• Title/Summary/Keyword: Auto-Correlation

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An Empirical Study on the Asymmetric Correlation and Market Efficiency Between International Currency Futures and Spot Markets with Bivariate GJR-GARCH Model (이변량 GJR-GARCH모형을 이용한 국제통화선물시장과 통화현물시장간의 비대칭적 인과관계 및 시장효율성 비교분석에 관한 연구)

  • Hong, Chung-Hyo
    • The Korean Journal of Financial Management
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    • v.27 no.1
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    • pp.1-30
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    • 2010
  • This paper tested the lead-lag relationship as well as the symmetric and asymmetric volatility spillover effects between international currency futures markets and cash markets. We use five kinds of currency spot and futures markets such as British pound, Australian and Canadian dollar, Brasilian Real and won/dollar spot and futures markets. daily closing prices covering from September 15, 2003 to July 30, 2009. For this purpose we employed dynamic time series models such as the Granger causality based on VAR and time-varying MA(1)-GJR-GARCH(1, 1)-M. The main empirical results are as follows; First, according to Granger causality test, we find that the bilateral lead-lag relationship between the five countries' currency spot and futures market. The price discover effect from currency futures markets to spot market is relatively stronger than that from currency spot to futures markets. Second, based on the time varying GARCH model, we find that there is a bilateral conditional mean spillover effects between the five currency spot and futures markets. Third, we also find that there is a bilateral asymmetric volatility spillover effects between British pound, Canadian dollar, Brasilian Real and won/dollar spot and futures market. However there is a unilateral asymmetric volatility spillover effect from Australian dollar futures to cash market, not vice versa. From these empirical results we infer that most of currency futures markets have a much better price discovery function than currency cash market and are inefficient to the information.

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Evaluation on Motion Features of the World's Second Archer during Back-Tension in Archery (양궁 백 텐션 국면에서 최우수 양궁선수의 동작특성 평가)

  • Yi, Jae-Hun;Hah, Chong-Ku;Ryu, Ji-Seon;Kim, Ki-Chan
    • Korean Journal of Applied Biomechanics
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    • v.17 no.3
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    • pp.197-207
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    • 2007
  • It has been reported that Back-Tension played a significant role in archery (Lee & Bondit, 2005; Kim, 2007) but there are a few researches related Back-Tension in Korea recently. Therefore, the purpose of this study was to investigate archery back tension technique for the second ranked archer in the World and to find ways to improve performance. A subject(height: 185cm, mass: 82kg, years: 21yrs, careers: 12yrs) who is a number of national team and the second ranked archer in the World authorized by FITA (Federation Internationale de Trial Arc) was perticipated in this experiment. When shooting 60 shots($12{\times}5$), shooting motions were recorded with 7 infrared cameras and 2 ultrahigh-speed cameras. A QTM and an Auto Track were used to acquire raw data. The sampling rates of both cameras were 200 Hz. and 1000 Hz. respectively and data were filtered using a fourth order Butterworth low pass filtering with a cutoff-frequency of 30Hz. The parameters were calculated with Matlab6.5 and analyzed with SPSS11.0. After Pearson's correlations between 8 parameters were analyzed, 5 parameters from 13parameters that affected records were analyzed with multiple regression analysis (Enter order: x1, x2, x3, x4, x5). The results were as follows: 1. Comparing between parameters according to scores, the patterns of horizontal and vertical angular velocity(av.) of scapular relative angle was different between 8 score and 9 or 10 scores. 2. The correlations of parameters that affected records were a horizontal av.(x1, p=.032<.05) and a vertical av.(x3, p=.033<.05) of scapular from release to delivery in KB back-tension (anchoring-delivery). 3. The decision coefficients(R2) of above two parameters and three parameters selected by experts that may affect record, that is, an absolute trunk angle(x4) from in KKC back-tension (anchoring-release) and a horizontal relative scapular angle(x2) and an absolute trunk angle(x5) from release to delivery in KB back-tension were 7.7%(x1), 0.1%(x2), 8.5%(x3), 0.7%(x4) and 0.9%(x5) in sequence. 4. The multiple regression equation was a y= -1.16E-2 x1 + 0.109 x2 + 3.437E-2 x3 + 6.139E-2 x4 + 0.117 x5 + 3.420 In conclusion, a total contribution was low, that is, R2(17.9%) suggested that on the one hand, Lim's motion may not depend on a certain factor because his postural factors affected shooting motion are some stable on the other hand, unknown factors may exist(e.g. psychological, physiological factors etc.). Further study of EMG patterns of muscles and anatomic consideration related to shoulder girdle and scapular bones may help to identify mechanism of Back-Tension.

