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

• 한국정보디스플레이학회:학술대회논문집
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• 2003.07a
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• pp.215-218
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• 2003

We have developed a reflective 3.5" QVGA color TFT-LCD with high reflection within viewing angle. For this, We have introduced new pixel design and asymmetric reflector. Based on these technical concepts, we get a high aperture ratio of 93.5% and much higher reflection up to 64% with a 3.5" prototype panel.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 2000.06a
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• pp.1925-1932
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• 2000

Damage detection methods using vibration modes are investigated on ring structures and. modal behavior of the slightly asymmetric rings is examined. Mode shapes changes, MSER(modal strain energy ratio) and MCR(modal curvature ratio) are applied to identify the locations of faults or damages. Parameters are calculated and compared by finite element analysis on rings with designed local damages. Damages are modeled as reduced stiffness in the analysis. The results show MSER and MCR can be proper factors to detect local damages in ring structures.

• Transactions of the Korean Society of Mechanical Engineers B
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• v.36 no.3
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• pp.301-307
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• 2012

The characteristics of pressure loss in an asymmetric bifurcating tube were investigated numerically for steady inspiratory conditions. The loss coefficient K calculated for various asymmetry and flow-distribution ratios found in human lung airways showed a power-law dependence on the Reynolds number (Re) and length-to-diameter ratio (L/d), with different exponents for Re $\geq$ 100 and Re < 100. The fundamental characteristics of the asymmetric bifurcation are similar to the case of symmetric bifurcation. In addition, the effect of skewed inlet velocity profiles on the pressure loss was weak, and decreased with an increasing number of bifurcations.

• Journal of Preventive Medicine and Public Health
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• v.54 no.1
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• pp.63-72
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• 2021

Objectives: Recent studies have suggested that assessing handgrip strength (HGS) asymmetry together with HGS may be helpful for evaluating problems in geriatric patients. This study aimed to identify whether HGS asymmetry, weakness, or both were associated with depression in Korean older adults. Methods: This study included 4274 subjects from the sixth and seventh Korea National Health and Nutrition Examination Survey. Depression was measured using the Patient Health Questionnaire-9. The maximum HGS of the dominant hand was used as a representative value. HGS symmetry was categorized by the ratio of the HGS of the dominant hand to that of non-dominant hand. The odds ratio (OR) for depression was calculated according to the HGS and its symmetry. Results: In total, 240 (12.5%) men and 534 (22.7%) women had depression. HGS or HGS asymmetry showed no statistically significant associations with depression in elderly men. Elevated odds of depression were observed in elderly women with low HGS (OR, 1.93; 95% confidence interval [CI], 1.33 to 2.81) or prominent HGS asymmetry (OR, 1.46; 95% CI, 1.02 to 2.08). There was a positive additive interaction between asymmetric HGS and weakness, as women with low and prominently asymmetric HGS showed higher odds of depression (OR, 3.77; 95% CI, 2.16 to 6.59) than women with high and symmetric HGS. Conclusions: Depression in elderly Korean women was associated with both low and asymmetric HGS. Our findings support the potential value of HGS asymmetry as an indicator of HGS.

• Journal of Ocean Engineering and Technology
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• v.25 no.3
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• pp.19-27
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• 2011

In case of constructing submerged breakwaters for the purpose of preventing coastal erosion, the number of submerged breakwaters, as well as their asymmetry is dependent on the field conditions. The aim of the present study was to examine the 3-D hydrodynamic characteristics (3-D wave field, wave height, mean water level, and mean flow) around the asymmetric submerged breakwaters using a 3-D numerical model, LES-WASS-3D, which was validated through a comparison with existing experimental data and showed fairly nice agreement. From the numerical results, the wave height, mean water level, and mean flow are discussed in relation with the variation in the breakwater length ratio.

