• Management Science and Financial Engineering
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• 제21권2호
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• pp.13-23
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• 2015

This study addresses the question as to whether the option prices have useful predictive information on the direction of stock markets by investigating a forecasting power of volatility curvatures and skewness premiums implicit in S&P 500 index option prices traded in Chicago Board Options Exchange. We begin by estimating implied volatility functions and risk neutral price densities every minute based on non-parametric method and then calculate volatility curvature and skewness premium using them. The rationale is that high volatility curvature or high skewness premium often leads to strong bullish sentiment among market participants. We found that the rate of return on the signal following trading strategy was significantly higher than that on the intraday buy-and-hold strategy, which indicates that the S&P500 index option prices have a strong forecasting power on the direction of stock index market. Another major finding is that the information contents of S&P 500 index option prices disappear within one minute, and so one minute-delayed signal following trading strategy would not lead to any excess return compared to a simple buy-and-hold strategy.

• 한국해양공학회지
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• 제33권3호
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• pp.252-258
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• 2019

In this paper, the time history of the surface elevation measured at the Draupner platform in the North Sea in 1995 is used to examine the statistical characteristics of the wave data. The wave statistics for 48 surface measurements, which contain three freak wave occurrences, are summarized. The quartiles, boxplots, correlations, and pair plots of 15 variables, along with the abnormality index, are presented. The kurtosis and skewness of the surface elevation are two variables that are highly correlated with the abnormality index, which defines freak waves. Principal coordinate analysis showed that the direction of the changes in the abnormality index agreed with the changes in the kurtosis and skewness. In addition, various wave heights, except the maximum wave height, showed a similar direction for the height changes, and various wave periods showed a similar direction for the period changes. Based on the correlations and PCA analysis, the kurtosis and skewness of the surface profiles are the two most important variables to predict the abnormality index.

• 한국경영과학회:학술대회논문집
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• 대한산업공학회/한국경영과학회 1992년도 춘계공동학술대회 발표논문 및 초록집; 울산대학교, 울산; 01월 02일 May 1992
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• pp.171-179
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• 1992

본고에서는 그래프를 이용하여 stable law분포의 index, skewness, scale, location 모수들에 대한 추정방법을 제시한다. 먼저, order statistics의 함수인 tail length statistic $K_{t}$ , skewness statistic $K_{s}$ 를 이용하여 index .alpha., scale .betha.를 추정한다. 다음에는, 추정된 .alpha., .betha.를 index로 하여 개발된 그래프들로 부터 scale .sigma., location .mu.추정에 필요한 order statistics의 함수를 결정한다. 몇가지 예를 마지막에 예시한다.

• Communications for Statistical Applications and Methods
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• 제8권3호
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• pp.867-873
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• 2001

In this paper we propose a family of skew- f distributions. The family is derived by a scale mixtures of skew-normal distributions introduced by Azzalini (1985) and Henze (1986). The salient features of the family are mathematical tractability and strict inclusion of the normal law. Further it includes a shape parameter, to some extent, controls the index of skewness. Necessary theory involved in deriving the family of distributions is provided and main properties of the family are also studied.

• Management Science and Financial Engineering
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• 제2권1호
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• pp.103-122
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• 1996

This paper presents an easily used graphical procedure for simultaneous estimation of the index, skewness, scale, and location parameters of the stable laws. First, the index $\alpha$ and skewness $\beta$ are estimated through the joint use of a tail length statistic $\widetilde{K_t}$ and a skewness statistic $\widetilde{K_s}$, both of which are functions of order statistics. Next, the function of order statistics needed for estimation of scale $\sigma$ and location $\mu$ are determined from a nomogram indexed on the estimates of $\alpha$ and $\beta$. Some applications and examples are provided.

