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Development of Adjustable Head holder Couch in H&N Cancer Radiation Therapy (두경부암 방사선 치료 시 Set-Up 조정 Head Holder 장치의 개발)

  • Shim, JaeGoo;Song, KiWon;Kim, JinMan;Park, MyoungHwan
    • The Journal of Korean Society for Radiation Therapy
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    • v.26 no.1
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    • pp.43-50
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    • 2014
  • In case of all patients who receive radiation therapy, a treatment plan is established and all steps of treatment are planned in the same geometrical condition. In case of head and neck cancer patients who undergo simulated treatment through computed tomography (CT), patients are fixed onto a table for planning, but laid on the top of the treatment table in the radiation therapy room. This study excogitated and fabricated an adjustable holder for head and neck cancer patients to fix patient's position and geometrical discrepancies when performing radiation therapy on head and neck cancer patients, and compared the error before and after adjusting the position of patients due to difference in weight to evaluate the correlation between patients' weight and range of error. Computed tomography system(High Advantage, GE, USA) is used for phantom to maintain the supine position to acquire the images of the therapy site for IMRT. IMRT 4MV X-rays was used by applying the LINAC(21EX, Varian, U.S.A). Treatment planning system (Pinnacle, ver. 9.1h, Philips, Madison, USA) was used. The setup accuracy was compared with each measurement was repeated five times for each weight (0, 15, and 30Kg) and CBCT was performed 30 times to find the mean and standard deviation of errors before and after the adjustment of each weight. SPSS ver.19.0(SPSS Inc., Chicago, IL,USA) statistics program was used to perform the Wilcoxon Rank test for significance evaluation and the Spearman analysis was used as the tool to analyze the significance evaluation of the correlation of weight. As a result of measuring the error values from CBCT before and after adjusting the position due to the weight difference, X,Y,Z axis was $0.4{\pm}0.8mm$, $0.8{\pm}0.4mm$, 0 for 0Kg before the adjustment. In 15Kg CBCT before and after adjusting the position due to the weight difference, X,Y,Z axis was $0.2{\pm}0.8mm$, $1.2{\pm}0.4mm$, $2.0{\pm}0.4mm$. After adjusting position was X,Y,Z axis was $0.2{\pm}0.4mm$, $0.4{\pm}0.5mm$, $0.4{\pm}0.5mm$. In 30Kg CBCT before and after adjusting the position due to the weight difference, X,Y,Z axis was $0.8{\pm}0.4mm$, $2.4{\pm}0.5mm$, $4.4{\pm}0.8mm$. After adjusting position was X,Y,Z axis was $0.6{\pm}0.5mm$, $1.0{\pm}0mm$, $0.6{\pm}0.5mm$. When the holder for the head and neck cancer was used to adjust the ab.0ove error value, the error values from CBCT were $0.2{\pm}0.8mm$ for the X axis, $0.40{\pm}0.54mm$ for Y axis, and 0 for Z axis. As a result of statistically analyzing each value before and after the adjustment the value was significant with p<0.034 at the Z axis with 15Kg of weight and with p<0.038 and p<0.041 at the Y and Z axes respectively with 30Kg of weight. There was a significant difference with p<0.008 when the analysis was performed through Kruscal-Wallis in terms of the difference in the adjusted values of the three weight groups. As it could reduce the errors, patients' reproduction could be improved for more precise and accurate radiation therapy. Development of an adjustable device for head and neck cancer patients is significant because it improves the reproduction of existing equipment by reducing the errors in patients' position.

