• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.251-260
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• 2017

The option pricing of Black와 Scholes (1973) and Merton (1973) has been widely reported to fail to reflect the time varying volatility of financial time series in many real applications. For example, Duan (1995) proposed GARCH option pricing method through Monte Carlo simulation. However, financial time series is known to follow a fat-tailed and leptokurtic probability distribution, which is not explained by Duan (1995). In this paper, in order to overcome such defects, we proposed the option pricing method based on GARCH models with normal mixture errors. According to the analysis of KOSPI200 option price data, the option pricing based on GARCH models with normal mixture errors outperformed the option pricing based on GARCH models with normal errors in the unstable period with high volatility.

• Management & Information Systems Review
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• v.30 no.4
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• pp.175-193
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• 2011

This paper tests a correlation between degrees of operating leverage(DOL) and financial leverage(DFL). For an empirical analysis, this paper extracted information from financial statements of manufacturing companies listed in the Korea Stock Exchange. Data extend from 1990 to 2009. The DOL continued to increase until 1997, but decreased dramatically after the IMF financial crisis. However, the DOL has been at a higher level than companies of other countries such as USA and Japan. The DFL has been maintained at a much higher level, as expected. The empirical results indicate a positive correlation between the DOL and the DFL. To further investigate, we divide the whole sample into subgroups according to such management elements as asset size, IMF crisis. The results for sub-samples are different from those of whole sample. This indicates we need to incorporate specific managerial factors in order to correctly explain financial decision processes.

• Journal of the Korean Institute of Intelligent Systems
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• v.14 no.1
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• pp.52-56
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• 2004

The Information of classification and estimate about KOSPI200 index`s up and down in the stock market becomes an important standard of decision-making in designing portofolio in futures and option market. Because the coming trend of time series patterns, an economic indicator, is very subordinate to the most recent economic pattern, it is necessary to study the recent patterns most preferentially. This paper compares classification and estimated performance of SVM(Support Vector Machine) and Fuzzy SVM model that are getting into the spotlight in time series analyses, neural net models and various fields. Specially, it proves that Fuzzy SVM is superior by presenting the most suitable dimension to fuzzy membership function that has time series attribute in accordance with learning Data Base.

• Journal of the Korean Data and Information Science Society
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• v.23 no.2
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• pp.271-283
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• 2012

In this paper, we predicted the rise or the fall in eleven major industrial stock price indices unlike existing studies dealing with the prediction of KOSPI that combines all industries. We used as input variables not only domestic economic indices but also foreign economic indices including the U.S.A, Japan, China and Europe that have affected korean stock market. Numerical analysis through SAS E-miner showed above or below about 60% accuracy using the logistic regression and neural network model.

• Journal of the Korean Data and Information Science Society
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• v.28 no.4
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• pp.819-829
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• 2017

The aim of this study is to analyze intraday price momentum. When price trends are formed, price momentum is the phenomenon that future prices tend to follow the trend. When the market opened and closed, a U-shaped trading volume pattern in which the trading volume was concentrated was observed. In this paper, we defined price momentum as the 10 minute trend after market opening is maintained until the end of market. The strategy is to determine buying and selling in accordance with the price change in the initial 10 minutes and liquidating at closing price. In this study, the strategy was empirically analyzed by using minute data, and it showed effectiveness, indicating the presence of an intraday price momentum. A pattern in which returns are increasing at an early stage is called a J-shaped pattern. If the J-shaped pattern occurs, we have found that the price momentum phenomenon tends to be stronger than otherwise. The DTW algorithm, which is well known in the field of pattern recognition, was used for J-shaped pattern recognition and the algorithm was effective in predicting intraday price movements. This study showed that intraday price momentum exists in the KOSPI200 futures market.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.270-270
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• 2015

