• 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.

• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.217-224
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• 2003

The volatility in the financial data is usually measured by conditional variance. Two main streams for gauging conditional variance are stochastic volatility (SV) model and autoregressive type approach (GARCH). This article is conducting comparative study between SV and GARCH through the Korean Stock Prices Index (KOSPI) data. It is seen that SV model is slightly better than GARCH(1,1) in analyzing KOSPI data.

• Journal of Labour Economics
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• v.35 no.3
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• pp.1-28
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• 2012

We measure a worker's analyzability by how correctly he grasps its causes when a problem occurs, comprehensiveness by how much he understand the overall process of his firm, and flexibility by how frequently unusual situations occur at his job. After controling firm-specific fixed of fandom effects, his age, tenure, position, and rank, the characteristics increase a worker's wage. A worker who grasps correctly the causes of problem is paid more by 5.2% than a worker who scarcely does. A worker who understands the overall process of his firm is paid more by 2.52% than a worker who understands roughly the process of his team or department. A worker whose job is mew one by one is paid more by 2.98% than a worker whose job is routine and repetitive.

• Proceedings of the Korea Water Resources Association Conference
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• 2012.05a
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• pp.195-195
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• 2012

인공신경망 모형은 복잡하고 비선형의 입력과 출력 관계를 잘 반영할 수 있어서 유출 모델링에 널리 적용되어 왔다. 그러나 인공신경망 모형은 강우나 유역특성의 공간적 분포를 반영하는 것이 어려우며 물리적 개념이 결여되어 있는 단점이 있다. 본 연구에서는 유역특성과 물리적 개념을 반영할 수 있는 물리기반 모형과 인공신경망 모형의 장점들을 조합하여 물리기반 모형의 일 유출량 해석 능력을 향상하기 위하여 SWAT 모형과 인공신경망(ANN)을 연계하였다. SWAT-ANN 연계모형은 두 단계로 구성되어 진다. 첫 번째 단계에서는 관측 자료를 이용하여 SWAT 모형을 보정한다. 두 번째 단계에서는 첫 번째 단계에서 계산한 소유역별 SWAT 모형의 유출결과를 ANN의 입력자료로 이용하여 SWAT-ANN 연계모형을 구축한다. SCE-UA 최적화 방법을 적용하여 SWAT 모형의 매개변수들을 보정하였고, ANN 학습은 3층의 feed-forward 역전파 알고리즘에 기초한 Bayesian Regularization 방법을 적용하였다. ANN 은닉층의 뉴런 및 전달함수는 시행착오를 통하여 적절한 ANN 구조를 설정하여 SWAT-ANN 연계모형의 일유출량을 모의하였다. 여러 가지 통계적 오차기준을 이용하여 보청천 유역에서 SWAT-ANN 연계모형의 결과와 SWAT 단독 모형의 결과를 비교하였다. SWAT-ANN 연계모형이 SWAT 단독 모형보다 더 우수한 결과를 나타내어 일 유출량 해석을 위한 SWAT-ANN 연계모형의 유용성을 확인할 수 있었다.

• Geophysics and Geophysical Exploration
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• v.18 no.1
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• pp.1-8
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• 2015

To estimate the shear-wave velocity (${\nu}_s$ beneath the OTVZ seismic station on Ngauruhoe volcano in New Zealand, we calculated receiver functions (RFs) using 127 teleseismic data ($Mw{\geq}5.5$) with high signal-to-noise ratios recorded during November 11, 2011 to September 11, 2013. The genetic inversion algorithms was applied to 21 RFs calculated by the iterative time-domain deconvolution method. In the 1-D ${\nu}_s$ model derived by the inversion, the Moho is observed at a 14 km depth, marked by a ${\nu}_s$ transition from 3.7 km/s to 4.7 km/s. The average ${\nu}_s$ of the overlying crust is 3.4 km/s, and the average ${\nu}_s$ of a greater than 9-km thick low-velocity layer (LVL) in the lower crust is 3.1 km/s. The LVL becomes thinner with increasing distance from the station. Another LVL thicker than 10 km with ${\nu}_s$ less than 4.3 km/s is found in the upper mantle. Those LVLs in the lower crust and the upper mantle and the relatively thin crust might be related to the magma activity caused by the subducting Pacific plate.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.43 no.6
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• pp.763-774
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• 2023

