• Journal of the Korean Mathematical Society
• /
• v.61 no.5
• /
• pp.875-898
• /
• 2024

This study estimates the true price of an asset and finds the optimal bid/ask prices for market makers. We provide a novel state-space model based on the exponential Ornstein-Uhlenbeck volatility and the Heston models with Gaussian noise, where the traded price and volume are available, but the true price is not observable. An objective of this study is to use Bayesian filtering to estimate the posterior distribution of the true price, given the traded price and volume. Because the posterior density is intractable, we employ the guided particle filtering algorithm, with which adaptive rejection metropolis sampling is used to generate samples from the density function of an unknown distribution. Given a simulated sample path, the posterior expectation of the true price outperforms the traded price in estimating the true price in terms of both the mean absolute error and root-mean-square error metrics. Another objective is to determine the optimal bid/ask prices for a market maker. The profit-and-loss of the market maker is the difference between the true price and its bid/ask prices multiplied by the traded volume or bid/ask size of the market maker. The market maker maximizes the expected utility of the PnL under the posterior distribution. We numerically calculate the optimal bid/ask prices using the Monte Carlo method, finding that its spread widens as the market maker becomes more risk-averse, and the bid/ask size and the level of uncertainty increase.

• Ocean and Polar Research
• /
• v.27 no.1
• /
• pp.75-86
• /
• 2005

Acoustic survey for density and biomass estimate of Antarctic krill, Euphausia superba, was conducted in the large area between South Shetland Islands and South Orkney Islands, during November 30-December 30, 2002. Considering oceanographic and geographic properties, the study area was divided into six sub-regions. Acoustic system and frequency used in the survey were quantitative echo sounder (Simrad Ek 500) and 38, 120-kHz split beam transducers. In order to discriminate krill aggregations in all acoustic signal, difference of mean volume backscattering strength $({\Delta}MVBS)$ method of the two frequencies was introduced. Averaged krill density for the overall surveyed area was $23.5g/m^2$, and spatially averaged estimates of krill density were $44.9g/m^2$ (north of the South Shetland Islands), $30.3g/m^2$ (Bransfield Strait), $11.3g/m^2$ (near the Elephant Island), $13.6g/m^2$ (north of the Elephant Island), $18.1g/m^2$(between Elephant Island and South Orkney Islands) and $21.7g/m^2$(northwest of the South Orkney Islands) at each sub-area. In the two sub-regions with surveyed area, estimated krill biomass in the north of the Elephant Island was 0.315 million tones with a CV of 18.35% $(6,766mile^2)$, and between Elephant Island and South Orkey Islands was 1.26 million tones with a CV of 9.45% $(20,299mile^2)$. As a whole, the krill density in the early summer season was low level, comparing with that of January-February. This suggested that major krill swarms in the around South Shetland Islands were reached in the mid-summer seasons from western part of the Antarctic Peninsula, and the low krill density also affects the density variation of the krill between Elephant Island and South Orkney Islands.

• Journal of Korean Society of Forest Science
• /
• v.100 no.4
• /
• pp.535-539
• /
• 2011

This study was conducted to examine the bootstrap evaluation of the stem density and biomass expansion factor for Pinus rigida plantations in Korea. The stem density ($g/cm^3$) in less than 20 tree years were 0.460 while more than 21 tree years were 0.456 respectively. Biomass expansion factor of less than 20 years and more than 21 years were 2.013, 1.171, respectively. The results of 100 and 500 bootstrap iterations, stem density ($g/cm^3$) in less than 20 years were 0.456~0.462 while more than 21 years were 0.457~0.456 respectively. Biomass expansion factor of less than 20 years and more than 21 years were 1.990~2.039, 1.173~1.170, respectively. The mean differences between observed biomass factor and average parameter estimates showed within 5 percent differences. The split datasets of younger stands and old stands were compared to the results of bootstrap simulations. The stem density in less than 20 years of mean difference were 0.441~1.049% while more than 21years were 0.123~0.206% respectively. Biomass expansion factor in less than 20 years and more than 21 years were -1.102~1.340%, -0.024~0.215% respectively. Younger stand had relatively higher errors compared to the old stand. The results of stem density and biomass expansion factor using the bootstrap simulation method indicated approximately 1.1% and 1.4%, respectively.

