• International Journal of Internet, Broadcasting and Communication
• /
• 제12권3호
• /
• pp.125-130
• /
• 2020

At the end of 1997, the volatility of the exchange rate intensified as the nation's exchange rate system was converted into a free-floating exchange rate system. As a result, managing the exchange rate is becoming a very important task, and the need for forecasting the exchange rate is growing. The exchange rate prediction model using the existing exchange rate prediction method, statistical technique, cannot find a nonlinear pattern of the time series variable, and it is difficult to analyze the time series with the variability cluster phenomenon. And as the number of variables to be analyzed increases, the number of parameters to be estimated increases, and it is not easy to interpret the meaning of the estimated coefficients. Accordingly, the exchange rate prediction model using artificial neural network, rather than statistical technique, is presented. Using DNN, which is the basis of deep learning among artificial neural networks, and LSTM, a recurrent neural network model, the number of hidden layers, neurons, and activation function changes of each model found the optimal exchange rate prediction model. The study found that although there were model differences, LSTM models performed better than DNN models and performed best when the activation function was Tanh.

• East Asian Economic Review
• /
• 제24권1호
• /
• pp.61-87
• /
• 2020

Five diffusion models are estimated using three different foreign exchange rates to find an appropriate model for each. Daily spot exchange rates expressed as the prices of 1 euro, 1 British pound and 100 Japanese yen in US dollars, respectively denoted by USD/EUR, USD/GBP, and USD/100JPY, are used. The maximum likelihood estimation method is implemented after deriving an approximate log-transition density function (log-TDF) of the diffusion processes because the true log-TDF is unknown. Of the five models, the most general model is the best fit for the USD/GBP, and USD/100JPY exchange rates, but it is not the case for the case of USD/EUR. Although we could not find any evidence of the mean-reverting property for the USD/EUR exchange rate, the USD/GBP, and USD/100JPY exchange rates show the mean-reversion behavior. Interestingly, the volatility function of the USD/EUR exchange rate is increasing in the exchange rate while the volatility functions of the USD/GBP and USD/100Yen exchange rates have a U-shape. Our results reveal that more care has to be taken when determining a diffusion model for the exchange rate. The results also imply that we may have to use a more general diffusion model than those proposed in the literature when developing economic theories for the behavior of the exchange rate and pricing foreign currency options or derivatives.

• East Asian mathematical journal
• /
• 제37권5호
• /
• pp.567-576
• /
• 2021

In this paper, we deal with the pricing of vulnerable power exchange option. We consider the hybrid model as the credit risk model. The hybrid model consists of a combination of the reduced-form model and the structural model. We derive the closed-form pricing formula of vulnerable power exchange option based on the change of measure technique.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권3호
• /
• pp.1-10
• /
• 2021

This study examines the dynamic pattern of the exchange rate volatilities of the ASEAN-5 currencies from January 2006 to August 2020. The exchange rates applied in this study comprise bilateral and effective exchange rates in order to investigate the influence of the US dollar on the stability of the ASEAN-5 currencies. Since a volatility model employed in this study is a natural cubic spline volatility model, the Monte Carlo simulation is consequently conducted to determine an appropriate criterion to select a number of quantile knots for this model. The simulation results reveal that, among four candidate criteria, Generalized Cross-Validation is a suitable criterion for modeling the ASEAN-5 exchange rate volatilities. The estimated volatilities showed the inconstant dynamic patterns reflecting the uncertain exchange rate risk arising in international transactions. The bilateral exchange rate volatilities of the ASEAN-5 currencies to the US dollar are more variable than their corresponding effective exchange rate volatilities, indicating the influence of the US dollar on the stability of the ASEAN-5 currencies. The findings of this study suggest that the natural cubic spline volatility model with the quantile knots selected by Generalized Cross-Validation is practical and can be used to examine the dynamic patterns of the financial volatility.

