System trading is becoming more popular among Korean traders recently. System traders use automatic order systems based on the system generated buy and sell signals. These signals are generated from the predetermined entry and exit rules that were coded by system traders. Most researches on system trading have focused on designing profitable entry and exit rules using technical indicators. However, market conditions, strategy characteristics, and money management also have influences on the profitability of the system trading. Unexpected price deviations from the predetermined trading rules can incur large losses to system traders. Therefore, most professional traders use strategy portfolios rather than only one strategy. Building a good strategy portfolio is important because trading performance depends on strategy portfolios. Despite of the importance of designing strategy portfolio, rule of thumb methods have been used to select trading strategies. In this study, we propose a SVM-based strategy portfolio management system. SVM were introduced by Vapnik and is known to be effective for data mining area. It can build good portfolios within a very short period of time. Since SVM minimizes structural risks, it is best suitable for the futures trading market in which prices do not move exactly the same as the past. Our system trading strategies include moving-average cross system, MACD cross system, trend-following system, buy dips and sell rallies system, DMI system, Keltner channel system, Bollinger Bands system, and Fibonacci system. These strategies are well known and frequently being used by many professional traders. We program these strategies for generating automated system signals for entry and exit. We propose SVM-based strategies selection system and portfolio construction and order routing system. Strategies selection system is a portfolio training system. It generates training data and makes SVM model using optimal portfolio. We make $m{\times}n$ data matrix by dividing KOSPI 200 index futures data with a same period. Optimal strategy portfolio is derived from analyzing each strategy performance. SVM model is generated based on this data and optimal strategy portfolio. We use 80% of the data for training and the remaining 20% is used for testing the strategy. For training, we select two strategies which show the highest profit in the next day. Selection method 1 selects two strategies and method 2 selects maximum two strategies which show profit more than 0.1 point. We use one-against-all method which has fast processing time. We analyse the daily data of KOSPI 200 index futures contracts from January 1990 to November 2011. Price change rates for 50 days are used as SVM input data. The training period is from January 1990 to March 2007 and the test period is from March 2007 to November 2011. We suggest three benchmark strategies portfolio. BM1 holds two contracts of KOSPI 200 index futures for testing period. BM2 is constructed as two strategies which show the largest cumulative profit during 30 days before testing starts. BM3 has two strategies which show best profits during testing period. Trading cost include brokerage commission cost and slippage cost. The proposed strategy portfolio management system shows profit more than double of the benchmark portfolios. BM1 shows 103.44 point profit, BM2 shows 488.61 point profit, and BM3 shows 502.41 point profit after deducting trading cost. The best benchmark is the portfolio of the two best profit strategies during the test period. The proposed system 1 shows 706.22 point profit and proposed system 2 shows 768.95 point profit after deducting trading cost. The equity curves for the entire period show stable pattern. With higher profit, this suggests a good trading direction for system traders. We can make more stable and more profitable portfolios if we add money management module to the system.
Kim, Yo-Sup;Hong, Yeong-Pyo;Cho, Young-Il;Kim, Jin-Su;Eun, Jong-Won;Lee, Jong-Yong;Lee, Sang-Hun
Journal of the Korea Academia-Industrial cooperation Society
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v.11
no.9
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pp.3472-3480
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2010
The Clustering technology of Energy efficiency wireless sensor network gets the energy efficiency by reducing the number of communication between sensor nodes and sink node. In this paper, First analyzed on the clustering technique of the distributed clustering protocol routing scheme LEACH (Low Energy Adaptive Clustering Hierarchy) and HEED (Hybrid, Energy-Efficient Distributed Clustering Approach), and based on this, new energy-efficient clustering technique is proposed for the cause the maximum delay of dead nodes and to increase the lifetime of the network. In the proposed method, the cluster head is elect the optimal efficiency node based on the residual energy information of each member node and located information between sink node and cluster node, and elected a node in the cluster head since the data transfer process from the data been sent to the sink node to form a network by sending the energy consumption of individual nodes evenly to increase the network's entire life is the purpose of this study. To verify the performance of the proposed method through simulation and compared with existing clustering techniques. As a result, compared to the existing method of the network life cycle is approximately 5-10% improvement could be confirmed.
