• 대한수학회지
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• 제35권3호
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• pp.659-673
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• 1998

In this paper we consider a security market whose asset price process is a vector semimartingale. The market is said to be fair if there exists an equivalent martingale measure for the price process, deflated by a numeraire asset. It is shown that the fairness of a market is invariant under the change of numeraire. As a consequence, we show that the characterization of the fairness of a market is reduced to the case where the deflated price process is bounded. In the latter case a theorem of Kreps (1981) has already solved the problem. By using a theorem of Delbaen and Schachermayer (1994) we obtain an intrinsic characterization of the fairness of a market, which is more intuitive than Kreps' theorem. It is shown that the arbitrage pricing of replicatable contingent claims is independent of the choice of numeraire and equivalent martingale measure. A sufficient condition for the fairness of a market, modeled by an Ito process, is given.

• 한국의상디자인학회지
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• 제17권2호
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• pp.1-10
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• 2015

The purpose of the study was to analyze differences in importance of product selection criteria of retail buyers in Dongdaemum market according to price line of products, annual sales volume of the company, and work period as a retail buyer. The study defined a retail buyer as a buyer who buys apparel products in Dongdaemum market for their own stores. The questionnaire developed by the researchers was distributed to 200 retail buyers in Dongdaemun market. One hundred seventy two questionnaires were used in the final analysis. The data were analyzed by common factor analysis, ANOVA, and Tukey's test using SPSS 18.0/Windows. The results showed that product selection criteria were classified into 4 factors: fashion design, price, quality, and assortment. There were significant differences in importance of product selection criteria by retail buyers in Dongdaemum market according to price line of products and annual sales volume of the company, and work period as a retail buyer. The buyers of higher price products showed higher importance in all four factors of the product selection criteria. Also, the buyers of the company with lower annual sales volume considered price factors more important, but the buyers of the company with higher annual sales volume thought quality factor more important. Moreover, the buyer with work period of less than three years regarded price as a more important factor.

• 한국콘텐츠학회논문지
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• 제19권4호
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• pp.79-90
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• 2019

최근 들어 다수의 클라우드 서비스 제공자가 클라우드 컴퓨팅 서비스를 제공함으로써 각 제공자는 더 많은 사용자를 확보하기 위해 치열한 경쟁을 벌이고 있다. 서비스 제공자별 컴퓨팅 자원의 구성 및 서비스 제공 부하가 다르기 때문에 사용자는 다양한 수준의 서비스 품질을 경험할 수 있다. 따라서 클라우드 서비스 시장에서 더 많은 사용자를 확보하여 수익을 최대화하기 위해서는 서비스 품질에 대한 가장 합리적인 가격을 결정하는 것이 매우 중요하다. 본 연구에서는 두 명의 서비스 제공자가 존재하는 멀티미디어 클라우드 서비스 시장에서 두 제공자 간 서비스 가격 경쟁에 대해 다룬다. 두 명의 클라우드 서비스 제공자가 최적의 가격을 결정하여 상호 경쟁하고 자신의 이익을 최대화할 수 있는 가격 산정 방법을 비협력 게임 이론으로 설명한다. 이를 위해 멀티미디어 클라우드 서비스의 제공 프로세스를 대기행렬 시스템으로 모형화하고, 분석 결과를 바탕으로 복점 멀티미디어 클라우드 서비스 시장에서 가격 경쟁 문제를 제안한다.

• 대한산업공학회지
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• 제20권1호
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• pp.113-120
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• 1994

A duopoly model is developed in order to examine the effect of imperfect competition on the price-setting behavior of competing providers in a congested market. Multiple Nash price equilibria are found and the implications of such multiple price equilibria are discussed.