소수력은 물이 가지는 위치 에너지나 운동 에너지를 동력으로서 이용하는 것 또는 그렇게 얻을 수 있는 에너지로 소수력발전에 의해 생산되는 에너지는 부존자원이 풍부하여 다른 신재생에너지에 비해 높은 잠재력을 가지고 있어 개발가치가 충분한 부존자원이다. 또한, 친환경적인 청정에너지 중 하나로 대체 에너지원에 비해 높은 에너지를 가지고 있어 개발가치가 큰 부존자원으로 평가되고 있으며, 초기투자비에 비해 유지관리비용이 낮은 편이다. 이러한 개발가치가 있는 잠재 소수력 에너지를 알아보기 위해 한강권역의 표준유역인 안양천을 대상으로 산정해 보았다. 안양천의 잠재 소수력 에너지 산정을 위해 2004년 1월 1일부터 2013년 12월 31일까지의 구로 강우관측소의 일강우자료와 신정수문관측소의 일수위자료 및 유량자료를 수집하였으며, 하상정보를 파악하였다. 낙차는 수차발전기를 회전시켜 전기를 생산하여 상용발전이 가능하며 소수력 발전을 최대치로 생산할 수 있는 조건의 낙차인 2m로 선정하여 소수력 산정공식에 적용하였다. 이에 본 연구에서는 여름인 7월에 1,421.1Kw로 최대값으로 나타났으며, 겨울인 12월에 최소값인 141.9Kw로 나타나 안양천에는 월간 최소 100Kw이상의 전력을 생산할 수 있는 잠재 소수력 에너지를 보유하고 있는 것으로 판단된다. 추후, 국토교통부와의 협력을 통해 관측되는 수문자료(강우, 수위, 유량)를 실시간으로 제공받아 일단위, 월단위, 년단위, 계절단위의 잠재 소수력 에너지를 실시간으로 산정할 수 있는 환경을 구축하여 지속적으로 잠재 소수력 에너지를 평가하고 재생에너지 확보를 통해 추구할 수 있는 경제적 이익 또한 분석되어야 할 것으로 판단된다.

• Journal of Convergence for Information Technology
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• v.11 no.12
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• pp.30-38
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• 2021

In this paper, we propose a method for extracting thermal data from thermal image and improving detection of heating equipment using the data. The main goal is to read the data in bytes from the thermal image file to extract the thermal data and the real image, and to apply the composite image obtained by synthesizing the image and data to the deep learning model to improve the detection accuracy of the heating facility. Data of KHNP was used for evaluation data, and Faster-RCNN is used as a learning model to compare and evaluate deep learning detection performance according to each data group. The proposed method improved on average by 0.17 compared to the existing method in average precision evaluation.As a result, this study attempted to combine national data-based thermal image data and deep learning detection to improve effective data utilization.

• Journal of Advanced Navigation Technology
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• v.22 no.6
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• pp.514-521
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• 2018

COSPAS-SARSAT 406 MHz emergency beacons include ELTs for aviation, EPIRBs for maritime, and PLBs for individuals in distress. They are used to sending messages encoded on 406 MHzdistress frequency and sending alertsfor search and rescue in distress. C/S T.001 and T.018 are COSPAS-SARSAT technical documents. They include basic technical information needed for developing beacons, howmessages are constructed, and test methods for type approval. COSPAS-SARSAT systems that use existing low earth orbit (LEO) and geostationary earth orbit (GEO) satellites do not have a return link service (RLS). So, the survivors could not confirm whether the distress signal was sending or not. However, a new medium earth orbit (MEO)satellite system has been added to thissystem, allowing confirmation through the RLS function. This paper analyzed C/S T.001 and T.018 needed to develop navigation structuresthat incorporated improved PLB of 406 MHz, a homing signal generator of 121.5 MHz, and a VHF AM transmitter for aviation of 243 MHz.

• Korean Journal of Construction Engineering and Management
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• v.20 no.5
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• pp.3-11
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• 2019

This study is designed to examine the stock price of construction firms which are affected by the deregulation of new apartment sales price. As empirical methodology, it uses the traditional event study analysis to test the influence of the deregulation of new apartment sales price and the regression analysis to test which variables are related. The results of this study are summarized as follows : First, the cumulative abnormal return of stock is positive when government announced the deregulation of new apartment sales price. The cumulative abnormal return of stock for 21 trading day before -10 to +10 day is 25.51% which is significant different from zero at 1 percent level. This result suggests that the deregulation of new apartment sales price conveys good information to stock market that the firms performance will be good in the future. Second, in the regression analysis this study shows that the cumulative abnormal return of stock is related to firm's profit margin ratio.

• Ecology and Resilient Infrastructure
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• v.6 no.2
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• pp.120-127
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• 2019

Medium-scale levee experiments were performed to monitor the infiltration and failure of levee body by applying fiber optic temperature sensing. In this study, bio-polymer soil was spread in the levee slope to increase the strength and intensity. Therefore, the infiltration and failure by overflows were produced in a different way compared to general soil type of levees. This was also observed in the experiment data for temperature changes monitored by fiber-optic distributed temperature sensing system. Through the analysis of temperature changes at specific location by time, the location and initiation time for physical changes and infiltration in levee body could be identified based on temperature variation. In this experiment, the time of rapid changes in temperature was ahead in the inland slope rather than the forceland slope. It was corresponding to the levee failure sequence of first inland slope failure and then the forceland slope failure.