• Journal of Korea Society of Industrial Information Systems
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• v.22 no.6
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• pp.23-29
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• 2017

Due to the success of Wealthfront, Betterment, etc., there is a growing interest in RoboAdvisor that is an automated asset allocation methodology globally. RoboAdvisor minimizes human involvement in managing assets, thereby reducing the costs of using services and eliminating human psychological factors. In this paper, we developed a predictive model for the KOSPI 200 Futures Index using deep learning, in order to replace the existing technical analysis technique. And the proposed model confirmed that When the KOSPI 200 Gift Index is small, it can be used to predict direction and price of index. In combination with the existing technical analysis, It is confirmed that the proposed models combining with existing technical analyses and can be applied to the RoboAdvisor Service in the future.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.5 no.6
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• pp.580-587
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• 2004

The purpose of this study is to examine if the trading volume can apply to the short-term forecasting of the futures price change by verificating the casuality between trading volume and futures price in the KOSPI 200 futures market. The outcome of the research is summarized as follows. In the analysis of subordinate periods, based on the yearly time segments, trading volume were found to lead futures price. As for trading volume, it was under comparably greater influence of its self of the past than the return rate of futures. In the analysis of subordinate periods, based on the trend of the futures market, trading volume lead return rate of futures feebly in a bull market. But return rate of futures lead trading volume significantly in a bearish market.

• The Korean Journal of Financial Management
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• v.18 no.1
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• pp.23-41
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• 2001

본 연구에서는 여러 계량 모형을 이용하여 계산한 헤지 비율의 성과를 비교하였다. 특히 헤지 비율을 추정하기 위하여 분수 공적분 오차 수정 모형을 이용하였다. KOSPI200 현물과 선물 지수를 이용하여 검증한 결과 현물, 선물 지수는 1차 적분된 시계열이며 베이시스는 분수 적분된 시계열이었다. 따라서 현물과 선물 지수는 분수 공적분된 시계열이었다. 최소 분산 헤지 비율을 최적 헤지 비율로 하여 성과를 측정한 결과 다음과 같은 결과를 얻었다. 헤지 성과는 GARCH 항이 있는 모형이 없는 모형에 비해 크게 나타나며 각 모형에서 고려하고 있는 정보 집합의 크기가 큰 순서인 FIEC, EC, VAR, OLS 순으로 헤지 성과는 크게 나타나고 있다. 그러나 OLS 방법에 의한 헤지에 의해서도 수익률 변동의 많은 부분이 사라져, 다른 모형들은 OLS 모형과 비교하여 추가적인 분산 감소 효과는 크지 않았다.

• The Korean Journal of Financial Studies
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• v.8 no.1
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• pp.55-76
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• 2002

본 연구는 KOSPI 200 선물시장의 거래자료를 이용하여 시장의 미시구조에 의한 하루중 수익률, 변동성 및 거래량 형태를 검토하였다. 본 연구의 주요 결과는 다음과 같다. 첫째, 지수선물시장의 하루중 변동성과 거래량 형태는 일말효과보다 일초효과가 크게 나타나는 조잡한 W자형 형태이다. 이러한 형태는 Brock-Kleidon(1992)의 시장폐장이론에 의해 설명되지만, 동시호가제 등 국내시장의 운영제도에 의해서도 영향을 받고 있음을 보여준다. 둘째, 현물시장의 폐장시간대의 변동성 감소는 한 금융시장의 폐장에서 다른 관련 금융시장의 가격변동성 하락을 예측한 King-Wadhwani(1990)의 이론적 연구결과와 일치한다. 셋째, 수익률의 하루중 형태는 요일에 따라 상이하며 매우 노이즈한 행태를 보여주었다. 그리고 수익률의 요일효과 분석에서 일주일 중 가장 낮은 수익률이 화요일에 발생하는 화요일 효과를 발견하였다. 월요일 효과도 발견되었지만, 그 크기면에서 화요일 효과가 지배적이었다.

• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.71-91
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• 2005

The object or this paper is to analyze the rollover effect on KOSPI 200 index option prices. Especially we analyze the implied volatilities of the options that became the near maturity options as the old one expired. For this analysis, a panel data of KOSPI 200 Index Option Prices from year 1999 to year 2001 were used, and following results were obtained. First, after controlling for the underlying index returns, strike prices and other pricing factors, the call option prices tend to decrease while the put option prices tend to increase during the week of expiry. Second, if one concentrates on the daily price changes, call option prices tend to go up on Thursday (as the old options expire), and then experience a price decrease on the following day, while the reverse is true for the put options. These results imply that the option prices are affected by some of the market micro-structure effects such as whether the option is the near maturity option. We conjecture that the reason for this is related to the undervaluation of KOSPI 200 futures. The results from this paper have implications on the timing of option trades. If one wants to buy put options, and/or sell call options, he has better off by executing his intended trades before the old options expire. On the other hand, if one wants to buy call options, and/or sell put options, hi has better off by executing his intended trades after the expiry.

• Journal of the Korean Institute of Intelligent Systems
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• v.14 no.1
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• pp.52-56
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• 2004

The Information of classification and estimate about KOSPI200 index`s up and down in the stock market becomes an important standard of decision-making in designing portofolio in futures and option market. Because the coming trend of time series patterns, an economic indicator, is very subordinate to the most recent economic pattern, it is necessary to study the recent patterns most preferentially. This paper compares classification and estimated performance of SVM(Support Vector Machine) and Fuzzy SVM model that are getting into the spotlight in time series analyses, neural net models and various fields. Specially, it proves that Fuzzy SVM is superior by presenting the most suitable dimension to fuzzy membership function that has time series attribute in accordance with learning Data Base.