• Imaging Science in Dentistry
• /
• v.35 no.1
• /
• pp.33-40
• /
• 2005

Purpose : (1) To analyse the effect of exposure time, ROI size and one impact factor in the image processing procedure on estimates of fractal dimension; and (2) to analyse the correlated relationship between the fractal dimension and the Cu-Eq value (bone density). Materials and Methods : The cylindric bone phantoms of 6 large and 5 small diameter having different bone densities respectively and human dry mandible segment with copper step wedge were radiographed at 1.0 and 1.2 sec esposure (70 kVp, 7 mA) using one occlusal film and digitized. Eleven rectangular ROIs from 11 cylindric bone phantoms and 4 rectan-gular ROIs from cortical, middle, periodontal regions, and socket of bone were selected. Gaussian blurred Image was subtracted from original image of each ROI and multiplied respectively by 1, 0.8, and 0.5, and then the image was made binary, eroded and dilated once, and skeletonized. The fractal dimension was calculated by means of a box counting method in the software ImageJ. Results : The fractal dimension was decreased gradually with continued bone density decrease showing strong correlations (bone phantom; r> 0.87, bone; r> 0.68) under 70 kVp 1.0 sec M = 0.8. Fractal dimensions showed the significant differerence (p < 0.05) between two different exposure times on the same small ROI of bone phantom. Fractal dimensions between two different sizes of ROI on bone phantom showed the significant differerence (p < 0.05) under 1.2 sec exposure, but did not show it (p > 0.05) under 1.0 sec exposure. Conclusions : Exposure time, ROI size, and modifying factor during subtracting could become impacting on the results of fractal dimension. Fractal analysis with thoroughly evaluated method considering the various impacting factors on the results could be useful in assessing the bone density in dental radiography.

• Asian-Australasian Journal of Animal Sciences
• /
• v.20 no.6
• /
• pp.939-943
• /
• 2007

Two experiments were conducted to determine the lysine requirement of straight-run broiler chickens ($Hubbard{\times}Hubbard$) during the period 4-21 (Exp. 1) and 21-40 (Exp. 2) days of age. Experiments were conducted during the summer months (June-August) in open-sided houses, thus exposing chicks to chronic heat stress. Daily min-max temperature averaged $28-40^{\circ}C$ (Exp. 1) and $28-36^{\circ}C$ (Exp. 2). Lysine deficient basal diets were formulated to contain low-nutrient-density, i.e., 2,700 kcal per kg ME, 18.6% CP (Exp. 1), and 2,750 kcal per kg ME, 17.1% CP (Exp. 2), to mimic typical commercial broiler diets used in Pakistan. Diets were supplemented with L-lysine HCl to provide total lysine level ranging from 0.85 to 1.10% (six increments) and 0.72 to 1.02% (six increments), respectively in Exp. 1 and 2. Live performance data were subjected to quadratic analysis and requirement was defined as the level achieving 95% of maximum or minimum values. Lysine requirements were found to be 0.98 and 0.97% total lysine, respectively, for gain and feed efficiency during 4-21 days, and 0.87% total lysine for both gain and feed efficiency during 21-40 days of age. Calculated on a digestible lysine basis, the estimates were 0.85 and 0.84%, respectively, for gain and feed efficiency during 4-21 days of age; and 0.75% for gain and feed efficiency during 21-40 days of age.

• Journal of the Computational Structural Engineering Institute of Korea
• /
• v.32 no.3
• /
• pp.173-181
• /
• 2019

To estimate probabilistic distribution function from experimental data, kernel density estimation(KDE) is mostly used in cases when data is insufficient. The estimated distribution using KDE depends on bandwidth selectors that smoothen or overfit a kernel estimator to experimental data. In this study, various bandwidth selectors such as the Silverman's rule of thumb, rule using adaptive estimates, and oversmoothing rule, were compared for accuracy and conservativeness. For this, statistical simulations were carried out using assumed true models including unimodal and multimodal distributions, and, accuracies and conservativeness of estimating distribution functions were compared according to various data. In addition, it was verified how the estimated distributions using KDE with different bandwidth selectors affect reliability analysis results through simple reliability examples.