THE EFFECTS OF THE PLATELET-DERIVED GROWTH FACTOR-BB ON THE PERIODONTAL TISSUE REGENERATION OF THE FURCATION INVOLVEMENT OF DOGS (혈소판유래성장인자-BB가 성견 치근이개부병변의 조직재생에 미치는 효과)

  • Cho, Moo-Hyun;Park, Kwang-Beom;Park, Joon-Bong
    • Journal of Periodontal and Implant Science
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    • v.23 no.3
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    • pp.535-563
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    • 1993
  • New techniques for regenerating the destructed periodontal tissue have been studied for many years. Current acceptable methods of promoting periodontal regeneration alre basis of removal of diseased soft tissue, root treatment, guided tissue regeneration, graft materials, biological mediators. Platelet-derived growth factor (PDGF) is one of polypeptide growth factor. PDGF have been reported as a biological mediator which regulate activities of wound healing progress including cell proliferation, migration, and metabolism. The purposes of this study is to evaluate the possibility of using the PDGF as a regeneration promoting agent for furcation involvement defect. Eight adult mongrel dogs were used in this experiment. The dogs were anesthetized with Pentobarbital Sodium (25-30 mg/kg of body weight, Tokyo chemical Co., Japan) and conventional periodontal prophylaxis were performed with ultrasonic scaler. With intrasulcular and crestal incision, mucoperiosteal flap was elevated. Following decortication with 1/2 high speed round bur, degree III furcation defect was made on mandibular second(P2) and fourth(P4) premolar. For the basic treatment of root surface, fully saturated citric acid was applied on the exposed root surface for 3 minutes. On the right P4 20ug of human recombinant PDGF-BB dissolved in acetic acid was applied with polypropylene autopipette. On the left P2 and right P2 PDGF-BB was applied after insertion of ${\beta}-Tricalcium$ phosphate(TCP) and collagen (Collatape) respectively. Left mandibular P4 was used as control. Systemic antibiotics (Penicillin-G benzathine and penicillin-G procaine, 1 ml per 10-25 1bs body weight) were administrated intramuscular for 2 weeks after surgery. Irrigation with 0.1% Chlorhexidine Gluconate around operated sites was performed during the whole experimental period except one day immediate after surgery. Soft diets were fed through the whole experiment period. After 2, 4, 8, 12 weeks, the animals were sacrificed by perfusion technique. Tissue block was excised including the tooth and prepared for light microscope with H-E staining. At 2 weeks after surgery, therer were rapid osteogenesis phenomenon on the defected area of the PDGF only treated group and early trabeculation pattern was made with new osteoid tissue produced by activated osteoblast. Bone formation was almost completed to the fornix of furcation by 8 weeks after surgery. New cementum fromation was observed from 2 weeks after surgery, and the thickness was increased until 8 weeks with typical Sharpey’s fibers reembedded into new bone and cementum. In both PDGF-BB with TCP group and PDGF-BB with Collagen group, regeneration process including new bone and new cementum formation and the group especially in the early weeks. It might be thought that the migration of actively proliferating cells was prohibited by the graft materials. In conclusion, platelet-derived growth factor can promote rapid osteogenesis during early stage of periodontal tissue regeneration.

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A Study on Industries's Leading at the Stock Market in Korea - Gradual Diffusion of Information and Cross-Asset Return Predictability- (산업의 주식시장 선행성에 관한 실증분석 - 자산간 수익률 예측 가능성 -)

