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VKOSPI Forecasting and Option Trading Application Using SVM (SVM을 이용한 VKOSPI 일 중 변화 예측과 실제 옵션 매매에의 적용)

  • Ra, Yun Seon;Choi, Heung Sik;Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.22 no.4
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    • pp.177-192
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    • 2016
  • Machine learning is a field of artificial intelligence. It refers to an area of computer science related to providing machines the ability to perform their own data analysis, decision making and forecasting. For example, one of the representative machine learning models is artificial neural network, which is a statistical learning algorithm inspired by the neural network structure of biology. In addition, there are other machine learning models such as decision tree model, naive bayes model and SVM(support vector machine) model. Among the machine learning models, we use SVM model in this study because it is mainly used for classification and regression analysis that fits well to our study. The core principle of SVM is to find a reasonable hyperplane that distinguishes different group in the data space. Given information about the data in any two groups, the SVM model judges to which group the new data belongs based on the hyperplane obtained from the given data set. Thus, the more the amount of meaningful data, the better the machine learning ability. In recent years, many financial experts have focused on machine learning, seeing the possibility of combining with machine learning and the financial field where vast amounts of financial data exist. Machine learning techniques have been proved to be powerful in describing the non-stationary and chaotic stock price dynamics. A lot of researches have been successfully conducted on forecasting of stock prices using machine learning algorithms. Recently, financial companies have begun to provide Robo-Advisor service, a compound word of Robot and Advisor, which can perform various financial tasks through advanced algorithms using rapidly changing huge amount of data. Robo-Adviser's main task is to advise the investors about the investor's personal investment propensity and to provide the service to manage the portfolio automatically. In this study, we propose a method of forecasting the Korean volatility index, VKOSPI, using the SVM model, which is one of the machine learning methods, and applying it to real option trading to increase the trading performance. VKOSPI is a measure of the future volatility of the KOSPI 200 index based on KOSPI 200 index option prices. VKOSPI is similar to the VIX index, which is based on S&P 500 option price in the United States. The Korea Exchange(KRX) calculates and announce the real-time VKOSPI index. VKOSPI is the same as the usual volatility and affects the option prices. The direction of VKOSPI and option prices show positive relation regardless of the option type (call and put options with various striking prices). If the volatility increases, all of the call and put option premium increases because the probability of the option's exercise possibility increases. The investor can know the rising value of the option price with respect to the volatility rising value in real time through Vega, a Black-Scholes's measurement index of an option's sensitivity to changes in the volatility. Therefore, accurate forecasting of VKOSPI movements is one of the important factors that can generate profit in option trading. In this study, we verified through real option data that the accurate forecast of VKOSPI is able to make a big profit in real option trading. To the best of our knowledge, there have been no studies on the idea of predicting the direction of VKOSPI based on machine learning and introducing the idea of applying it to actual option trading. In this study predicted daily VKOSPI changes through SVM model and then made intraday option strangle position, which gives profit as option prices reduce, only when VKOSPI is expected to decline during daytime. We analyzed the results and tested whether it is applicable to real option trading based on SVM's prediction. The results showed the prediction accuracy of VKOSPI was 57.83% on average, and the number of position entry times was 43.2 times, which is less than half of the benchmark (100 times). A small number of trading is an indicator of trading efficiency. In addition, the experiment proved that the trading performance was significantly higher than the benchmark.

Supercargo and Temporary Passengers (화물관리인과 임시승선자)

  • Choi, Suk-Yoon;Hong, Sung-Hwa;Ha, Chang-Woo
    • Proceedings of the Korean Institute of Navigation and Port Research Conference
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    • 2018.11a
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    • pp.225-227
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    • 2018
  • This research paper examines the history and present of 'temporary passengers' prescribed in Paragraph 9 of Article 5 of the Ships Safety Act Enforcement Regulations and suggests improvement plans referring to the examples of legislation of other countries. In 2015, Ministry of Ocean and Fisheries made authoritative interpretation that Paragraph 9 of Article 5 of the Ships Safety Act Enforcement Regulations, which prescribes special cargo drivers such as agricultural, marine or livestock vehicles as temporary passengers, is applied only to passenger ships and not to cargo ships such including Ro-Ro cargo ships. As the authoritative interpretation of the Ministry does not agree with not only the traditional interpretational methodology but also the interpretational methodology that are commonly used today, it lacks logical basis and looks unpersuasive. Paragraph 9 of Article 5 of the Ships Safety Act Enforcement Regulations can be applied not only on passenger ships but also on cargo ships. Also in case of Ro-Ro cargo ships, it is logically contradictory and against fairness not to acknowledge special cargo vehicle drivers as temporary passengers when there is no problem with safe navigation and safety of passengers on board even when the sailor, the sailor's family and the ship owner may be acknowledged as temporary passengers. To avoid unnecessary disputes and lawsuits, improvement plans using theory of legislation through statutory reform is more desirable. Therefore, the P aragraph should be amended to "Supercargo who deals with cargo that requires special care due to the characteristics of the cargo, such as transportation vehicles for agricultural products, marine products, livestock, explosives or flammable materials (drivers can serve as supercargos)" to reflect the distinct characteristics of cargo and ship navigation in Korea including the current distribution system, while setting an objective standard based on common sense of ordinary people and not on arbitrary interpretation.