• 전기학회논문지
• /
• 제58권10호
• /
• pp.2052-2058
• /
• 2009

The standardized and open information model called common language and information exchange format should be firstly defined for the interoperable power system and two-way information exchange among the components of the power system. The information models and information exchange formats for power facilities and power system applications are being defined in power system area, but the information model and information exchange format for the consumer area are not being yet defined besides of metering information model. An architecture and open standard for the information exchange between energy service provider and consumer are required to provide various value added services through the networking with devices in consumer premise. In this paper, an architecture for the two-way communications between energy service provider and consumer is defined and psXML(power system XML) for the information exchange is designed.

• 한국물환경학회지
• /
• 제25권5호
• /
• pp.750-757
• /
• 2009

The ammonium ion exchange characteristics of natural zeolite were investigated to remove ${NH_4}^+-N$. The effect of water temperature, particle size and competitive cation on the exchange capacity was examined. Ammonium ion exchange capacity tended to decrease when the temperature increased from $25^{\circ}C$ to $40^{\circ}C$. Exchange capacity was increased according to the particle size of natural zeolite comes to be small. Batch isotherm experiments were conducted for measuring ammonium ion exchange capacity. The ion exchange capacity was well described either by the Langmuir isotherm model or by the Freundlich isotherm model. The ammonium ion exchange capacity ($q_m$) of zeolite carrier can be calculated $11.744mg-{NH_4}^+/g$-carrier. The ion exchange capacity of manufactured zeolite carrier was showed a similar tendency as ion exchange capacity of powder-sized natural zeolite. Therefore, zeolite carrier can be used for increasing of nitrogen removal efficiency in the wastewater treatment plants.

• East Asian mathematical journal
• /
• 제37권1호
• /
• pp.79-85
• /
• 2021

In this paper, we investigate the valuation of vulnerable exchange option that has credit risk of option issuer. The reduced-form model is used to model credit risk. We assume that credit event is determined by the jump of the counting process with stochastic intensity, which follows the mean reverting process. We propose a simple approach to derive the closed-form pricing formula of vulnerable exchange option under the reduced-form model and provide the pricing formula as the standard normal cumulative function.

• 통상정보연구
• /
• 제10권1호
• /
• pp.329-347
• /
• 2008

The purpose of this study is to examine the causal relationship between the exchange rate and economic growth, and to induce policy implications. In order to test whether time series data is stationary and the model is fitness or not, we put in operation unit root test, cointegration test. And we apply Granger causality based on an error correction model. The results indicate that uni-dierctional causality between exchange rate and economic growth is detected. Exchange rate impacts on economic growth, but economic growth don't impact on exchange rate. The analysis of impulse reaction function shows that the impulse of exchange rate impacts on Korean economic growth in negative direction. We can infer policy suggestion as follows: The fluctuation of exchange rate much affects economic growth, thus we must make a stable policy of exchange rate to continue economic growth.

• East Asian Economic Review
• /
• 제20권3호
• /
• pp.365-390
• /
• 2016

This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed than in the 2010s, this paper finds that both the long memory volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be upward biased and overstated because of the structural breaks in the exchange markets. Thus this paper applies the Adaptive-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the structural breaks in the exchange markets affect the long memory volatility property significantly in the two periods but the degree of the long memory volatility property in the 1920s is reduced more remarkably than in the 2010s after the structural breaks are accounted for; thus implying that the structural breaks in the foreign exchange markets in the 1920s seem to be more significant.

• 한국지역사회생활과학회지
• /
• 제26권1호
• /
• pp.19-38
• /
• 2015

This study explores the types of relationships between 410 adult children and their elderly parents based of exchange theory and the Konstanz model. In terms of the exchange of emotional, instrumental, and economic support based on exchange theory, the types of relationships identified included "support offers," "reciprocity," and "support benefits." In terms of conflict, intimacy, support offers, support benefits, and support obligations for adult children based on the Konstanz model, the type of relationships with the father included "an intimate exchange," "conflictual distance," "a conflictual sense of duty," and "a flexible exchange." The type of relationships with the mother included "an intimate exchange," "conflictual distance," "separate distance," and "a conflictual offer." There were no distinct characteristics of relationship types based on exchange theory. However, there were differences in characteristics of relation types based on the Konstanz model by gender. These results have important implications with respect to the Western model.