• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제20권2호
• /
• pp.123-135
• /
• 2016

This article deals with the pricing of Asian options under a constant elasticity of variance (CEV) model as well as a stochastic elasticity of variance (SEV) model. The CEV and SEV models are underlying asset price models proposed to overcome shortcomings of the constant volatility model. In particular, the SEV model is attractive because it can characterize the feature of volatility in risky situation such as the global financial crisis both quantitatively and qualitatively. We use an asymptotic expansion method to approximate the no-arbitrage price of an arithmetic average Asian option under both CEV and SEV models. Subsequently, the zero and non-zero constant leverage effects as well as stochastic leverage effects are compared with each other. Lastly, we investigate the SEV correction effects to the CEV model for the price of Asian options.

• 수산해양기술연구
• /
• 제53권4호
• /
• pp.471-475
• /
• 2017

This study aims to suggest the methodology to improve to estimate back-calculated fish growth parameters using weighted average. It is to contribute to correct errors in the calculation of back-calculated growth equation with unequal numbers of sample by age. If the numbers of sample were evenly collected by age, each back-calculated length at age was equal between arithmetic and weighted averages. However, most samples cannot be evenly collected by age in reality because of different catchability by fishing gear and limitation of environment condition. Therefore, the estimation of back-calculated length by weighted average method is essential to calculate growth parameters. There were some published growth equations from back-calculated length using a simple arithmetic average with different numbers of samples by age when searching for back-calculated growth equations from 91 relevant papers. In this study, the process of deriving growth equation was investigated and two different average calculations were applied to a fish growth equation, for example of Acheilognathus signifer. Growth parameters, such as $L_{\infty}$, k and $t_0$, were estimated from two different back-calculated averages and the growth equations were compared with growth performance index. Based on the correction of back-calculated length using weighted average by age, the changes by female and male were -14.19% and -5.23% for $L_{\infty}$, and 59.28% and 18.91% for k, respectively. The corrected growth performance index by weighted average improved at 7.05% and 2.46% by female and male, respectively, compared to the arithmetic averages.

• Nuclear Engineering and Technology
• /
• 제29권6호
• /
• pp.488-499
• /
• 1997

The measurements of the moderator temperature coefficient (MTC) are performed to demonstrate that the calculational model produces results that are consistent with the measurements. Since negative MTC is also a technical specification value that may limit the cycle length, it is important to measure it as accurately as possible. In this report, preferred choice of test method depending on the time in cycle, best power indication and temperature definition in MTC calculation were determined based on the MTC test results taken during initial startup testing and at 2/3 cycle burnup in the Yonggwang nuclear power plant. The results show that the ratio and rodded methods provided good agreement with the predictions during initial startup testing. However, near end-of-cycle the depletion method gives better results, and so is suggested to be used in the MTC measurements at 2/3 cycle burnup. The use of primary Delta T power as a power indicator in the MTC calculations is highly advisable since it responds with good consistent results very quickly to changes unlike secondary calorimetric power. For the appropriate temperature definitions used in the MTC calculations, it is considered that the arithmetic average temperature measured simply by inlet and outlet thermocouples is preferred. Although volumetric average temperature provides better results, the improvement is not sufficient to compensate for the simplicity of calculations by arithmetic average temperature.

• 한국컴퓨터정보학회논문지
• /
• 제8권3호
• /
• pp.113-123
• /
• 2003

본 논문에서는 주식의 종가, 거래량 기술적 지표인 MACD(Moving Average Convergence Divergence) 값과 투자 심리선값을 입력 패턴으로 사용하여 개별 금융지표지수에 대한 매도, 중립 및 매수 시점 예측을 수행하는 신경망 모델이 제안된다. 이 모델은 역전파 알고리즘을 이용한 시계열 예측 기능과 균등다층연산 기능을 갖는다. 학습 데이터의 수가 각 범주들(매도, 중립, 매수)에 균일하게 분포되어 있지 않을 경우 기존의 신경망은 가장 우세한 범주의 예측 정확성만을 향상시키는 문제점을 가지고 있다. 따라서, 본 논문에서는 신경망의 구조, 동작, 학습 알고리즘에 대해 표현한 후 다른 범주의 예측 정확성도 향상시키기 위해 각 범주의 중요성을 이용하여 학습 데이터의 수를 조절하는 균등다층연산 방법을 제안한다. 실험 결과, 균등다층연산 신경망을 이용한 금융지표지수 예측 방법이 기존의 신경망을 이용한 금융지표지수 예측 방법 보다 각 범주에 대해 높은 정확성 비율을 보임을 확인할 수 있었다.

