• The Journal of Information Systems
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• v.23 no.1
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• pp.29-52
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• 2014

As the advance of multi-platform and multi-channel online services, brokerages are now offering three representative online trading systems - HTS(Home Trading Systems), WTS(Web Trading Systems), MTS(Mobile Trading Systems). In this study we investigated and compared the impact of different systems on the performance of brokerages. Using the panel data of 29 brokerages of 4 periods, we empirically tested the impact of online trading systems and the commissions of trading services. We found out that there exist some differences between the impacts of online trading systems based on the platforms. HTS was identified as the main platform for online trading services. However the role of MTS was also significantly identified while WTS showed no significant impact on the brokerage performances. Commission also showed significant negative impact in case of HTS and MTS platforms. Finally, offering MTS was identified as the significant dummy variable influencing the performance of brokerages. The results provides some implication for the multi-platform strategy for online services.

• Journal of Korea Society of Digital Industry and Information Management
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• v.9 no.3
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• pp.211-221
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• 2013

This study investigated the effect of service quality and using experience on a royalty in a electronic commerce. Expecially, used HTS (Home Trading System of securities companies)as a online service system. HTS (Home Trading System) is a electronic commerce system of securities companies that is a most progressive tool of it. Almost securities companies are offering these typical trading system, because it is a required factor for a competitive position in their compound market. This paper made hypotheses of five cases, and collected some data through survey questionnaire for an analysis of actual proof. For attaining the object of this research, used a structure equation modeling, and found that almost paths of the research model are supported among the service quality, using experience, involvement and royalty. This study could provide academic and managerial implications in a electronic commerce business.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2008.10a
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• pp.510-513
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• 2008

As number of cyber traders are growing, the uses of technical analyzing indicators in trading increase as well. Parabolic SAR, which indicates changes of trend in the market, is one of the most used indicators by cyber traders. Especially when a market shows a specific trend, it is very useful. However, this indicator often gives late signals and shows less trustful ones in a stable market. This paper proposes a method that give more conservative signals by a composition of Parabolic SAR and Moving Average. The experiment will compare the earning rates of using only Parabolic SAR strategy and of using a composition strategy of Parabolic SAR and Moving Average.

• Korean Management Science Review
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• v.31 no.1
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• pp.49-61
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• 2014

We investigate the hedging effectiveness of incorporating single-stock futures into the corresponding stocks. Investing in only stocks frequently causes too much risk when market volatility suddenly rises. We found that single-stock futures help reduce the variance and risk levels of the corresponding stocks invested. We use daily prices of Korean stocks and their corresponding futures for the time period from December 2009 to August 2013 to test the hedging effect. We also use system trading technique that uses automatic trading program which also has several simulation functions. Moving average strategy, Stochastic's strategy, Larry William's %R strategy have been considered for hedging strategy of the futures. Hedging effectiveness of each strategy was analyzed by percent reduction in the variance between the hedged and the unhedged variance. The results clearly showed that examined hedging strategies reduce price volatility risk compared to unhedged portfolio.

• Proceedings of the Korea Information Processing Society Conference
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• 2001.04a
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• pp.287-290
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• 2001

최근의 급속한 인터넷 성장에 힘입어 분산처리의 기술 및 환경은 인터넷을 기반으로 광역환경으로 확장될 전망이다. 이러한 환경은 사용자에게 보다 투명한 분산객체간의 효율적인 상호접속이 요구될 뿐 아니라, 광역환경에서 이름이나 속성에 의해 다양한 중복된 성질을 갖고 있는 객체들의 관리가 요구된다. 또한 광역 분산 환경에서 최적의 객체를 선정하는데 분산된 시스템들간의 부하분배를 고려하여 투명성을 제공하는 메카니즘이 필요하게 된다. 따라서, 본 논문에서는 광역분산 컴퓨팅 환경에서 광역 서비스를 지원할 수 있는 이름/속성기반의 중복객체들을 관리를 위한 통합 트리 구성방법을 제안한다. 그리고 이를 통한 혼합(네이밍/트레이더)된 위치서비스(Location service)를 이용하여 무수히 산제한 중복된 분산 객체들을 효율적으로 유지하고, 최적의 객체 선정을 통해 부하균형을 유지할 수 있는 방안을 제시한다.

