의 체내 및 체외유래 난자의 활성화 처리방법 및 배양조건이 단위발생란의 체외발달에 미치는 영향)

  • Park H. S.;Kim T. S.;Lee Y. H.;Jung S. Y.;Lee M. Y.;Jin J. I.;Park J. K.;Lee J. S.;Kim C. H.
    • Reproductive and Developmental Biology
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    • v.28 no.3
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    • pp.181-185
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    • 2004
  • This study was conducted to examine whether activation treatments, source of oocytes and culture conditions affect in vitro developmental ability of caprine oocytes. Mature Korean native goats were pretreated with intravaginal CIDR for 10 days. The goats were then treated with a single intramuscular injection of 1,000 IU PMSG on Day 8 or twice daily injection of a total of 70 mg FSH for 3 days from Day 8 of CIDR insertion for superovulation. All the goats were injected with 10 mg PGF/sub 2a/ on Day 8 and 400 IU hCG on Day 10 of CIDR. Oocytes were surgically collected by oviduct flushing(in vivo maturation) or direct follicle aspiration(in vitro maturation) through mid-ventral incision at 35 h after hCG injection. Fifteen to twenty oocytes were placed in TCM-199 medium containing 25 mM Hepes and hormones under mineral oil at 39℃ in a humudified atmosphere of 5% CO₂ in air for 22 to 24 h. After maturation, the oocytes were activated by electric stimulation or ionomycin + 6-DMAP. The activated oocytes were then cultured in M16, TCM-199 and mSOF media supplemented with proteins at 39℃ for 6 to 7 days. Activation treatments did not affect cleavage of the oocytes. The cleavage rates were 64.1% (41/64) in oocytes activated by electric stimulation and 76.5% (218/285) in oocytes activated by ionomycin + 6-DMAP. The proportion of development to blastocyst was 15.6% (34/218) in oocytes activated by ionomycin + 6-DMAP, but activation by electric stimulation did not support embryos developed beyond morula stage. There were no differences in the cleavage rates of activated oocytes experiencing in vivo (86.8%, 66/76) and in vitro maturation (69.0%, 127/184). However, the development rate to blastocyst stage was significantly (P<0.05) higher for oocytes matured in vivo (50.0%, 33/66) compared to in vitro (0.8%, 1/127). Culture conditions did not affect the cleavage of -activated oocytes. The cleavage rates were 51.6% (49/95) in M16, 64.3% (18/28) in TCM-199 and 81.0% (145/179) in mSOF, respectively. By contrast, the development rate of activated oocytes to stage was greater (P<0.05) for oocytes cultured in mSOF medium (23.4%, 34/145) than in M16 or TCM-199 (0.0%). Our results suggest that source of oocytes and culture conditions are major factors affecting in vitro development of caprine parthenogenetic oocytes.

The evaluation of the feasibility about prostate SBRT by analyzing interfraction errors of internal organs (분할치료간(Interfraction) 내부 장기 움직임 오류 분석을 통한 전립선암의 전신정위적방사선치료(SBRT) 가능성 평가)

  • Hong, soon gi;Son, sang joon;Moon, joon gi;Kim, bo kyum;Lee, je hee
    • The Journal of Korean Society for Radiation Therapy
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    • v.28 no.2
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    • pp.179-186
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    • 2016
  • Purpose : To figure out if the treatment plan for rectum, bladder and prostate that have a lot of interfraction errors satisfies dosimetric limits without adaptive plan by analyzing MR image. Materials and Methods : This study was based on 5 prostate cancer patients who had IMRT(total dose: 70Gy) Using ViewRay MRIdian System(ViewRay, ViewRay Inc., Cleveland, OH, USA) The treatment plans were made on the same CT images to compare with the plan quality according to adaptive plan, and the Eclipse(Ver 10.0.42, Varian, USA) was used. After registrate the 5 treatment MR images to the CT images for treatment plan to analyze the interfraction changes of organ, we measured the dose volume histogram and the changes of the absolute volume for each organ by appling the first treatment plan to each image. Over 5 fractions, the total dose for PTV was $V_{36.25}$ Gy $${\geq_-}$$ 95%. To confirm that the prescription dose satisfies the SBRT dose limit for prostate, we measured $V_{100%}$, $V_{95%}$, $V_{90%}$ for CTV and $V_{100%}$, $V_{90%}$, $V_{80%}$ $V_{50%}$ of rectum and bladder. Results : All dose average value of CTV, rectum and bladder satisfied dose limit, but there was a case that exceeded dose limit more than one after analyzing the each image of treatment. After measuring the changes of absolute volume comparing the MR image of the first treatment plan with the one of the interfraction treatment, the difference values were maximum 1.72 times at rectum and maximum 2.0 times at bladder. In case of rectum, the expected values were planned under the dose limit, on average, $V_{100%}=0.32%$, $V_{90%}=3.33%$, $V_{80%}=7.71%$, $V_{50%}=23.55%$ in the first treatment plan. In case of rectum, the average of absolute volume in first plan was 117.9 cc. However, the average of really treated volume was 79.2 cc. In case of CTV, the 100% prescription dose area didn't satisfy even though the margin for PTV was 5 mm because of the variation of rectal and bladder volume. Conclusion : There was no case that the value from average of five fractions is over the dosimetric limits. However, dosimetric errors of rectum and bladder in each fraction was significant. Therefore, the precise delivery is needed in case of prostate SBRT. The real-time tracking and adaptive plan is necessary to meet the precision delivery.