  • Kim Jong-Kwon
    • Proceedings of the Safety Management and Science Conference
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    • 2004.11a
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    • pp.355-380
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    • 2004
  • I test the hypothesis that the gradual diffusion of information across asset markets leads to cross-asset return predictability in Korea. Using thirty-six industry portfolios and the broad market index as our test assets, I establish several key results. First, a number of industries such as semiconductor, electronics, metal, and petroleum lead the stock market by up to one month. In contrast, the market, which is widely followed, only leads a few industries. Importantly, an industry's ability to lead the market is correlated with its propensity to forecast various indicators of economic activity such as industrial production growth. Consistent with our hypothesis, these findings indicate that the market reacts with a delay to information in industry returns about its fundamentals because information diffuses only gradually across asset markets. Traditional theories of asset pricing assume that investors have unlimited information-processing capacity. However, this assumption does not hold for many traders, even the most sophisticated ones. Many economists recognize that investors are better characterized as being only boundedly rational(see Shiller(2000), Sims(2201)). Even from casual observation, few traders can pay attention to all sources of information much less understand their impact on the prices of assets that they trade. Indeed, a large literature in psychology documents the extent to which even attention is a precious cognitive resource(see, eg., Kahneman(1973), Nisbett and Ross(1980), Fiske and Taylor(1991)). A number of papers have explored the implications of limited information- processing capacity for asset prices. I will review this literature in Section II. For instance, Merton(1987) develops a static model of multiple stocks in which investors only have information about a limited number of stocks and only trade those that they have information about. Related models of limited market participation include brennan(1975) and Allen and Gale(1994). As a result, stocks that are less recognized by investors have a smaller investor base(neglected stocks) and trade at a greater discount because of limited risk sharing. More recently, Hong and Stein(1999) develop a dynamic model of a single asset in which information gradually diffuses across the investment public and investors are unable to perform the rational expectations trick of extracting information from prices. Hong and Stein(1999). My hypothesis is that the gradual diffusion of information across asset markets leads to cross-asset return predictability. This hypothesis relies on two key assumptions. The first is that valuable information that originates in one asset reaches investors in other markets only with a lag, i.e. news travels slowly across markets. The second assumption is that because of limited information-processing capacity, many (though not necessarily all) investors may not pay attention or be able to extract the information from the asset prices of markets that they do not participate in. These two assumptions taken together leads to cross-asset return predictability. My hypothesis would appear to be a very plausible one for a few reasons. To begin with, as pointed out by Merton(1987) and the subsequent literature on segmented markets and limited market participation, few investors trade all assets. Put another way, limited participation is a pervasive feature of financial markets. Indeed, even among equity money managers, there is specialization along industries such as sector or market timing funds. Some reasons for this limited market participation include tax, regulatory or liquidity constraints. More plausibly, investors have to specialize because they have their hands full trying to understand the markets that they do participate in

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The Effect of Two Terpenoids, Ursolic Acid and Oleanolic Acid on Epidermal Permeability Barrier and Simultaneously on Dermal Functions (우솔릭산과 올레아놀산이 피부장벽과 진피에 미치는 영향에 대한 연구)

  • Suk Won, Lim;Sung Won, Jung;Sung Ku, Ahn;Bora, Kim;In Young, Kim;Hee Chang , Ryoo;Seung Hun, Lee
    • Journal of the Society of Cosmetic Scientists of Korea
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    • v.30 no.2
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    • pp.263-278
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    • 2004
  • Ursolic acid (UA) and Oleanolic acid (ONA), known as urson, micromerol and malol, are pentacyclic triterpenoid compounds which naturally occur in a large number of vegetarian foods, medicinal herbs, and plants. They may occur in their free acid form or as aglycones for triterpenoid saponins, which are comprised of a triterpenoid aglycone, linked to one or more sugar moieties. Therefore UA and ONA are similar in pharmacological activity. Lately scientific research, which led to the identification of UA and ONA, revealed that several pharmacological effects, such as antitumor, hepato-protective, anti-inflammatory, anticarcinogenic, antimicrobial, and anti-hyperlipidemic could be attributed to UA and ONA. Here, we introduced the effect of UA and ONA on acutely barrier disrupted and normal hairless mouse skin. To evaluate the effects of UA and ONA on epidermal permeability barrier recovery, both flanks of 8-12 week-old hairless mice were topically treated with either 0.01-0.1mg/mL UA or 0.1-1mg/mL ONA after tape stripping, and TEWL (transepidermal water loss) was measured. The recovery rate increased in those UA or ONA treated groups (0.1mg/mL UA and 0.5mg/mL ONA) at 6h more than 20% compared to vehicle treated group (p < 0.05). Here, we introduced the effects of UA and ONA on acute barrier disruption and normal epidermal permeability barrier function. For verifying the effects of UA and ONA on normal epidermal barrier, hydration and TEWL were measured for 1 and 3 weeks after UA and ONA applications (2mg/mL per day). We also investigated the features of epidermis and dermis using electron microscopy (EM) and light microscopy (LM). Both samples increased hydration compared to vehicle group from 1 week without TEWL alteration (p < 0.005). EM examination using RuO4 and OsO4 fixation revealed that secretion and numbers of lamellar bodies and complete formation of lipid bilayers were most prominent (ONA=UA > vehicle). LM finding showed that thickness of stratum corneum (SC) was slightly increased and especially epidermal thickening and flattening was observed (UA > ONA > vehicle). We also observed that UA and ONA stimulate epidermal keratinocyte differentiation via PPAR Protein expression of involucrin, loricrin, and filaggrin increased at least 2 and 3 fold in HaCaT cells treated with either ONA (10${\mu}$M) or UA (10${\mu}$M) for 24 h respectively. This result suggested that the UA and ONA can improve epidermal permeability barrier function and induce the epidermal keratinocyte differentiation via PPAR Using Masson-trichrome and elastic fiber staining, we observed collagen thickening and elastic fiber elongation by UA and ONA treatments. In vitro results of collagen and elastin synthesis and elastase inhibitory activity measurements were also confirmed in vivo findings. These data suggested that the effects of UA and ONA related to not only epidermal permeability barrier functions but also dermal collagen and elastic fiber synthesis. Taken together, UA and ONA can be relevant candidates to improve epidermal and dermal functions and pertinent agents for cosmeseutical applications.