• Korean Journal of Radiology
• /
• v.25 no.10
• /
• pp.876-886
• /
• 2024

Objective: To develop a nomogram that integrates clinical-pathologic and imaging variables to predict ipsilateral breast tumor recurrence (IBTR) in women with ductal carcinoma in situ (DCIS) treated with breast-conserving surgery (BCS). Materials and Methods: This retrospective study included consecutive women with DCIS who underwent BCS at two hospitals. Patients who underwent BCS between 2003 and 2016 in one hospital and between 2005 and 2013 in another were classified into development and validation cohorts, respectively. Twelve clinical-pathologic variables (age, family history, initial presentation, nuclear grade, necrosis, margin width, number of excisions, DCIS size, estrogen receptor, progesterone receptor, radiation therapy, and endocrine therapy) and six mammography and ultrasound variables (breast density, detection modality, mammography and ultrasound patterns, morphology and distribution of calcifications) were analyzed. A nomogram for predicting 10-year IBTR probabilities was constructed using the variables associated with IBTR identified from the Cox proportional hazard regression analysis in the development cohort. The performance of the developed nomogram was evaluated in the external validation cohort using a calibration plot and 10-year area under the receiver operating characteristic curve (AUROC) and compared with the Memorial Sloan-Kettering Cancer Center (MSKCC) nomogram. Results: The development cohort included 702 women (median age [interquartile range], 50 [44-56] years), of whom 30 (4%) women experienced IBTR. The validation cohort included 182 women (48 [43-54] years), 18 (10%) of whom developed IBTR. A nomogram was constructed using three clinical-pathologic variables (age, margin, and use of adjuvant radiation therapy) and two mammographic variables (breast density and calcification morphology). The nomogram was appropriately calibrated and demonstrated a comparable 10-year AUROC to the MSKCC nomogram (0.73 vs. 0.66, P = 0.534) in the validation cohort. Conclusion: Our nomogram provided individualized risk estimates for women with DCIS treated with BCS, demonstrating a discriminative ability comparable to that of the MSKCC nomogram.

• Journal of Navigation and Port Research
• /
• v.40 no.5
• /
• pp.265-270
• /
• 2016

Extreme tropospheric anomalies such as typhoons or regional torrential rain can degrade positioning accuracy of the GPS signal. It becomes one of the main error terms affecting high-precision positioning solutions in network RTK. This paper proposed a detection algorithm to be used during atmospheric anomalies in order to detect the tropospheric irregularities that can degrade the quality of correction data due to network errors caused by inhomogeneous atmospheric conditions between multi-reference stations. It uses an atmospheric grid that consists of four meteorological stations and estimates the troposphere zenith total delay difference at a low performance point in an atmospheric grid. AWS (automatic weather station) meteorological data can be applied to the proposed tropospheric anomaly detection algorithm when there are different atmospheric conditions between the stations. The concept of probability density distribution of the delta troposphere slant delay was proposed for the threshold determination.

• 한국방재학회:학술대회논문집
• /
• 2007.02a
• /
• pp.203-206
• /
• 2007

In urban flood model, the features like roads, buildings, and river's banks have great effect on flow dynamics and flood propagation and it must be accounted for model set-up. Two-dimensional hydraulic models in high-density building areas are at the forefront of current research into flood inundation mechanisms, but they are however constrained by inadequate parameters of topography and friction due to insufficient and inaccurate data. This paper describes the development of urban flooding with the extraction of building areas and estimates the its influence on flood inundation extent, and present initial results of flood simulation varying grid size.

• Journal of Biomedical Engineering Research
• /
• v.27 no.2
• /
• pp.64-72
• /
• 2006

The present study introduces a new cortical patch-based source model for EEG/MEG cortical source imaging to consider anatomical constraints more precisely. Conventional source models for EEG/MEG cortical source imaging have used coarse cortical surface mesh or sampled small number of vertices from fine surface mesh, and thus they failed to utilize full anatomical information which nowadays we can get with sub-millimeter modeling accuracy. Conventional ones placed a single dipolar source on each cortical patch and estimated its intensity by means of various inverse algorithms; whereas the suggested cortical patch-based model integrates whole cortical area to construct lead field matrix and estimates current density that is assumed to be constant in each cortical patch. We applied the proposed and conventional models to realistic EEG data and compared the results quantitatively. The quantitative comparisons showed that the proposed model can provide more precise spatial descriptions of neuronal source distribution.