• 한국ITS학회 논문지
• /
• 제2권1호
• /
• pp.63-73
• /
• 2003

국내에서 사용되는 실시간 신호제어시스템은 각 차로별로 계산된 지점속도를 산술평균 모형을 적용하여 접근로의 속도로 추정하고, 이를 대기길이 추정 모형 과정에 중요 변수로 사용한다. 본 연구에서는 현재의 산술모형의 적정성을 검토하고 하나의 대안으로서 교통량 가중평균 모형을 제시하였다. 그리고 교통량 가중평균 모형과평균 개별차랑 지점속도의 이론적 관계를 해석하고, 이를 관계식으로 표현하였다. 제시된 관계식으로부터, 가중평균 모형은 각 차로의 교통량 이용비율과 평균속도 차이에 따라 산술평균과 선형적인 차이를 갖는 것을 파악하였다. 두 가지 모형에 대한 평가를 위하여 실시간 신호제어시스템으로 운영되는 한 개 교차로로부터 자료를 수집하여 각각 적용하였다. 분석 결과, 가중평균 모형이 현재의 산술평균 모형보다 현장 상황을 합리적이고 안정적으로 나타내는 대기 행렬 추정값을 제시하였다. 따라서 가중평균 모형을 실제 운영에 적용하는 것이 실시간 신호제어시스템의 기능적 안정성에 도움을 줄 수 있다고 판단된다.

• Geomechanics and Engineering
• /
• 제36권3호
• /
• pp.259-276
• /
• 2024

The undrained shear strength is widely acknowledged as a fundamental mechanical property of soil and is considered a critical engineering parameter. In recent years, researchers have employed various methodologies to evaluate the shear strength of soil under undrained conditions. These methods encompass both numerical analyses and empirical techniques, such as the cone penetration test (CPT), to gain insights into the properties and behavior of soil. However, several of these methods rely on correlation assumptions, which can lead to inconsistent accuracy and precision. The study involved the development of innovative methods using extreme gradient boosting (XGB) to predict the pile set-up component "A" based on two distinct data sets. The first data set includes average modified cone point bearing capacity (q_t), average wall friction (f_s), and effective vertical stress (σ_vo), while the second data set comprises plasticity index (PI), soil undrained shear cohesion (S_u), and the over consolidation ratio (OCR). These data sets were utilized to develop XGBoost-based methods for predicting the pile set-up component "A". To optimize the internal hyperparameters of the XGBoost model, four optimization algorithms were employed: Particle Swarm Optimization (PSO), Social Spider Optimization (SSO), Arithmetic Optimization Algorithm (AOA), and Sine Cosine Optimization Algorithm (SCOA). The results from the first data set indicate that the XGBoost model optimized using the Arithmetic Optimization Algorithm (XGB - AOA) achieved the highest accuracy, with R2 values of 0.9962 for the training part and 0.9807 for the testing part. The performance of the developed models was further evaluated using the RMSE, MAE, and VAF indices. The results revealed that the XGBoost model optimized using XGBoost - AOA outperformed other models in terms of accuracy, with RMSE, MAE, and VAF values of 0.0078, 0.0015, and 99.6189 for the training part and 0.0141, 0.0112, and 98.0394 for the testing part, respectively. These findings suggest that XGBoost - AOA is the most accurate model for predicting the pile set-up component.