Measurement of Bone mineral density According to Middle aged Women with Low Back Pain (중년여성의 요통에 따른 골밀도 측정)

  • Kang, Jeom-Deok;Kim, Jong-Bong
    • The Journal of Korean Academy of Orthopedic Manual Physical Therapy
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    • v.7 no.1
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    • pp.5-28
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    • 2001
  • Objectives: The objective of this study was to investigate analysis of bone mineral density according to Women with low back pain women. Methods: The data were collected from women who visited Physical Examination Center of a Catholic university hospital located in Daegu. Questionnaires were completed by 50 women during the period from July 20, 2000 to January 12, 2001. The sample was divided into three groups(the normal group of 16 cases and the osteopenia group of 12cases and the osteoporosis group of 22 cases). Bone mineral density(BMD) of lumbar spine was measured using energy absorptiometry. Results: The bone mineral density of the lumbar spine decreased with aging. The bone mineral density of the lumbar spine decreased with the serum Calcium and Phosphorus and Alkaline phosphatase increased. The mean bone mineral density of the lumbar spine of healthy women in age(50~59) was 0.87g/$cm^2$, the lumbar spine of women with low back pain in age(50~59) was 0.77g/$cm^2$. In the multiple regression of risk factors to bone mineral density(BMD) of lumbar spine were correlated with age, marriage existence, exercise time, the loving food of taste, calcium, bone mineral density standard T scores(p<0.05). The experience for LBP increased as weight increased(Odds ratio=999.000). The experience for LBP increased as number of Exercise decreased(Odds ratio=999.000). The experience for LBP increased as menopause existence increased(Odds ratio=999.000). The experience for LBP increased as serum Calcium and Phosphorus increased (Odds ratio=999.000). however all four variables had significant no relationship. The correlation in variables in relation to low back pain and bone mineral density, age showed contra-correlation with low back pain existence, Alkaline phosphatase(p<0.01). Weight showed contra-correlation with body mass index(BMI)(p<0.01). Exercise time showed correlation with number of exercise(p<0.01). The loving food of taste showed contra-correlation with Alkaline phosphatase(p<0.05). Bone mineral density showed correlation with menopause existence(p<0.05). Conclusions: Results from this study indicated that a statistically significant association between bone mineral density of the lumbar spin and age, marriage existence, exercise time, the loving food of taste, calcium, bone mineral density standard T scores. In logistic regression test, there were no related variables. The combination of bone mineral density measurement and assessment of the bone turnover rate by measuring biochemical would be helpful for the treatment of patients with risks of osteoporosis. The more precise study for risk factors to osteoporosis is essential.

