• Journal of Intelligence and Information Systems
• /
• v.26 no.1
• /
• pp.119-133
• /
• 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%.

• Geotechnical Engineering
• /
• v.1 no.2
• /
• pp.27-40
• /
• 1985

This study aims at the development of computer Program for the deformation analysis of soft clay layers, and using this computer program, study the constraint effect of deformation- heaving, lateral displacement-of the soft clay layers reinforced with sheet pile at the tip of banking or improvement of soft clay layer up to hard strata, under intact state (natural) and the state of vertical drain respectively. For this study, Biot's consolidation theories and modified Cam-clay theory for constitutive equation for FEMI were selected and coupled governing equation, and christian-Boehmer's technique was applied to solve the coupled relationship. The following results are obtained. 1. Sheet pile or improvement of soft clay layer to the hard strata work well against the settlement of neighboring ground. B. In view of restriction of heaving or lateral displacement, sheet pile is not supposed to be of use. 3. Sheet pile is of effect only when vertical drain is constructed for acceleration of consolidation and load increases gradually. B. The larger the rigidity of improvement of layer to hard strata is, the less settlement occurs.

• Journal of architectural history
• /
• v.16 no.5
• /
• pp.21-40
• /
• 2007

Choryang-weagwan which was the largest international trading place between Joseon Dynasty and Tokugawa Shogunate had been maintained from 1678 through 1872 in Busan. Particularly, they had 21 times repairing constructions for 200 years since its establishment. It is noticeable that Joseon Dynasty permitted Tokukawa Shogunate to construct main pavilions and guesthouses as his style due to the good-neighbor policy between two countries, and Tokukawa Shogunate struggled to achieve his own culture in that place under the supervision of Joseon Dynasty. For satisfying his needs, the architectural craftsmen of Tokukawa Shogunate were mobilized by the chief of construction company which was called kumi-gasira in the most of cases. When they came to Busan for the construction, they brought their own architectural tools. On the one hand, the carpenters and workers of Joseon Dynasty were organized by the traditional construction superintendents which were called Gamdong-gwan and they had to carry out their responsibilities with Japanese technicians at the same workplace. Judging from this fact, the construction site of Weagwan was the good place for exchanging the architectural technology between two countries. This study especially focuses on Tokukawa Shogunate craftsmen who made the repairs of Dongwan-samdaechung in 1727 such as carpenters(Dai-ku), sawyers(ko-biki), and surveyors(Tsue-tsuki) and their tools such as Hatsuri(=Masakari) and Yo-ki(=Oh-no). The constructions in this period, there were not only the repairs of 3 major pavilions including the trading center, but also one of the most active repairing constructions comparing with other period, therefor these were important constructions to shows us repairing construction of Choryang-weagwan of those days.

• Journal of the Korean Data and Information Science Society
• /
• v.22 no.1
• /
• pp.37-47
• /
• 2011

Stock price index option market has various investment strategies that have been developed. Specially, arbitrage strategies are very important to be efficient in option market. The purpose of this study is to improve profit using rough set and Box spread by using past option trading data. Option trading data was based on an actual stock exchange market tick data ranging from 2001 to 2006. Validation process was carried out by transferring the tick data into one-minute intervals. Box spread arbitrage strategies is low risk but low profit. It can be accomplished by back-testing of the existing strategy of the past data and by using rough set, which limit the time line of dealing. This study can make more stable profits with lower risk if control the strategy that can produces a higher profit module compared to that of the same level of risk.

• Journal of the Korean Data and Information Science Society
• /
• v.20 no.6
• /
• pp.1049-1060
• /
• 2009

The expansion of volatility in Korean Stock Market made it more difficult for the individual to invest directly and increased the weight of indirect investment through a fund. The purpose of this study is to construct the EIF(enhanced index fund) model achieves an excessive return among several types of fund. For this purpose, this paper propose portfolio optimization model to manage an index fund by using GA(genetic algorithm), and apply the trading amount and the closing price of standard index to earn an excessive return add to index fund return. The result of the empirical analysis of this study suggested that the proposed model is well represented the trend of KOSPI 200 and the new investment strategies using this can make higher returns than Buy-and-Hold strategy by an index fund, if an appropriate number of stocks included.