• Proceedings of the Korea Information Processing Society Conference
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• 2010.04a
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• pp.1051-1054
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• 2010

본 논문은 옵션 시장에서 푸쉬풀 전략을 제시하고 이의 성능 분석을 한다. 푸시풀 전략은 초기 진입 시 설정한 예탁금이 줄어들지 않도록 관리하는 전략이다. 옵션의 만기에 외가 가격이 0이 되는 특성상외가 매도는 프리미엄의 수익을 기대할 수 있다. 시스템 트레이딩 툴이 멀티차트를 통하여 푸쉬풀 전략을 구현하고, 3월물 옵션에 대하여 성능 분석을 하였다. 2월 5일과 2월 11일에 두 번 임계값 조정이 발생하여, 총 6번의 매매에 총수익 769,000원 발생하였다. 승률은 67%이고, 자산대비 수익률은 한달에 9%가 발생하였다. 푸쉬풀 전략은 급격한 추세장을 제외하고는 한달에 10% 내외의 수익을 기대할 수 있는 안정된 전략으로 개인 투자자의 옵션 투자에 많은 도움을 줄 수 있다. 일반화된 자료를 추출하기 위해서는 향후에 실험 구간을 넓히고, 행사가 이동 구간을 줄이는 최적 지점을 찾아내는 연구가 필요하다.

• The KIPS Transactions:PartA
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• v.9A no.2
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• pp.241-248
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• 2002

With the structure of tilde-area computing system which Is specified by a researching team in Vrije University, Netherlands, lots of researchers and developers have been progressing the studies of global location and interconnection services of distributed objects existing in global sites. Most of them halve focused on binding services of only non-duplicated computational objects existing wide-area computing sites without any consideration of duplication problems. But all of objects existing on the earth rave the duplicated characteristics according to how to categorize their own names or properties. These objects with the same property can define as duplicated computational objects. Up to now, the existing naming or trading mechanism has not supported the binding services of duplicated objects, because of deficiency of independent location service. For this reason, we suggest a new model that can not only manages locations of duplicated objects In wide-area computing environments, but also provide minimum binding time by considering both the optimal selection of one of duplicated objects and load balance among distributed systems. Our model is functionally divided into 2 parts, one part to obtain an unique object handle of duplicated objects with same property as a naming and trading service, and the other to search one or more contact addresses by a node manager using a liven object handle, as a location service For location transparency, these services are independently executing each other. Based on our model, we described structure of wide-area integrated tree and algorithms for searching and updating contact address of distributed object on this tree. finally, we showed a federation structure that can globally bind distributed objects located on different regions from an arbitrary client object.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.18 no.1
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• pp.115-137
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• 2008

As stock market gets bigger, use of HTS(Home Trading System) is getting increased in stock exchange. HTS provides lots of functions such as inquiry about stock quotations, investment counsel and so on. Thus, despite the fact that the functions fur convenience and usefulness are developed and used, security functions for privacy and trade safety are insufficient. In this paper, we analyze the security system of HTS service through the key-logging and sniffing and suggest that many private information is unintentionally exposed. We also find out a vulnerable point of the system, and show the advisable criteria of secure HTS.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.37 no.4
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• pp.202-211
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• 2014

Pairs trading is a type of arbitrage investment strategy that buys an underpriced security and simultaneously sells an overpriced security. Since the 1980s, investors have recognized pairs trading as a promising arbitrage strategy that pursues absolute returns rather than relative profits. Thus, individual and institutional traders, as well as hedge fund traders in the financial markets, have an interest in developing a pairs trading strategy. This study proposes pairs trading rules (PTRs) created from a price ratio between securities (i.e., stock index futures) using rough set analysis. The price ratio involves calculating the closing price of one security and dividing it by the closing price of another security and generating Buy or Sell signals according to whether the ratio is increasing or decreasing. In this empirical study, we generate PTRs through rough set analysis applied to various technical indicators derived from the price ratio between KOSPI 200 and S&P 500 index futures. The proposed trading rules for pairs trading indicate high profits in the futures market.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.45 no.3
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• pp.123-130
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• 2022

Pair trading is a statistical arbitrage investment strategy. Traditionally, cointegration has been utilized in the pair exploring step to discover a pair with a similar price movement. Recently, the clustering analysis has attracted many researchers' attention, replacing the cointegration method. This study tests a clustering-driven pair trading investment strategy in the Korean stock market. If a pair detected through clustering has a large spread during the spread exploring period, the pair is included in the portfolio for backtesting. The profitability of the clustering-driven pair trading strategies is investigated based on various profitability measures such as the distribution of returns, cumulative returns, profitability by period, and sensitivity analysis on different parameters. The backtesting results show that the pair trading investment strategy is valid in the Korean stock market. More interestingly, the clustering-driven portfolio investments show higher performance compared to benchmarks. Note that the hierarchical clustering shows the best portfolio performance.