Empirical Modeling of Lens Distortion in Change of Focal Length (초점거리 변화에 따른 렌즈 왜곡의 경험적 모델링)

  • Jeong, Seong-Su;Woo, Sun-Kyu;Heo, Joon
    • Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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    • v.26 no.1
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    • pp.93-100
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    • 2008
  • The parameters of lens such as focal length, focus, and aperture stop changes while shooting the scenes with zoom lens. Especially, zooming action dramatically changes the geometry of lens system that causes significant change of lens model. We investigated how the lens model changes while zooming in general shooting condition. Each parameters of lens model was estimated and checked whether they can be modeled well in the condition of auto-controlling focus, aperture and vibration reduction. In order to do this, calibration images were taken, modeled in different fecal length setting. And changing patterns of models were inspected to find out if there is some elements that have some particular pattern in changing with respect to focal length. The result showed us that although we didn't control the focus and aperture setting, there's specific changing patterns in radial and do-centering distortion. Especially, the strong linear correlation was found between coefficient of $r^2$ and focal length. It is expected that many parts of distortion can be eliminated without additional self calibration even if zoom operation is done when shooting the scenes if we know its fecal length and model of this coefficient.

The Typhoon Surge in the Southern Coast of Korea (한국 남해안의 태풍에 의한 해일)

  • Jang, Seon-Deok;Lee, In-Cheol;Park, Cheol-Seok
    • Journal of the Korean Society of Fisheries and Ocean Technology
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    • v.27 no.4
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    • pp.293-302
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    • 1991
  • The anomalous sea level deviation or storm surge caused by the typhoon Thelma in 1987 are studied analysing tidal observation data at 7 stations in the south coast of Korean peninsula. The surges are calculated by subtracting the predicted tidal height from the observed tidal record. The tidal deviation at these stations along the coast are discussed in association with meteorological data. The sea level anomalies are studied by means of the empirical orthogonal function (EOF) analysis and the fast fourier transform (FFT) method. The results of analysis suggest that the peak value of surges are higher at the tidal stations in semi-enclosed bay and in long narrow channel than at the ones facing with the open sea. From the result of EOF analysis, the temporal and spatial fluctuations of storm surge can be described by the first EOF mode, which explains 63% of the total variances during the passage of typhoon Thelma. The deviation of storm surge in the studied areas indicates bi-modal peak during the passage of typhoon Thelma. From the results of FFT spectrum analysis, the peak of energy of autospectrum for surge, atmospheric pressure, and wind stress appeared at low frequency fluctuations band of 0.008-0.076 cph over the 4 stations. Auto-correlation function of surge showed periodicity, while that of atmospheric pressure and wind stress indicates no periodicity. The result of FFT analysis shows that the typhoon surges are related chiefly with the change of atmospheric pressure in an open bay (Cheju Harbor), but with the wind stress in a semi-enclosed bay (Yeosu Harbor).