Journal of the Institute of Electronics Engineers of Korea SD
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v.44
no.8
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pp.80-88
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2007
High adaptability and scalability are two critical issues in implementing a very complex system in a single chip. To obtain high adaptability and scalability, novel system design methodology known as communication-based system design has gained large attention from SoC designers. NoC (Network-on-Chip) is such an on-chip communication-based design approach for the next generation SoC design. To provide high adaptability and scalability, NoCs employ network interfaces and routers as their main communication structures and transmit and receive packetized data over such structures. However, data packetization, and routing overhead in terms of run time and area may cost too much compared with conventional SoC communication structure. Therefore, in this research, we propose a novel methodology which automatically generates a hybrid communication structure. In this work, we map traditional pin-to-pin wiring structure for frequent and timing critical communication, and map flexible and scalable structure for infrequent, or highly variable communication patterns. Even though, we simplify the communication structure significantly through our algorithm the connectivity or the scalability of the communication modules are almost maintained as the original NoC design. Using this method, we could improve the timing performance by 49.19%, and the area taken by the communication structure has been reduced by 24.03%.
The Journal of The Korea Institute of Intelligent Transport Systems
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v.17
no.5
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pp.14-28
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2018
Thanks to technical improvement on the vehicle to vehicle communication and the intelligent transportation system, gradual introduction of the autonomous vehicles is expected soon in the market. The study analyzes the autonomous vehicles' impacts on the network efficiencies. In order to measure the network efficiencies, the study applies the sequential procedures that combines the microscopic and macroscopic simulations. The microscopic simulation attends to the capacity changes due to the autonomous vehicles' proportions on the roadway while the macroscopic simulation utilizes the simulation results in order to identify the network-wide improvement. As expected, the autonomous vehicles efficiently utilizes the existing capacity of the roadway than the human driving does. Particularly, the maximum capacity improvements are expected by the 190.5% on the expressway. The significant capacity change is observed when the autonomous vehicles' proportions are about 80% or more. These improvements are translated into the macroscopic model, which also yields overall network efficiency improvement by the autonomous vehicles' penetration. However, the study identifies that the market debut of the autonomous vehicles does not promise the free flow condition, which implies the possible needs of the system optimal routing scheme for the era of the autonomous vehicles.
Seo, Ji-Yeong;Lee, Seon-Ha;Cheon, Choon-Keun;Lee, Eun-Ho
The Journal of The Korea Institute of Intelligent Transport Systems
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v.17
no.2
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pp.73-86
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2018
The increase in the number of private automobiles has incurred various traffic problems. Globally, studies on MaaS(Mobility as a Service) has already been initiated to mobilize the use of public transportation in reducing private passenger cars in roads. This study aims to analyze the passenger's optimal route considering the transfer between different transportation modes through simulation, and analyze the effect of available route through the connected transportation modes. Sejong Special Self-Governing City was chosen as the study area due to its extensive transportation network. As a result of the analysis, the predominant obtainable route is derived either from using public transportation (i.e. bus and subway) only or by bicycle. However, it is also possible to use the car sharing and public bicycle to reach their final destination efficiently when paths that can be traversed were more scrutinized. When various transportation information and location-based services are introduced in smart phone applications, they can provide very useful information to passengers, and also promote social problems such as traffic congestion and environmental issues in the future.
Last-Mile delivery optimization plays a key role in the urban supply chain operation, which is the most expensive and time-consuming and most complicated part of the whole delivery process. The urban consolidation center (UCC) is regarded as a significant asset for supporting customer demand in the last-mile delivery service. It is the key benefit of UCC to improve the load balance of vehicles and to reduce the total traveling distance by finding the better route with the well-organized multi-leg vehicle journey in the urban area. This paper presents the model using multiple scenario analysis integrated with mathematical optimization techniques using Geographic Information System (GIS). The model aims to find the best solution for the distribution network consisted of DC and UCC, which is applied to the case of Ulaanbaatar Mongolia. The proposed methodology integrates two sub-models, location-allocation model and vehicle routing problem. The multiple scenarios devised by selecting locations of UCC are compared considering the general performance and delivery patterns together. It has been adopted to make better decisions the quantitative metrics such as the economic value of capital cost, operating cost, and balance of using available resources. The result of this research may help the manager or public authorities who should design the distribution network for the last mile delivery service optimization using UCC within the urban area.