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TEMPOROSPATIAL PATTERNS OF PROGRAMMED CELL DEATH DURING EARLY DEVELOPMENT OF THE MOUSE EMBRYOS (생쥐 배자발생초기의 세포자기사 발현 양상에 관한 연구)

  • Baik, Byeong-Ju;Lee, Seung-Ik;Kim, Jae-Gon;Park, Byung-Yong;Park, Byung-Keon
    • Journal of the korean academy of Pediatric Dentistry
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    • v.28 no.4
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    • pp.709-727
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    • 2001
  • The pattern of programmed cell death(PCD) has been examined during the early developmental period of development in mouse embryos, from embryonic day 4.5(E4.5) to E11.5 Embryos from Balb/c breedings were harvested at various embryonic stages between E4.5 and El1.5. Cell death was analysed by in situ terminal deoxynucleotidyl transferase mediated dUTP nick end labeling(TUNEL) staining in tissue sections and whole embryos. At the blastocyst stage(E4.5), a very few apoptotic cells were found in the inner cell mass of the blastocyst. In the early egg cylinder stage(35.0-5.5), a few apoptotic cells were detected in the embryonic ectoderm, the embryonic endoerm and the proamniotic cavity. In the advanced egg cylinder stage(E5.5-6.5), TUNEL-posifive cells were observed in the extra-embryonic ectoderm and extra-embryonic endoderm as well as in the embryonic ectoderm, embryonic visceral endoderm and proamniotic cavity. In the streak stage(E6.75-7.75), many TUNEL-positive cells were found in the ectoplacental cone. In contrast, only very few apoptotic cells were found in the chorion and extra-embryonic endoderm in extra-embryonic regions. In intra-embryonic region, a few apoptotic cells were randomly found in the embryonic ectoderm, mesoderm and visceral endoderm. At the early somitogenesis stage(E8.0-8.5), most apoptotic cells were observed in the most cranial portion of neural fold (neural ectoderm and adjacent ectoderm). At the mid somitogenesis stage(39.0-9.5), the otic placode first showed TUNEL-positive at this stage. Small number of TUNEL-positive cells were also first seen around optic placode and branchial arches. Three streams of TUNEL-positive cells were clearly seen in the cranial region at 59.5-9.75. At E10.5, apoptotic cells were localized in the developing eye, the junctional portion of medial nasal, lateral nasal and maxillary processes, the lateral portion of branchial arches, the junction of bilateral mandibular processes, and apical ectodermal ridges of limb buds. At E11.5, apoptotic cells were noticeably decreased in most area, except the developing limbs and several somites in the tail region. In this study, the global temporospatial pattern of PCD throughout early development of mouse embryos was discussed. It may provide the basis for further studies on its role in the morphogenesis of the embryo.

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Changes in Biochemical Components of Several Tissues of the Hard Clam, Meretrix petechialis, in Relation to Gonad Developmental Phases (말백합, Meretrix petechialis의 생식소 발달단계에 따른 일부 조직의 생화학적 성분 변화)

  • Kim, Yong-Min;Park, Kwan-Ha;Chung, Ee-Yung;Kim, Jong-Bae;Lee, Chang-Hoon
    • The Korean Journal of Malacology
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    • v.22 no.2
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    • pp.125-134
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    • 2006
  • We investigated the reproductive cycle of the hard clam, Meretrix petechialis with its gonadal development by histological observations. The seasonal changes in biochemical component of the adductor muscle, visceral mass, foot muscle and mantle of the clam were studied by biochemical analysis, from January to December, 2002. The reproductive cycle of this species can be divided into five successive stages: early stage (January to March), late active stage (February to May), ripe stage (April to August), partially spawned stage (July to August) and spent/inactive stage (September to January). Total protein content in the visceral mass was over two times higher than that in the adductor muscle. Monthly changes of total protein content in the adductor muscle were not statistically significant (ANOVA, p = 0.071), while the changes in the visceral mass were significant (p < 0.001). Total protein content in visceral mass was higher during the early active, late active, and ripe stages (from January to May), while the lowest in July. Glycogen content in the adductor muscle was higher than that in the visceral mass. Monthly changes in glycogen contents were statistically significant in both adductor muscle (F = 237.2, p < 0.001) and the visceral mass (F = 64.04, p < 0.001). Glycogen content in the adductor muscle was the highest in the ripe stage (April). Its content was lower in the partially spawned and the spent/inactive stages (June-September). Glycogen contents in the visceral mass were relatively lower until the early active stage, while the highest in the late active stage. RNA content was higher in visceral mass than that in the adductor muscle. Monthly changes in RNA contents were significant in both adductor muscle (F = 195.2, p < 0.001) and visceral mass (F = 78.85, p < 0.001). RNA content in the adductor muscle was high in the early active stage (January-February), and then it decreased rapidly in the late active stage (March-April), thereafter, slightly increased during the partially spawned stage (June-July). RNA content in the visceral mass reached a maximum during the ripe stage (May), and then it decreased rapidly during the partially-spawned stage (June-July). There was significant positive correlation in total protein contents between adductor muscle and visceral mass (r = 0.715, p = 0.020). However, there was no correlation between adductor muscle and visceral mass in glycogen (p = 0.550), while a negative correlation was found between the adductor muscle and visceral mass in RNA (p = 0.518) contents. Especially, changes in RNA content showed a negative correlation between the adductor muscle tissue and visceral mass. Therefore, these results suggest that the nutrient content of the adductor muscle, visceral muscle and foot muscle changed in response to gonadal energy needs.

