• The Journal of the Acoustical Society of Korea
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• v.22 no.3
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• pp.242-249
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• 2003

When special voice control application services (VCS) such as voice-controlled web browsing or voice-controlled stock transactions are introduced in cellular systems, a channel quality better than that for ordinary voice communications service (OVS) is necessary in order to keep a suitable grade of VCS. To avoid ai. congestion, calls are normally admitted if there exists a channel-processing resource not occupied by other calls in the base as well as the interference level at the receiver is not higher than a predefined threshold. The threshold is usually 10㏈ noise-rise over the background noise level for voice communications service. When the base admits VCS attempts in exactly the same manner as it handles OVS calls. the same fraction of those will be not successful in taking the channel and then blocked. If the same noise-rise threshold is used as 10 ㏈, however, the admitted VCS calls might suffer from bad channel qualify and finally be dropped. From the user's point of view, the forced termination of ongoing calls is significantly undesirable than blocking new call attempts. When using a lower noise-rise threshold for VCS. on the other hand, the blocking probability of VCS gets higher than that of OVS. In this paper, a call admission policy that gives a priority to VCS is considered in order to reduce the blocking probability and keep an adequate channel quality.

• The Journal of Society for e-Business Studies
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• v.8 no.4
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• pp.69-88
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• 2003

In high dimensional data, most of clustering algorithms tend to degrade the performance rapidly because of nature of sparsity and amount of noise. Recently, partial dimensional clustering algorithms have been studied, which have good performance in clustering. These algorithms select the dimensional data closely related to clustering but discard the dimensional data which are not directly related to clustering in entire dimensional data. However, the traditional algorithms have some problems. At first, the algorithms employ grid based techniques but the large amount of grids make worse the performance of algorithm in terms of computational time and memory space. Secondly, the algorithms explore dimensions related to clustering using k-medoid but it is very difficult to determine the best quality of k-medoids in large amount of high dimensional data. In this paper, we propose an efficient partial dimensional clustering algorithm which is called CLIP. CLIP explores dense regions for cluster on a certain dimension. Then, the algorithm probes dense regions on a next dimension. dependent on the dense regions of the explored dimension using incremental projection. CLIP repeats these probing work in all dimensions. Clustering by Incremental projection can prune the search space largely and reduce the computational time considerably. We evaluate the performance(efficiency, effectiveness and accuracy, etc.) of the proposed algorithm compared with other algorithms using common synthetic data.

• 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.