• Journal of the Korean Society of Food Culture
• /
• v.27 no.6
• /
• pp.588-597
• /
• 2012

This study was to examine Kwa-Jung-ryu, a traditional Korean confectionery, made by head families. We examined the materials and recipes of Kwa-Jung-ryu, which were classified into Yumilgwa, Yugwa, Jeonggwa, Dasikgwa, Yeot-Gangjeong, Dang (Yeot), and others. There were 13 head families that introduced Kwa-Jung-ryu, two each from Gyeonggi-do, Jeolla-do, and Chuncheong-do, and seven from Gyeongsang-do. There are 33 types of Kwa-Jung-ryu, which averages to about 2.5 types per family. But the Pungsan Ryu, Yeoju Lee, and Andong Kwon families introduced the most Kwa-Jung-ryu with 5 types each. The most popular types of Kwa-Jung-ryu were Yumilgwa, introduced by 7 families (Yakgwa by 6 and Maejakgwa by 1), then Jeonggwa by 6 families (Jeonggwa by 3, Pyeon-gang by 1, and Jeonggwa and Pyeon-gang by 2), and Dasikgwa and other Kwa-Jung-ryu by 5 families (Gotgam-mari by 4 and Seopsansam by 1). Classifying Kwa-Jung-ryu by recipe, the most frequently introduced were 8 types of Jeonggwa-ryu, 7 types of Yumilgwa, 5 types of Dasikgwa, 3 types of Yeot-Gangjeong and Dang (Yeot), and 2 types of Yugwa.

• The Korean Journal of Food And Nutrition
• /
• v.28 no.5
• /
• pp.894-909
• /
• 2015

The purpose of this research aims to reveal how radish kimchi (Jong-ga) differs in Jong-ga recipes and old cookbooks. To accomplish this, old cookbooks ("Soowoonjabbang", "Jusiksiui", "Eumsikbangmunnira", "Siuejunsuh", "Banchandeungsok", and "Buinpilji") were reviewed and 8 Jong-ga recipes (Seogye Park Se-dang from the Bannam Park clan Jong-ga, Myungsukgong from the Changnyeong Jo clan Jong-ga, Nampa Park Jae-gyu from the Milyang Park clan Jong-ga, Geunggudang Kim Joong-jeung from the Gwangsan Kim clan Jong-ga, Dongchundang Song Jun-gil from the Eunjin Song clan Jong-ga, Myeongjae Yun Jung from the Papyung Yun clan Jong-ga, Daeseunggong Ryu Cha-dal from the Munhwa Ryu clan Jong-ga, Inmukjae Son Sung-jeung from the Milseong Son clan Jong-ga) from five areas were reviewed. We classified the radish kimchi into five categories, radish kimchi, Dongchimi, kkakdugi, Seokbakji and Nabak kimchi and other kimchi. According to old cookbooks, most kimchi was made with radish, cabbage, cucumber, pear, yuju, fish meat, and salt. Modern Jong-ga is made of seasoned radish, sticky rice paste, seafood, sugar, powdered pepper, fish sauce and salt. This study helps to understand notable clans' cultures via their recipes for kimchi.

• Microbiology and Biotechnology Letters
• /
• v.6 no.2
• /
• pp.65-73
• /
• 1978

Naringinase extracted from the culture media of Aspergillus nidulans was purified, and the activity was proved to be stronger by 781 fold in the part of precipitation with ammonium sulfate, and column chromatography using DEAE-Sephadex A-25 and Sephadex G-100. Two fractions which had the same enzyme activity were isolated by the purification. Both fractions showed the highest enzymes activity under the reaction conditions of pH 5.0 and 40$^{\circ}C$. Molecular weight of fraction I and fraction II were estimated as 78,000 and 26,000 respectively. This indicated that fraction I would be trimer of fraction II. The enzyme was inhibited by glucose and rhammose, and the Km value was calculated to be 2.3${\times}$ 10$\^$-6/ g/ml.

• Journal of Korea Multimedia Society
• /
• v.3 no.3
• /
• pp.263-271
• /
• 2000

In this paper, an acoustic echo canceller(AEC) is implemented by ADSP-2181. This AEC uses a noise robust adaptive algorithm and a postprocessing method which attenuates residual echo using cross-correlation between estimated error signal and microphone input signal. We propose new postprocessing method that uses two thresholds to prevent signal distortion after postprocessing and to improve the performance of AEC without extra computational burden. Through experiments using a 16 bit fixed-point DSP board (ADSP-2181 EZ-KIT Lite board), it is shown that the noise robust adaptive algorithm performs well in the double-talk situations and the convergence speed is comparable to NLMS. Using the postprocessor, ERLE is improved about 20 dB. As a result, the AEC with a postprocessor shows better performance than conventional ones.

• Applied Microscopy
• /
• v.30 no.1
• /
• pp.81-87
• /
• 2000

This study has been carried out to understand histochemical and ultrastructural changes by acupuncture stimulation at the acupoint of the Zusanli (St. 36) in the rat. A lot of mast cells are observed in the peripheral of the hole with a sparrow-pecking and twistin -needle manipulation to the acupoint Zusanli for induction of 'Qi'. These cells contained a lot of granules with varied electron density and exocytosis granules were observed near the mast cell. H-bands of the muscle fiber that situated near the hole were shortened. It is assumed that these muscles are contracted by acupuncture stimulation. These results imply that functional relationship between mast cells in the dermis and Qi-sensation induced by acupuncture plays an important role on the specific receptor response to the mechanical stimulation.