• Journal of Distribution Science
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• v.15 no.11
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• pp.73-82
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• 2017

Purpose - This paper aims to investigate a profit maximizing incentive of foreign traders in distributing the KOSPI 200 Futures. Such an incentive may induce unsophisticated retail traders to suffer loss from speculative trading. Since Korean government increased the entry barriers of the market to protect unsophisticated traders, the market size has been decreasing while the proportion of the contract held by foreign traders has been increasing. These on going changes make the market imperfectly competitive, where a profit maximization incentives of foreign traders are expected to grow. In this paper, we attempt to find any evidence of such behavior, thereby providing implications regarding market policy and market efficiency. Research design, data, and methodology - According to Kyle(1985), an informed trader exploits his/her monopoly power optimally in a dynamic context so that he/she makes positive profit, where he/she could conceal his/her trading utilizing noise trading as camouflage. We apply the KOSPI 200 Futures market to the Kyle's model: foreign traders who take into account the effect of his/her trading to maximize expected profits as an informed trader, retail investors as noise traders, and financial institutions as market makers. To find any evidence of monopolistic behavior, we test the variants of trading volume and price data of the KOSPI 200 Futures over the period of 2009 and 2017. Results - First, we find that the price of the KOSPI 200 Futures are more volatile than the price of underlying asset. Second, we find that monopolistic foreign trader's trading order flows are consistent with exploiting his/her monopoly power to maximize profit. Finally, we find that retail investors' trading order flows are inversely consistent with maximizing profit, that is, uninformed retail investors suffer loss continuously in speculative trading against informed traders. Conclusions - Our results show that the quantity of strategic order flows may have a large effect on the price, therefore, resulting the market inefficiency. The results also imply that, in implementing regulations, the depth of the market must be considered to maintain market liquidity, and suggesting interesting research topics regarding the market structure.

• Journal of the Korean Data and Information Science Society
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• v.24 no.1
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• pp.135-150
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• 2013

This study proposes a novel option strategy by using characteristic of volatility reversion and rough set algorithm in options market. Until now, various research has been conducted on stock and future markets, but minimal research has been done in options market. Particularly, research on the option trading strategy using high frequency data is limited. This study consists of two purposes. The first is to enjoy a profit using volatility reversion model when volatility gap is occurred. The second is to pursue a more stable profit by filtering inaccurate entry point through rough set algorithm. Since options market is affected by various elements like underlying assets, volatility and interest rate, the point of this study is to hedge elements except volatility and enjoy the profit following the volatility gap.

• The Korean Journal of Financial Management
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• v.17 no.1
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• pp.181-202
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• 2000

본 연구는 지수선물 시장에서 호가스프레드에 영향을 줄 수 있는 요인변수를 탐색하였다. 호가스프레드는 1996년 5월 3일부터 1997년 7월 31일까지 일중 4시간 5분의 거래시간을 5분 간격으로 나누어 49개의 시간대별 잔량을 구하여 호가스프레드를 계산하였으며, 요인변수는 주문 거래자료를 이용하여 산출하였다. 분석결과는 다음과 같다. 첫째로, 호가스프레드 측정결과 개장직후 10분과 폐장직전 10분간의 호가스프레드가 다른 시간대보다 크게 나타났다. 우리나라 주가지수선물시장에서도 이상의 두 시간대에서는 거래자들이 현저히 높은 정보불균형이 있었고, 역선택과정이 심한 것으로 보여진다. 이는 McInish와 Wood(1992) 및 Jang과 Lee(1995) 그리고 Daigler(1997)의 U자형 패턴과 유사하게 나타났다. 둘째로, 거래빈도, 총주문량은 호가스프레드에 유의적인 음(-)의 영향을 주어 호가스프레드를 줄이는데 정보적 역할을 하고 있었던 것으로 생각된다. 그리고 주문빈도 및 변동성과 수익률이 모두 호가스프레드에 유의적인 양(+)의 영향을 주고 있었다. 회귀분석결과 관찰자료로 총주문량, 거래빈도가 유동성변수로서 의미가 있었고, 묵시적 거래비용을 줄여줄 수 있을 것이라 보여진다. 한편 주문빈도는 정보탐색을 위한 허수주문으로 여겨진다. 우리나라 선물시장에서는 투자자들이 가격 변동성에 대한 보상을 원하고 있었다. 일반적으로 투자자들은 가격위험하에서는 거래 체결을 원하지 않기 때문에 이러한 점이 호가스프레드를 커지게 하였던 원인으로 보여진다.

• Management & Information Systems Review
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• v.35 no.2
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• pp.273-284
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• 2016

The objective of this study is to analyze the market efficiency in the futures markets. Although many previous studies have investigated market efficiency between spot and futures prices, that with different maturities has not been studied in the futures markets extensively. For our objective, this paper examines KOSPI200 stock index future market with different maturities. We analyze the dynamic serial relationship of the difference of basis between nearest-month contract and next nearest-month contract using dynamic regression analysis suggested by Kawamoto and Hamori(2011) Using the data from 2000. 1 to 2013. 12, the major empirical findings are as follows: First. the mean and standard deviation of basis of next nearest-month contract is bigger than those of nearest-month contract. Second, the t-period basis of nearest-month contract can be explained by (t-1)period basis of that. Third, the basis spread of t-period and (t-1)period have negative affect on the return of underlying assets. This result is very reasonable because two basis spreads are derived from same underlying assets. Finally, basis information of next nearest-month contract can be used for the prediction of nearest-month contract and spot market return.