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Clinical Results after Repair of Rotator Cuff Tear in Patients with Accompanying AC Joint Pathology: Clinical Comparison of Non-operative Treatment (회전근개 파열과 동반된 견봉 쇄골 관절 병변이 회전근개 봉합술 후 결과에 미치는 영향: 비수술적 치료를 통한 임상적 비교)

  • Yoo, Moon-Jib;Seo, Joong-Bae;Lee, Dae-Hee;Kim, Sung-Jin
    • Clinics in Shoulder and Elbow
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    • v.15 no.2
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    • pp.86-90
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    • 2012
  • Purpose: We studied the need for distal clavicle resection by comparing rotator cuff tear patients who underwent non-surgical treatment with and without acromioclavicular joint pathology. Materials and Methods: 45 cases that had been under follow up care for at least 9 months after receiving rotator cuff repair in our hospital between Jan. 2005 and Jun. 2011 had been studied. Acromioclavicular joint pathology group and control group were classified by physical examination and MRI findings. The temporal changes in shoulder joint abduction, internal and external rotation strength, ASES and KSS score of the two groups were measured and analyzed. Results: The acromioclavicular joint pathology complicated rotator cuff injury group's strength measurements for abduction, internal rotation, external rotation were each 8.05 (${\pm}4.54$), 11.33 (${\pm}6.05$), 10.24 (${\pm}5.27$) preoperatively and improved to 13.26 (${\pm}5.50$), 17.51 (${\pm}6.80$), 15.60 (${\pm}5.37$) post operatively while the KSS score and ASES score were each 49.07 (${\pm}15.28$) and 48.65 (${\pm}13.27$) preoperatively, improving to 84.48 (${\pm}10.96$) and 84.65. (${\pm}9.86$). The measurements for the group without complicating acromioclavicular pathology are as follows. The strength for abduction, internal rotation, external rotation was each 6.42 (${\pm}3.11$), 7.59 (${\pm}4.81$) and 7.93 (${\pm}4.49$) preoperatively, improving to 15.85 (${\pm}7.35$), 19.18 (${\pm}9.14$), 16.95 (${\pm}5.70$) post operatively, while the KSS score and ASES score each went from 42.12 (${\pm}6.43$) and 41.37 (${\pm}7.42$) to 83.44 (${\pm}6.30$) and 83.17 (${\pm}7.01$) respectively. The measurements for the two groups, however, did not show a statistically significant difference (p>0.05). Conclusion: Analysis of the rotator cuff injury groups with and without AC joint pathology showed that both groups had improved strength, ASES and KSS scores with no statistical difference difference among the groups. As such, it thought that conservative treatment is an acceptable alternative to distal clavicle resection.

Current feeding practices and maternal nutritional knowledge on complementary feeding in Korea (이유기 보충식 현황과 어머니 인식 조사)