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Detecting Nonlinearity of Hydrologic Time Series by BDS Statistic and DVS Algorithm (BDS 통계와 DVS 알고리즘을 이용한 수문시계열의 비선형성 분석)

  • Choi, Kang Soo;Kyoung, Min Soo;Kim, Soo Jun;Kim, Hung Soo
    • KSCE Journal of Civil and Environmental Engineering Research
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    • v.29 no.2B
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    • pp.163-171
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    • 2009
  • Classical linear models have been generally used to analyze and forecast hydrologic time series. However, there is growing evidence of nonlinear structure in natural phenomena and hydrologic time series associated with their patterns and fluctuations. Therefore, the classical linear techniques for time series analysis and forecasting may not be appropriate for nonlinear processes. In recent, the BDS (Brock-Dechert-Scheinkman) statistic instead of conventional techniques has been used for detecting nonlinearity of time series. The BDS statistic was derived from the statistical properties of the correlation integral which is used to analyze chaotic system and has been effectively used for distinguishing nonlinear structure in dynamic system from random structures. DVS (Deterministic Versus Stochastic) algorithm has been used for detecting chaos and stochastic systems and for forecasting of chaotic system. This study showed the DVS algorithm can be also used for detecting nonlinearity of the time series. In this study, the stochastic and hydrologic time series are analyzed to detect their nonlinearity. The linear and nonlinear stochastic time series generated from ARMA and TAR (Threshold Auto Regressive) models, a daily streamflow at St. Johns river near Cocoa, Florida, USA and Great Salt Lake Volume (GSL) data, Utah, USA are analyzed, daily inflow series of Soyang dam and the results are compared. The results showed the BDS statistic is a powerful tool for distinguishing between linearity and nonlinearity of the time series and DVS plot can be also effectively used for distinguishing the nonlinearity of the time series.

Spatial Characteristics of Media Cluster in Seoul: Co-Evolution and Changes in Film and Broadcast TV Production (서울 영상산업 클러스터의 공간적 특성: 영화산업과 방송산업의 성장과 집적지 변화)

  • Kyung Won Lee;U-Seok Seo
    • Journal of the Economic Geographical Society of Korea
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    • v.26 no.3
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    • pp.202-222
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    • 2023
  • This study traces the growth and changes in the spatial distribution and characteristics of media cluster in Seoul by focusing on the co-evolution of film and TV production. To identify the spatial distribution and aggregation of film and broadcast TV production, we measure their spatial auto-correlation based on Moran's I and LISA, using the data from the Census on Establishments of the National Statistical Office. In addition, the eleven semi-structured interviews conducted with workers in the media industries, such as film crews and TV drama producers, help to clarify the complexity and dynamics of diverse factors that affect spatial distribution of media cluster. This multi-method study shows the increasing polycentricity of media cluster in the last decade. Gangnam, Mapo, Yeouido, Gangseo-Yeongdeungpo, and Seongsu have emerged as key hubs for media industries, particularly in light of changes in the transportation system and the real estate market. The finding indicates the co-evolution of film and broadcast TV production, demonstrating how the characteristics of the creative industry and metropolitan changes are intertwined with each other in shaping the geographical pattern of the media cluster.

Characteristics of source localization with horizontal line array using frequency-difference autoproduct in the East Sea environment (동해 환경에서 차주파수 곱 및 수평선배열을 이용한 음원 위치추정 특성)

  • Joung-Soo Park;Jungyong Park;Su-Uk Son;Ho Seuk Bae;Keun-Wha Lee
    • The Journal of the Acoustical Society of Korea
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    • v.43 no.1
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    • pp.29-38
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    • 2024
  • The Matched Field Processing (MFP) is an estimation method for a source range and depth based on the prediction of sound propagation. However, as the frequency increases, the prediction inaccuracy of sound propagation increases, making it difficult to estimate the source position. Recently proposed, the Frequency-Difference Matched Field Processing (FD-MFP) is known to be robust even if there is a mismatch by applying a frequency-difference autoproduct extracted from the auto-correlation of a high frequency signal. In this paper, in order to evaluate the performance of the FD-MFP using a horizontal line array, simulations were conducted in the environment of the East Sea of Korea. In the area of Bottom Bounce (BB) and Convergence Zone (CZ) where detection of a sound source is possible at a long range, and the results of localization were analyzed. According to the the FD-MFP simulations of horizontal line array, the accuracy of localization is similar or degraded compared to the conventional MFP due to diffracted field and mismatch of sound speed. There was no clear result from the simulations conforming that the FD-MFP was more robust to mismatch than the conventional MFP.