Routing through a backbone, which is responsible for performing and managing multipoint communication, reduces the communication overhead and overall energy consumption in wireless sensor networks. However, the backbone nodes will need extra functionality and therefore consume more energy compared to the other nodes. The power consumption imbalance among sensor nodes may cause a network partition and failures where the transmission from some sensors to the sink node could be blocked. Hence optimal construction of the backbone is one of the pivotal problems in sensor network applications and can drastically affect the network's communication energy dissipation. In this paper a distributed algorithm is proposed to generate backbone trees through robust multi-hop clusters in wireless sensor networks. The main objective is to form a properly designed backbone through multi-hop clusters by considering energy level and degree of each node. Our improved cluster head selection method ensures that energy is consumed evenly among the nodes in the network, thereby increasing the network lifetime. Comprehensive computer simulations have indicated that the newly proposed scheme gives approximately 10.36% and 24.05% improvements in the performances related to the residual energy level and the degree of the cluster heads respectively and also prolongs the network lifetime.
In this study, the applicability of genetic algorithms into the parameter estimation of storage function method for flood routing model is investigated. Genetic algorithm is mathematically established theory based on the process of Darwinian natural selection and survival of fittest. It can be represented as a kind of search algorithms for optima point in solution space and make a reach on optimal solutions through performance improvement of assumed model by applying the natural selection of life as mechanical learning province. Flood events recorded in the Daechung dam are selected and used for the parameter estimation and verification of the proposed parameter estimation method by the split sample method. The results are analyzed that the performance of the model are improved including peak discharge and time to peak and shown that the parameter Rsa, and f1 are most sensitive to storage function model. Based on the analysis for estimated parameters and the comparison with the results from experimental equations, the applicability of genetic algorithm is verified and the improvements of those equations will be used for the augmentation of flood control efficiency.
KIPS Transactions on Computer and Communication Systems
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v.5
no.7
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pp.159-172
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2016
This paper presents a novel algorithm for searching evacuation paths in indoor disaster environments. The proposed method significantly improves the time complexity to find the paths to the evacuation exit by introducing a light-weight Disaster Evacuation Graph (DEG) for a building in terms of the size of the graph. With the DEG, the method also considers load balancing and bottleneck capacity of the paths to the evacuation exit simultaneously. The behavior of the algorithm consists of two phases: horizontal tiering (HT) and vertical tiering (VT). The HT phase finds a possible optimal path from anywhere of a specific floor to the evacuation stairs of the floor. Thus, after finishing the HT phases of all floors in parallel the VT phase begins to integrate all results from the previous HT phases to determine a evacuation path from anywhere of a floor to the safety zone of the building that could be the entrance or the roof of the building. It should be noted that the path produced by the algorithm. And, in order to define the range of graph to process, tiering scheme is used. In order to test the performance of the method, computing times and evacuation times are compared to the existing path searching algorithms. The result shows the proposed method is better than the existing algorithms in terms of the computing time and evacuation time. It is useful in a large-scale building to find the evacuation routes for evacuees quickly.
Wireless sensor network is based on an event driven system. Sensor nodes collect the events in surrounding environment and the sensing data are relayed into a sink node. In particular, when events are detected, the data sensing periods are likely to be shorter to get the more correct information. However, this operation causes the traffic congestion on the sensor nodes located in a routing path. Since the traffic congestion generates the data queue overflows in sensor nodes, the important information about events could be missed. In addition, since the battery energy of sensor nodes exhausts quickly for treating the traffic congestion, the entire lifetime of wireless sensor networks would be abbreviated. In this paper, a new congestion control method is proposed on the basis of genetic algorithm. To apply genetic algorithm, the data traffic rate of each sensor node is utilized as a chromosome structure. The fitness function of genetic algorithm is designed from both the average and the standard deviation of the traffic rates of sensor nodes. Based on dominant gene sets, the proposed method selects the optimal data forwarding sensor nodes for relieving the traffic congestion. In experiments, when compared with other methods to handle the traffic congestion, the proposed method shows the efficient data transmissions due to much less queue overflows and supports the fair data transmission between all sensor nodes as possible. This result not only enhances the reliability of data transmission but also distributes the energy consumptions across the network. It contributes directly to the extension of total lifetime of wireless sensor networks.
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