• 한국정보통신학회논문지
• /
• 제10권8호
• /
• pp.1422-1427
• /
• 2006

임베디드 마이크로프로세서가 소프트웨어를 수행하면서 소비하는 전력을 예측하기 위해서는 마이크로프로세서의 각 명령어가 수행하면서 소비하는 전류를 측정하여 활용한다. 본 논문에서는 임베디드 마이크로프로세서 adc16s310의 산술 및 논리 명령어에 대한 소비 전류를 측정 및 분석하고, 이를 바탕으로 적은 수의 측정 소비 전류 값을 사용하여 비교적 정확하게 모든 명령어 수행의 소비 전류 값을 예측할 수 있는 전력 예측 모델을 제안한다. 본 예측 모델은 마이크로프로세서 adc16s310의 산술 및 논리 명령어에 대하여 총 측정 공간 중 약5.84%의 공간에 대한 측정 전류 값만을 사용하여 평균 오차 0.34%에서 소비 전류 값을 예측할 수 있다.

• 한국정보처리학회논문지
• /
• 제7권2S호
• /
• pp.701-710
• /
• 2000

This paper presents a new method for an efficient coding of very low bit-rate color video based on adaptive wavelet transform. Our approach reveals that the coding process works more efficiently if the quantized wavelet coefficients are preprocessed by a mechanism exploiting the redundancies in the wavelet subband structure. Thus, we focuses optimized activity of coding part, and exhaustive overlapped block motion compensation is utilized to ensure coherency in motion compensated error frames, and raised cosine window is applied. The horizontal and vertical components of motion vectors are encoded separately using adaptive arithmetic coding while significant wavelet coefficients are encoded in bit-plane order using adaptive arithmetic coding. On average the proposed codec exceeds H.263 and ZTE in peak signal-to-noise ratio by as much as 2.07 and 1.38dB at 28 kbits, respectively. Fore entire sequence coding, 3DWCVC method is superior to H.263 and ZTE by 0.35 and 0.71dB on average, respectively.

• Journal of Power Electronics
• /
• 제17권5호
• /
• pp.1338-1348
• /
• 2017

In this study, a modified ripple correlation control (RCC) maximum-power point-tracking (MPPT) algorithm is proposed for a single-stage single-phase voltage source inverter (VSI) on a grid-connected photovoltaic system (GCPVS). Unlike classic RCC methods, the proposed algorithm does not require high-pass and low-pass filters or the increment of the AC component filter function in the voltage control loop. A simple arithmetic mean function is used to calculate the average value of the photovoltaic (PV) voltage, PV power, and PV voltage ripples for the MPPT of the RCC method. Furthermore, a high-accuracy and high-precision MPPT is achieved. The performance of the proposed algorithm for the single-stage single-phase VSI GCPVS is investigated through simulation and experimental results.

• Wind and Structures
• /
• 제19권5호
• /
• pp.505-522
• /
• 2014

While effects of the atmospheric boundary layer flow on engineering infrastructure are more or less known, some local transient winds create difficulties for structures, traffic and human activities. Hence, further research is required to fully elucidate flow characteristics of some of those very unique local winds. In this study, important characteristics of observed vertical velocity profiles along the main wind direction for the gusty Bora wind blowing along the eastern Adriatic coast are presented. Commonly used empirical power-law and the logarithmic-law profiles are compared against unique 3-level high-frequency Bora measurements. The experimental data agree well with the power-law and logarithmic-law approximations. An interesting feature observed is a decrease in the power-law exponent and aerodynamic surface roughness length, and an increase in friction velocity with increasing Bora wind velocity. This indicates an urban-like velocity profile for smaller wind velocities and rural-like velocity profile for larger wind velocities, which is due to a stronger increase in absolute velocity at each of the heights observed as compared to the respective velocity gradient (difference in average velocity among two different heights). The trends observed are similar during both the day and night. The thermal stratification is near neutral due to a strong mechanical mixing. The differences in aerodynamic surface roughness length are negligible for different time averaging periods when using the median. For the friction velocity, the arithmetic mean proved to be independent of the time record length, while for the power-law exponent both the arithmetic mean and the median are not influenced by the time averaging period. Another issue is a large difference in aerodynamic surface roughness length when calculating using the arithmetic mean and the median. This indicates that the more robust median is a more suitable parameter to determine the aerodynamic surface roughness length than the arithmetic mean value. Variations in velocity profiles at the same site during different wind periods are interesting because, in the engineering community, it has been commonly accepted that the aerodynamic characteristics at a particular site remain the same during various wind regimes.