  • Yom, Hye Won;Seo, Jeong Wan;Park, Hyesook;Choi, Kwang Hae;Chang, Ju Young;Ryoo, Eell;Yang, Hye Ran;Kim, Jae Young;Seo, Ji Hyun;Kim, Yong Joo;Moon, Kyung Rye;Kang, Ki Soo;Park, Kie Young;Lee, Seong Soo;Shim, Jeong Ok
    • Clinical and Experimental Pediatrics
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    • v.52 no.10
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    • pp.1090-1102
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    • 2009
  • Purpose:To evaluate current feeding practices and maternal nutritional knowledge on complementary feeding. Methods:Mothers of babies aged 9-15 months who visited pediatric clinics of 14 general hospitals between September and December 2008 were asked to fill questionnaires. Data from 1,078 questionnaires were analyzed. Results:Complementary food was introduced at 4-7 months in 89% of babies. Home-made rice gruel was the first complementary food in 93% cases. Spoons were used for initial feeding in 97% cases. At 6-7 months, <50% of babies were fed meat (beef, 43%). Less than 12-month-old babies were fed salty foods such as salted laver (35%) or bean-paste soup (51%) and cow's milk (11%). The following were the maternal sources of information on complementary feeding: books/magazines (58%), friends (30%), internet web sites (29%), relatives (14%), and hospitals (4%). Compared to the 1993 survey, the incidence of complementary food introduction before 4 months (0.4% vs. 21%) and initial use of commercial food (7% vs. 39%) had decreased. Moreover, spoons were increasingly used for initial feeding (97% vs. 57%). The average maternal nutritional knowledge score was 7.5/10. Less percentage of mothers agreed with the following suggestions: bottle formula weaning before 15-18 months (68%), no commercial baby drinks as complementary food (67%), considering formula (or cow's milk) better than soy milk (65%), and feeding minced meat from 6-7 months (57%). Conclusion:Complementary feeding practices have considerably improved since the last decade. Pediatricians should advise timely introduction of appropriate complementary foods and monitor diverse information sources on complementary feeding.

PROPAGATION OF THE BLUE CRAB, PORTUNUS TRITUBERCULATUS (MIERS) (꽃게 Portunus trituberculatus (MIERS)의 종묘 생산에 관한 연구)

  • PYEN Choong-Kyu
    • Korean Journal of Fisheries and Aquatic Sciences
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    • v.3 no.3
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    • pp.187-198
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    • 1970
  • The author succeeded in rearing the young blue crab from the first stage of zoe ato the true crab shape, and during this time he observed their growth and metamorphosis. The relationships between the number of eggs carried by female crabs (E) and the carapace width (C) and body weight (W) are shown as follows: E= 27.9049C-281.8155, E=0.5682 W-116.4606. There are five zoeal stages and a megalopa in the complete larval development of the blue crab. Water temperature in rearing aquaria ranged from 21.4 to $25.2^{\circ}C$. The duration of each zoeal stage was two days on the average. After the fifth moulting, the zoea becomes megalopa and 5 to 6 days later the megalopa moults and develops into the first stage of adult crab shape. The carapace width of megalopa measured about 1.70 mm and the carapace length, from the tip of the rostrum to the posterior dorsal margin of the carapace, was about 2.78 mm on the average. The carapace width and length of the first crab, 18 days after hatching, measured about 4.48 mm and 2.62 mm respectively. After two days, the first crab moulted and grew into the second crab with about 6.47 mm in carapace width and 4.66 mm in carapace length. The larval rearing in the outdoor tank shelved better results than in the indoor aquarium. The highest mortality occurred when the first stage of zoea moulted into the second stage. Percentage of crabs which survived, from the first crab to the ninth crab stages, was about $55\%$. The relationships between rearing days (D) and the carapace width (C), carapace length (L) and body weight (W) of the crab stages during 40 days of rearing are shown as follows. Carapace width, Indoor: C=1.1250D+1.7227 Outdoor C=1.3465D -0.2449 Carapace length, Indoor: L=0.6654D+1.6712 Outdoor: L=0.7893D+0.6919 Body Weight, Outdoor: $$W=1.15e^{0.12423D}$$ Indoor: $$W=6.759\times10^{-2}D^{1.2598}$$ (9-19 day old crabs) Outdoor: $$W=4.136\times10^{-2}D^{1.6024}$$ (21-40 day old crabs) During the crab stage, the following relationships between the number of moulting times and the carapace width (C), carapace length (L) and body weight (W) were found as follows: $$C=5.2e^{0.28119N}$$ $$L=3.65e^{0.26372N}$$ $$W= 0.14e^{0.7037N}$$ The relationships between the carapace length (L) and the carapace width (C) and body weight (W) of the crab stages are shown as follows: Carapace length, mm Formula 2.62-27.17 L=1.6864C-1.0387 7.47-18.53 $$W=9.367\times10^{-5}C^{3.5567}$$ 22.11-27.17 $$W=3.406\times10^{-5}C{3.8571}$$

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Performance Improvement on Short Volatility Strategy with Asymmetric Spillover Effect and SVM (비대칭적 전이효과와 SVM을 이용한 변동성 매도전략의 수익성 개선)

  • Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.26 no.1
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    • pp.119-133
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    • 2020
  • Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.