• 응용통계연구
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• 제29권1호
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• pp.41-59
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• 2016

지속적인 사망률 개선으로 인한 평균 수명연장은 인구 고령화의 주요인이며 연금 공급자의 재정건전성에 심각한 영향을 미치는 원인으로 지목되기에 정확한 미래 사망률의 예측은 현 시점에서 선행되어야할 중요한 과제다. 본 연구는 미래 사망률을 예측하는 대표적인 확률적 사망률 모형인 Lee-Carter 모형을 사용하여 과거 생명표로 산출한 왜도를 기반으로 미래 사망률 지수를 간접적으로 예측하는 왜도예측방식을 제시한다. 기존의 Lee-Carter 모형을 이용한 사망률 예측방식은 사망률 지수를 추정하고 미래값을 직접 예측함으로써 미래 사망률이 지나치게 개선되는 현상을 보이며, 이를 바탕으로 산출된 연금액과 지급기간 추정 등 연금 공급자의 리스크 관리에 영향을 미친다. 본 연구는 기존 예측 방식의 사망률 예측 결과와 제시한 왜도 예측 방식의 사망률 예측 결과를 비교함으로써 기존 사망률 예측 방식의 문제점을 지적한다. 분석결과 왜도 예측을 통한 Lee-Carter 모형의 사망률 예측은 기존 방식보다 사망률 개선효과를 더 적게 반영하며 장수리스크를 덜 왜곡한다는 데 의의가 있다고 할 수 있다. 하지만 기존 방식 간 차이를 감안하여 적정한 미래 사망률 수준을 찾기 위해 임의로 부여한 가중치에 대해 향후 검토가 필요할 것으로 보인다.

• Corrosion Science and Technology
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• 제7권5호
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• pp.296-299
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• 2008

High order statistical parameters were evaluated using the electrochemical noise data collected during corrosion of type 430 stainless steel coupled to a inert, platinum electrode in 3.5% NaCl solution. High order statistical parameters are shown to predict uniform corrosion properly. However, Localization index, skewness of current, kurtosis and skewness of potential are capable of predicting pitting corrosion only when the transients are large with long life time. Of the high order statistical parameters evaluated, kurtosis of current is found to be the most sensitive parameter for detecting uniform and pitting corrosion.

• Journal of the Korean Data and Information Science Society
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• 제18권4호
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• pp.869-878
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• 2007

In this paper a new process capability index $C_{psks}$ is introduced for non-normal process. $C_{psks}$ that is proposed by transformation of the $C_{psks}$ incorporates an additional skewness correction factor in the denominator of $C_{psks}$. The use of each technique is illustrated by reference to a distribution system which includes the Pearson and Johnson functions. Accordingly, $C_{psks}$ is proposed as the process capability measure for non-normal process.

• Communications for Statistical Applications and Methods
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• 제13권2호
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• pp.255-266
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• 2006

This paper proposes a class of distributions which is useful in making inferences about the sum of values from a normal and a doubly truncated normal distribution. It is seen that the class is associated with the conditional distributions of truncated bivariate normal. The salient features of the class are mathematical tractability and strict inclusion of the normal and the skew-normal laws. Further it includes a shape parameter, to some extent, controls the index of skewness so that the class of distributions will prove useful in other contexts. Necessary theories involved in deriving the class of distributions are provided and some properties of the class are also studied.

• Journal of Electrical Engineering and Technology
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• 제9권4호
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• pp.1171-1181
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• 2014

Different power quality (PQ) disturbance sources can have major impacts on the power supply grid. This study proposes, for the first time, an early warning approach to identifying PQ problems and providing early warning prompts based on the monitored data of PQ disturbance sources. To establish a steady-state power quality early warning index system, the characteristics of PQ disturbance sources are analyzed and summed up. The higher order statistics anomaly detection (HOSAD) algorithm, based on skewness and kurtosis, and hierarchical power quality early warning flow, were then used to mine limit-exceeding and abnormal data and analyze their severity. Cases studies show that the proposed approach is effective and feasible, and that it is possible to provide timely power quality early warnings for limit-exceeding and abnormal data.