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Performance of Korean State-owned Enterprises Following Executive Turnover and Executive Resignation During the Term of Office (공기업의 임원교체와 중도퇴임이 경영성과에 미치는 영향)

  • Yu, Seungwon;Kim, Suhee
    • KDI Journal of Economic Policy
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    • v.34 no.3
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    • pp.95-131
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    • 2012
  • This study examines whether the executive turnover and the executive resignation during the term of office affect the performance of Korean state-owned enterprises. The executive turnover in the paper means the comprehensive change of the executives which includes the change after the term of office, the change after consecutive terms and the change during the term of office. The 'resignation' was named for the executive change during the term of office to distinguish from the executive turnover. The study scope of the paper is restrained to the comprehensive executive change itself irrespective of the term of office and the resignation during the term of office. Therefore the natural change of the executive after the term of office or the change after consecutive terms is not included in the study. Spontaneous resignation and forced resignation are not distinguished in the paper as the distinction between the two is not easy. The paper uses both the margin of return on asset and the margin of return on asset adjusted by industry as proxies of the performance of state-owned enterprises. The business nature of state-owned enterprise is considered in the study, the public nature not in it. The paper uses the five year (2004 to 2008) samples of 24 firms designated as public enterprises by Korean government. The analysis results are as follows. First, 45.1% of CEOs were changed a year during the sample period on the average. The average tenure period of CEOs was 2 years and 3 months and 49.9% among the changed CEOs resigned during the term of office. 41.6% of internal auditors were changed a year on the average. The average tenure period of internal auditors was 2 years and 2 months and 51.0% among the changed internal auditors resigned during the term of office. In case of outside directors, on average, 38.2% were changed a year. The average tenure period was 2 years and 7 months and 25.4% among the changed internal directors resigned during the term of office. These statistics show that numerous CEOs resigned before the finish of the three year term in office. Also, considering the tenure of an internal auditor and an outside director which diminished from 3 years to 2 years by an Act on the Management of Public Institutions (applied to the executives appointed since April 2007), it seems most internal auditors resigned during the term of office but most outside directors resigned after the end of the term. Secondly, There was no evidence that the executives were changed during the term of office because of the bad performance of prior year. On the other hand, contrary to the normal expectation, the performance of prior year of the state-owned enterprise where an outside director resigned during the term of office was significantly higher than that of other state-owned enterprises. It means that the clauses in related laws on the executive dismissal on grounds of bad performance did not work normally. Instead it can be said that the executive change was made by non-economic reasons such as a political motivation. Thirdly, the results from a fixed effect model show there were evidences that performance turned negatively when CEOs or outside directors resigned during the term of office. CEO's resignation during the term of office gave a significantly negative effect on the margin of return on asset. Outside director's resignation during the term of office lowered significantly the margin of return on asset adjusted by industry. These results suggest that the executive's change in Korean state-owned enterprises was not made by objective or economic standards such as management performance assessment and the negative effect on performance of the enterprises was had by the unfaithful obeyance of the legal executive term.