The water availability in a river is related to the return flow of residential water. However it is still difficult to determine the exact return flow. In this study, the residential water-cycle system is defined as a process consisting of water inflow, water transfer and water outflow. The study area is Hampyeong-gun, Jeollanam-do, and is set as a single inflow to a single outflow through the water-cycle system after classification of complete and incomplete measurement points. The time-series prediction models(ARIMA model and TFM) are established with daily inflow and outflow data for 6 years. Inflow and outflow are predicted by dividing into training and test periods. As a result, both models show the feasibility of short-term prediction by deriving stable residuals and securing statistical significance, implementing the preliminary form of the water-cycle system. As a further study, it is suggested to predict the actual return flow of the target basin and efficient water operation by adding input factors and selecting the optimal model.

• Korean Journal of Agricultural and Forest Meteorology
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• v.19 no.1
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• pp.27-35
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• 2017

This research was to elucidate the generation method of daily precipitation data from monthly data. We applied a combined method of Markov chain and gamma distribution function using 4 specific parameters of ${\alpha}$, ${\beta}$, p(W/W) and p(W/D) for generation of daily rainfall data using daily precipitation data for the past 30 years which were collected from the country's 23 meteorological offices. Four parameters, applied to use for the combination method, were calculated by maximum likelihood method in location of 23 sites. There are high correlations of 0.99, 0.98 and 0.98 in rainfall days, rainfall probability and mean amount of daily rainfall between measured and simulated data in case of those parameters. In case of using parameters estimated from monthly precipitation, correlation coefficients in rainfall days, rainfall probability and mean amount of daily rainfall are 0.84, 0.83 and 0.96, respectively. We concluded that a combination method with parameter estimation from monthly precipitation data can be applied, in practical purpose such as assessment of climate change in agriculture and water resources, to get daily precipitation data in Korea.

• Journal of the Korean Society of Hazard Mitigation
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• v.10 no.6
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• pp.81-87
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• 2010

In order to calculate the accurate runoff from a basin, nonlinearity in the relationship between rainfall and runoff has to be considered. Many runoff calculation models assume the linearity in the relationship or are too complicated to be analyzed. Therefore, the storage function method has been used in the prediction of flood because of the simplicity of the model. The storage function method has five parameters with related to the basin and rainfall characteristics which can be estimated by the empirical trial and error method. To optimize these parameters, regression method or optimization techniques such as genetic algorithm have been used, however, it is not easy to optimize them because of the complexity of the method. In this study, the metamodel is proposed to estimate those model parameters. The metamodel is the combination of artificial neural network and genetic algorithm. The model is consisted of two stages. In the first stage, an artificial neural network is constructed using the given rainfall-runoff relationship. In the second stage, the parameters of the storage function method are estimated using genetic algorithm and the trained artificial neural network. The proposed metamodel is applied in the Peong Chang River basin and the results are presented.

• Journal of Advanced Marine Engineering and Technology
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• v.40 no.4
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• pp.369-373
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• 2016

Accurate identification of damping matrix in structures is very important for predicting vibration responses and estimating parameters or other characteristics affected by energy dissipation. In this paper, damping matrix identification method that use normal frequency response functions, which were estimated from complex frequency response functions, is proposed. The complex frequency response functions were obtained from the experimental data of the structure. The nonproportional damping matrix was identified through the proposed method. Two numerical examples (lumped-mass model and cantilever beam model) were considered to verify the performance of the proposed method. As a result, the damping matrix of the nonproportional system was accurately identified.

• School Mathematics
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• v.11 no.1
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• pp.111-129
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• 2009

This paper is about didactical transposition, which is to transpose academic knowledge into practical knowledge intended to teach. The research questions are addressed as follows. 1. Are the 13 mathematics textbooks of the 10-Na level indisputable regarding with the didactical transposition, in terms that the order of arrangement and the way of explaining the knowledge of trigonometric functions being analyzed and that its logical construction and students' understandings are considered? 2. Can some transpositions for easier use of didactical manipulative, for more practical and for more principle based be proposed? To answer these questions, this research examined previous studies of mathematics education, specifically the organization of the textbook and the trigonometric functions, and also compared orders of arranging and ways of explaining trigonometric functions from the perspective of didactical transposition of 13 versions of the 10-Na level reorganized under the 7th curriculum. The paper investigated what lacks in the present textbook and sought a teaching guideline of trigonometric functions(especially about sector and graph, period, characters of trigonometric function, and sine rule).