A Study for the Change and Distribution of Far Sighted and Near Sighted Astigmatism Power according to Age (연령에 따른 원·근거리 난시의 굴절력 변화에 대한 연구)

  • Joo, Seok-Hee;Park, Seong-Jong
    • Journal of Korean Ophthalmic Optics Society
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    • v.12 no.2
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    • pp.25-36
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    • 2007
  • We researched the change of astigmatism power when the fixation point moved from far distance to near distance. Astigmatism power was measured by using both eyes open-view auto-refractometer. We divided the ages between 5 and 67 years old into 12 groups with 1,598 healthy eyes(male-698 eyes and female-900 eyes) without eyes problems and experiences of eyes operations. The mean power in far astigmatism showed that with-the-rule of the total astigmatism: -0.79D, with-the-rule of the corneal astigmatism: -1.07D and against-the-rule of the residual astigmatism : -0.79D were found most respectively. The correlation between cornea astigmatism and total astigmatism was y=0.7493 x + 0.5661 r=0.6510, residual astigmatism and total astigmatism was y=0.248 x - 0.5926 r=0.2598 and corneal astigmatism and residual astigmatism was y=-0.4439 x - 0.1813 r=-0.5551 in the far distance. The mean power in near astigmatism showed that with-the-rule of total astigmatism : -0.92D, with-the-rule of corneal astigmatism : -1.12D, against-the-rule of residual astigmatism : -0.87D were found most respectively. In the near distance, The correlation between corneal astigmatism and total astigmatism was y=0.6872 x + 0.5934 r=0.6204, residual astigmatism and total astigmatism was y=0.303 x - 0.6066 r=0.3165, corneal astigmatism and residual astigmatism was y=-0.46 x - 0.0626 r=-0.5322. When the fixation point moved far distance to near distance, the differences of power according to the type of astigmatism were total astigmatism: $-0.07D{\pm}0.44D$, corneal astigmatism: $-0.04D{\pm}0.54D$ residual astigmatism:$0.01D{\pm}0.53D$. Most of astigmatism refractive power was increased except for oblique-the -astigmatism. When the fixation point moved far distance to near distance, the change of astigmatism refractive power showed total astigmatism: 540 eyes(33.7%), corneal astigmatism: 638 eyes(39.9%), residual: 841 eyes(52.6%).

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A Study of The Correlation of The Area Dose with Residual CT Contrast Media and MRI Contrast Media during The Use of General Imaging Automatic Exposure Control System (일반촬영 자동노출제어장치 사용 시 잔존 CT 조영제와 MRI 조영제에 따른 면적선량의 상관성 연구)

  • Hong, Chan-Woo;Park, Jin-Hun;Lee, Jung-Min;Seo, Young-Deuk
    • Journal of the Korean Society of Radiology
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    • v.10 no.8
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    • pp.619-627
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    • 2016
  • The purpose of this study is to investigate the effect of CT contrast agent and MRI contrast agent on the area dose in the body when using automatic exposure control system in general radiography. After making rectangular holes in the center of the abdominal thickness paraffin phantom, CT contrast agent and MRI contrast agent were respectively diluted with physiological saline solution for contrast medium dilution ratio of 10:0, 9:1, 8:2, 7:3, 6:4, 5:5, 4:6, 3:7, 2:8, 1:9, 0:10%. Each experiment was set to 78 kVp, 320 mA, which is the proper condition for KUB photography, and thereafter a total of 30 inspections were made for each dilution ratio using an automatic exposure control device, and the area dose corresponding to the dilution ratio of each contrast agent, Average comparison and correlation analysis were performed on the exposure index. As a result, the CT contrast agent and the MRI contrast agent appeared different in area dose according to the dilution ratio(p<0.05), and as the dilution ratio increased, the area dose increased for CT contrast agent and MRI contrast agent(P<0.05). In each test, the exposure index showed the manufacturer's recommendation of 200-800 EI value, and the exposure index and area dose increased as the area dose increased(p<0.05). In conclusion, CT contrast agent and MRI contrast agent confirmed to increase the area dose by general imaging test using all automatic exposure control device. Therefore, it is considered that it is necessary to perform it after the contrast medium has been excreted sufficiently when using usual imaging test after using the contrast agent in CT and MRI examination.