• 산경연구논집
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• 제11권12호
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• pp.39-45
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• 2020

Purpose: The stock price delay phenomenon refers to a phenomenon in which stock prices do not immediately reflect corporate information and the reflection is delayed. A prior study reported that the stock price delay phenomenon appears strongly when the quality of corporate information is low (Callen, Khan, & Lu, 2013). The purpose of the internal accounting control system is to improve the reliability of accounting information. Specifically, the more professionals such as certified public accountants are placed in the internal accounting control system, the more information is prevented from being distorted, so the occurrence of stock price delay will decrease. Research design, data and methodology: In this study, companies listed on the securities market from 2012 to 2016 were selected as a sample to analyze whether the stock price delay phenomenon is alleviated as accounting experts are assigned to the internal accounting control system. The internal control personnel data were collected in the "Internal Accounting Control System Operation Report" attached to the business report of each company of the Financial Supervisory Service's Electronic Disclosure System(DART). The measurement method of the stock price delay phenomenon was referred to the study of Hou and Moskowitz (2005). The final sample used in the study is 2,641 firm-years. Results: It was found that companies with certified accountants in the internal accounting control system alleviate the stock price delay phenomenon. This result can be interpreted as increasing the speed at which corporate information is reflected in the stock price by improving the reliability of information disclosed in the market by the placement of experts in the system. Conclusions: The results of this study suggest that accounting professionals assigned to the internal accounting control system are playing a positive role in providing high-quality information to the market. In this study, focusing on the fact that the speed at which corporate information is reflected in the stock price is very important for the stakeholders in the capital market, we find that having a certified public accountant in the internal accounting control system alleviates the stock price delay phenomenon.

• 산경연구논집
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• 제11권3호
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• pp.39-50
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• 2020

Purpose: Agriculture, which is heavily influenced by climate conditions, is one of the industries most affected by climate change. In this respect, various studies on the impact of climate change on the agricultural market have been conducted. Since climate change is a long-term phenomenon for more than a decade, long-term projections of agricultural prices as well as climate variables are needed to properly analyze the impact of climate change on the agricultural market. However, these long-term price projections are often major constraints on studies of climate changes. The purpose of this study is to analyze the impacts of climate changes on the Korean onion market using ex-post analysis approach in order to avoid the difficulties of long-term price projections. Research design, data and methodology: This study develops an annual dynamic partial equilibrium model of Korean onion market. The behavioral equations of the model were estimated by OLS based on the annual data from 1988 to 2018. The modelling system is first simulated to have actual onion market conditions from 2014 to 2018 as a baseline and then compared it to the scenario assuming the climatic conditions under RCP8.5 over the same period. Scenario analyses were simulated by both comparative static and dynamic approach to evaluate the differences between the two approaches. Results: According to the empirical results, if the climate conditions under RCP8.5 were applied from 2014 to 2018, the yield of onion would increase by about 4%, and the price of onion would decrease from 3.7% to 17.4%. In addition, the average price fluctuation rate over the five years under RCP8.5 climate conditions is 56%, which is more volatile than 46% under actual climate conditions. Empirical results also show that the price decreases have been alleviated in dynamic model compared with comparative static model. Conclusions: Empirical results show that climate change is expected to increase onion yields and reduce onion prices. Therefore, the appropriate countermeasures against climate change in Korean onion market should be found in the stabilization of supply and demand for price stabilization rather than technical aspects such as the development of new varieties to increase productivity.

• 경영과정보연구
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• 제32권5호
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• pp.287-300
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• 2013

본 논문은 원유 현물시장과 선물시장 중에서 어떤 시장이 가격발견에 있어서 우월한 지를 실증분석한 것이다. 분석을 위해 2005년 4월 5일부터 2013년 10월 31일까지 두바이유 현물, 선물, 서부텍사스유 현물과 선물, 북해산 브렌트유 현물과 선물의 최근월물 일별자료를 이용하였다. 본 연구의 결론은 다음과 같다. 두바이유, 서부텍사스유 선물시장의 현물시장보다 가격발견에 있어서 우월한 것으로 나타났다. 즉, 오차수정계수인 ${\lambda}_1$은 통계적으로 비유의적인 값을 가지고 ${\lambda}_2$는 유의적인 양(+)의 값을 가졌다. 한편, Granger-Gonzalo 정보비율과 Hasbrouck 정보비율을 이용한 강건성 검정에서 두바이유와 서부텍사스유 두 시장 모두 GG 정보비율과 Habrouck의 중간값이 0.5보다 큰 값을 가지는 것으로 나타나 선물시장이 현물시장보다 가격발견에 있어서 우월함을 확인 할 수 있었다. 하지만 브렌트유의 경우는 반대로 현물시장이 선물시장보다 가격발견에 있어서 우월한 것으로 나타났다.