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A Study on Developing a VKOSPI Forecasting Model via GARCH Class Models for Intelligent Volatility Trading Systems (지능형 변동성트레이딩시스템개발을 위한 GARCH 모형을 통한 VKOSPI 예측모형 개발에 관한 연구)

  • Kim, Sun-Woong
    • Journal of Intelligence and Information Systems
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    • v.16 no.2
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    • pp.19-32
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    • 2010
  • Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.

Derivation of Digital Music's Ranking Change Through Time Series Clustering (시계열 군집분석을 통한 디지털 음원의 순위 변화 패턴 분류)

  • Yoo, In-Jin;Park, Do-Hyung
    • Journal of Intelligence and Information Systems
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    • v.26 no.3
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    • pp.171-191
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    • 2020
  • This study focused on digital music, which is the most valuable cultural asset in the modern society and occupies a particularly important position in the flow of the Korean Wave. Digital music was collected based on the "Gaon Chart," a well-established music chart in Korea. Through this, the changes in the ranking of the music that entered the chart for 73 weeks were collected. Afterwards, patterns with similar characteristics were derived through time series cluster analysis. Then, a descriptive analysis was performed on the notable features of each pattern. The research process suggested by this study is as follows. First, in the data collection process, time series data was collected to check the ranking change of digital music. Subsequently, in the data processing stage, the collected data was matched with the rankings over time, and the music title and artist name were processed. Each analysis is then sequentially performed in two stages consisting of exploratory analysis and explanatory analysis. First, the data collection period was limited to the period before 'the music bulk buying phenomenon', a reliability issue related to music ranking in Korea. Specifically, it is 73 weeks starting from December 31, 2017 to January 06, 2018 as the first week, and from May 19, 2019 to May 25, 2019. And the analysis targets were limited to digital music released in Korea. In particular, digital music was collected based on the "Gaon Chart", a well-known music chart in Korea. Unlike private music charts that are being serviced in Korea, Gaon Charts are charts approved by government agencies and have basic reliability. Therefore, it can be considered that it has more public confidence than the ranking information provided by other services. The contents of the collected data are as follows. Data on the period and ranking, the name of the music, the name of the artist, the name of the album, the Gaon index, the production company, and the distribution company were collected for the music that entered the top 100 on the music chart within the collection period. Through data collection, 7,300 music, which were included in the top 100 on the music chart, were identified for a total of 73 weeks. On the other hand, in the case of digital music, since the cases included in the music chart for more than two weeks are frequent, the duplication of music is removed through the pre-processing process. For duplicate music, the number and location of the duplicated music were checked through the duplicate check function, and then deleted to form data for analysis. Through this, a list of 742 unique music for analysis among the 7,300-music data in advance was secured. A total of 742 songs were secured through previous data collection and pre-processing. In addition, a total of 16 patterns were derived through time series cluster analysis on the ranking change. Based on the patterns derived after that, two representative patterns were identified: 'Steady Seller' and 'One-Hit Wonder'. Furthermore, the two patterns were subdivided into five patterns in consideration of the survival period of the music and the music ranking. The important characteristics of each pattern are as follows. First, the artist's superstar effect and bandwagon effect were strong in the one-hit wonder-type pattern. Therefore, when consumers choose a digital music, they are strongly influenced by the superstar effect and the bandwagon effect. Second, through the Steady Seller pattern, we confirmed the music that have been chosen by consumers for a very long time. In addition, we checked the patterns of the most selected music through consumer needs. Contrary to popular belief, the steady seller: mid-term pattern, not the one-hit wonder pattern, received the most choices from consumers. Particularly noteworthy is that the 'Climbing the Chart' phenomenon, which is contrary to the existing pattern, was confirmed through the steady-seller pattern. This study focuses on the change in the ranking of music over time, a field that has been relatively alienated centering on digital music. In addition, a new approach to music research was attempted by subdividing the pattern of ranking change rather than predicting the success and ranking of music.