Lung Uptake of $^{99m}Tc-sestamibi$ during Routine Gated Exercise SPECT Imaging : Comparison with Left Ventricular Ejection Fraction and Severity of Perfusion Defect (일상적인 운동 부하 게이트 심근 관류 SPECT에서 $^{99m}Tc-sestamibi$ 폐섭취 : 좌심실 구혈률과 관류 결손 정도와의 비교)

  • Jeong, Shin-Young;Lee, Jae-Tae;Bae, Jin-Ho;Ahn, Byeong-Cheol;Lee, Kyu-Bo
    • The Korean Journal of Nuclear Medicine
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    • v.37 no.2
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    • pp.83-93
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    • 2003
  • Background: Lung-to-heart uptake ratio (LHR) in $^{201}Tl-chloride$ myocardial perfusion scan is believed to be a reliable marker for left ventricular (LV) dysfunction, but the clinical value of LHR is controversial for $^{99m}Tc-MIBI$ imaging. Furthermore, most of results suggesting lung uptake of $^{99m}Tc-MIBI$ as a potential marker for LV dysfunction used immediate post-stress images, instead of routine images acquired 1 hour after tracer injection. The goal of our study was to investigate whether LHR evaluated with routine gated $^{99m}Tc-MIBI$ imaging can reflect the degree of perfusion defect or left ventricular performance. Subjects and Methods: 241 patients underwent exercise $^{99m}Tc-MIBI$ myocardial SPECT were classified into normal myocardial perfusion (NP, n=135) and abnormal myocardial perfusion (AP, n=106) group according to the presence of perfusion defect. LHR was calculated from anterior projection image taken at 1-hour after injection. Two legions of interest (ROIs) were placed on left lung above LV and on myocardium showing the highest radioactivity. Subjects were classified by left ventricular ejection fraction (LVEF), as Gr-I: >50%, Gr-II: 36-50%, Gr-III: <36% and by summed stress score (SSS), as Gr-A: <4, Gr-B: 4-8, Gr-C: 9-13, Gr-D: >13, LHR was compared among these groups. Results: In NP group(n=135), LHR, were higher in men than women ($men:\;0.311{\pm}0.03,\;women:\;0.296{\pm}0.03,\;p<0.05$). Significant difference, in LHR were found between NP and AP groups both for men and women ($men:\;0.311{\pm}0.03\;vs\;.\;0.331{\pm}0.06,\;women:\;0.296{\pm}0.03\;vs.\;0.321{\pm}0.07.\;p<0.05$). There were weak negative correlation between LHR and LVEF (r=-0.342, p<0.05) and weak positive correlation between LHR and SSS (r=0.478, p<0.05) in men, but not in women (LVEF: r=-0.279, p=0.100, SSS: r=0.276, p=0.103). Increased LHR was defined when for more than mean + 2SD value ($men{\geq}0.38,\;women{\geq}0.37$) of the LHR of the subject with normal perfusion. Increased LHR were observed more frequently in subjects with lower LVEF (Gr-I: 11.1%, Gr-II: 27.0%, Gr-III: 35.4%, p<0.05) and higher SSS(Gr-A: 14.0%, Gr-B: 5.7%, Gr-C: 18.2%, Gr-D: 40.7%, p<0.05). Conclusions: LHRs obtained from routine $^{99m}Tc-MIBI$ gated SPECT images were weakly correlated with LVEF and perfusion defect. Although significant overlaps were observed between normal and abnormal perfusion group, LHRs could be used as an indirect marker of severe perfusion defect or reduced left ventricular function.