• The KIPS Transactions:PartB
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• v.10B no.6
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• pp.619-628
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• 2003

In this paper, an effective watermark detection technique in the wavelet transform domain is proposed. In this proposed method, the image is 2-level wavelet transformed, and then the watermark with a binary logo is embedded into middle band except baseband and high band to consider Invisibility and robustness. In this paper, we use an asymmetric thresholds watermarking (ATW) in which detection threshold is higher than inserting threshold in order to enhance watermark detection ratio in attacked images. In watermark detection phase, the detection value is not changed when the difference of the selected wavelet neighboring coefficient pairs Is smaller than specific value. The experimental results show that the proposed method has good quality and is robust to various attacks such as the JPEG lossy compression, noise addition, cropping, blurring, etc.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.7 no.8
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• pp.1955-1971
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• 2013

This paper studies relay selection and power allocation for amplify-and-forward (AF) based two-way relay networks (TWRN) with asymmetric traffic requirements (ATR). A joint relay selection and power allocation algorithm is proposed to decrease the outage probability of TWRN with ATR. In this algorithm, two sources exchange information with the help of the relay during two time slots. We first calculate the optimal power allocation parameters based on instantaneous channel state information (CSI), and then derive a tight lower bound of outage probability. Furthermore, we propose a simplified relay selection criterion, which can be easily calculated as harmonic mean of instantaneous channel gains, according to the outage probability expressions. Simulation results verified the theoretical analyses we presented. It is shown that the outage probability of our algorithm improves 3-4dB comparing with that of other existing algorithms, and the lower bound is tight comparing with actual value for the entire signal-to-noise ratio (SNR) region.

• ETRI Journal
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• v.40 no.5
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• pp.561-569
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• 2018

Modern communication systems employ wideband antennas with circular polarization (CP) radiation. In this work, asymmetric modified bow-tie (ABT) and symmetric modified bow-tie (SBT) slotted circularly polarized single-point probe-fed circular patch antennas with dimensions of $40mm{\times}40mm$ for wideband applications are proposed. A 10 dB RL bandwidth of 350 MHz with CP, 3 dB axial ratio (AR) bandwidth of 100 MHz, peak gain of 4.9 dBic, and 10 dB RL bandwidth of 530 MHz with CP, 3 dB AR bandwidth of 140 MHz, peak gain of 5 dBic are obtained for ABT and SBT slotted circular patch antennas, respectively. The proposed SBT slotted patch is scaled up and down to $50mm{\times}50mm$ and $30mm{\times}30mm$, respectively. The proposed scaled-up version offers 10 dB RL and 3 dB AR bandwidths of 340 MHz and 80 MHz, with a peak gain of 5 dBic. The scaled-down version offers 10 dB RL and 3 dB AR bandwidths of 710 MHz and 180 MHz, with a peak gain of 5.25 dBic. These prototypes are suitable to work in IEEE 802.11a WLAN, ISM, and IEEE 802.11ac applications. The measured and simulated results are then discussed and compared.

• Journal of Korea Entertainment Industry Association
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• v.14 no.6
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• pp.1-11
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• 2020

With the activation of OTT and VOD services, the viewing behavior is rapidly changing, but the programming regulation has not escaped the ratio regulation in the same way as in the past. Therefore, this paper aims to examine the policy validity of the current organization ratio regulation and to suggest improvement directions based on this. To this end, the policy objectives and background at the time of the introduction of the domestic organization ratio regulation were considered and compared with the current status of the broadcasting market. As a result, this study found that it is difficult to apply the logical framework of asymmetric regulation at the time of the formation ratio regulation into the current status of broadcasting market, the existing framework was established and hold in the mutual relationship of various stake holders formed based on the asymmetric regulation. It was pointed out that the typical pattern of path dependency repeating only fine adjustment of ratio was shown. Based on this, this study suggests that it needs to be divided into the regulation by the public interest and the regulation by the industrial purpose according to the purpose of regulation, and it is necessary to be limited to the direct regulation corresponding to the public interest of the viewer. Also this study proposes that it is necessary to separate the regulation from promotion policies as well as to resolute asymmetric regulation in broadcasting policies.