• 토지주택연구
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• 제10권1호
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• pp.9-18
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• 2019

This study examined the dynamic change in the co-movement between the house price rates with the network methods of Mantegna (1999). First, Capital area and non-capital area form independent clusters which have the heterogeneous co-movement pattern. In other words, Capital and non-capital areas have low connectivity in the housing market. Also, if the co-movement between capital areas have been strengthened, the co-movement between non-capital areas have been weakened. The results of the dynamic analysis show that the degree of the co-movement in the housing market is continuously increased. The members of the co-movement group in the capital area are strongly steadied by all periods. However, the members in the non-capital area have been changed according to the period. Accordingly, it is necessary to establish policies based on various information for the housing market of the non-capital area rather than policies targeting the capital area. In addition, Apartments in Korea are more likely to be used as investment or speculative assets than other types of houses. It has been confirmed that this is Gangbuk, which is locatied in the northern part of Seoul, appears to be a region where the Spillover Effects of price fluctuation can be triggered in the housing and apartment market. However, the housing market in Gangnam, which is locatied in the southern part of Seoul, was divided into low systematic risk.

• 자원ㆍ환경경제연구
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• 제14권1호
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• pp.201-220
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• 2005

최근 들어, 우리는 유례 없는 국제 유가의 급등현상을 목격하고 있다. 이러한 시점에서, 의문점은 유가에 대한 예측 가능성과 이의 정확도에 관한 것이다. 본 연구에서는 전문가 예측시스템과 비교하여 선물가격의 상대적인 예측력에 관하여 통계적으로 분석하고자 한다. 이를 위해, 미국 텍사스 중질유(WTI)의 현물가격과 선물가격을 활용하여, 예측 정확도에 관한 단순한 형태의 통계적 분석과 함께 분석수단별 예측오차 차이의 유의성에 관한 체계적 분석을 시도하였다. 통계적 검정결과에 따르면, WTI 선물시장을 활용한 예측은 미국 에너지정보기구(EIA)의 예측과 비교하여 뒤지지 않는 것으로 판명되었다. 결과적으로, 석유 생산자와 소비자 모두가 WTI 선물시장을 유가 예측의 유용한 수단으로 활용할 수 있고, 이로써 효율적인 자원배분 측면에서도 유익할 것으로 판단된다.

• Journal of Information Processing Systems
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• 제20권1호
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• pp.93-104
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• 2024

China is playing more predominant role in the liquefied natural gas (LNG) market worldwide and LNG import price is subject to various factors both at home and abroad. Nevertheless, previous studies rarely heed a multiple of factors. A time-varying parameter factor augmented vector auto-regression (TVP-FAVAR) model is adopted to discover the determinants of China's LNG import price and their dynamic impacts from January 2012 to December 2021. According to the findings, market fundamentals have a greater impact on the import price of natural gas in China than overall economic demand, financial considerations, and world oil prices. The primary determinants include domestic gas consumption, consumer confidence and other demand-side information. Then, there are diverse and time-varying spillover effects of the four common determinants on the volatility of China's LNG import price at different intervals and time nodes. The price volatility is more sensitive and long-lasting to domestic natural gas pricing reform than other negative shocks such as the Sino-US trade war and the COVID-19 pandemic. The results in this study further proves the importance of domestic natural gas market liberalization. China ought to do more to support the further marketization of natural gas prices while working harder to guarantee natural gas supplies.