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Evaluation of Denitrification Reactivity by the Supported Nanoscale Zero-Valent Iron Prepared in Ethanol-Water Solution (이중용매에서 제조된 나노영가철을 이용한 질산성질소의 환원반응성 평가)

  • Park, Heesu;Park, Yong-Min;Oh, Soo-Kyeong;Lee, Seong-Jae;Choi, Yong-Su;Lee, Sang-Hyup
    • Korean Chemical Engineering Research
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    • v.46 no.5
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    • pp.1008-1012
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    • 2008
  • Nanoscale zero-valent iron(nZVI) is famous for its high reactivity originated from its high surface area and it has received considerable attentions as one of the latest innovative technologies for treating contaminated groundwater. Due to its fine powdery form, nZVI has limited filed applications. The efforts to overcome this shortcoming by immobilizing nZVI on a supporting material have been made. This study investigated the differences of resin-supported nZVI's characteristics by changing the preparation methods and evaluated its reactivity. The borohydride reduction of an iron salt was proceeded in ethanol/water solvent containing a dispersant and the synthesis was conducted in the presence of ion-exchange resin. The resulting material was compared to that prepared in a conventional way of using de-ionized water by measuring the phyrical and chemical characteristics. BET surface area and Fe content of nZVI-attached resin was increased from $31.63m^2/g$ and 18.19 mg Fe/g to $38.10m^2/g$ and 22.44 mg Fe/g, respectively, by switching the solution medium from water to ethanol/water with a dispersant. The reactivity of each material was tested using nitrate solution without pH control. The pseudo first-order constant of $0.462h^{-1}$ suggested the reactivity of resin-supported nZVI prepared in ethanol/water was increased 61 % compared to that of the conventional type of supported nZVI. The specific reaction rate constant based on surface area was also increased. The results suggest that this new supported nZVI can be used successfully in on-site remediation for contaminated groundwater.

Growth of Containerized Chamaecyparis obtusa Seedlings as Affected by Fertilizer and Container Volume (시비수준 및 용기용적에 따른 편백 용기묘의 생장 특성)

  • Jae, Dai-Young;Seo, Huiyeong;Cho, Hyun-Seo;Ahn, Hyun-Chul;Kim, Choonsig
    • Journal of Korean Society of Forest Science
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    • v.104 no.1
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    • pp.26-34
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    • 2015
  • This study was carried out to evaluate the growth characteristics, carbon and nitrogen content of containerized 1-0 Chamaecyparis obtusa seedlings at various levels of fertilizer (2 g/L, 1 g/L, control) and three container volumes (500 mL, 400 mL, 320 mL). The growth of root collar diameter was highest in the 2 g/L (3.14 mm), followed by the 1 g/L (2.75 mm) and control (2.41 mm) treatments, while the height of seedling was significantly higher in the 1 g/L (21.88 cm) than other treatments (2 g/L: 20.92 cm; control: 19.06 cm). The growth of root collar diameter by container volume was better in the 500 mL than in the 320 mL. Dry weight of seedling was the highest in the 1 g/L ($4.41g\;seedling^{-1}$), followed by the control ($3.67g\;seedling^{-1}$) and the 2 g/L ($2.92g\;seedling^{-1}$) treatments. The dry weight of seedlings by container volume was significantly higher in the 500 mL than in the 320 mL. Nitrogen concentration in foliage was ranged from 1.51% in the control to 2.45-2.60% in the fertilizer treatments. However, carbon concentration of seedlings was not affected by the fertilizer or the container volume treatments. The growth of seedlings following planting in mountain area was better in the fertilized seedlings compared with in the unfertilized seedlings. The results indicate that the 1 g/L fertilization was an optimum rate for growth following planting of Chamaecyparis obtusa seedlings.

A Study on the Influential Factors of the Dental Hygienist's Professionalism (치과위생사의 전문직업성에 관한 영향요인 연구)

  • Lee, Ji-Yeoun
    • Journal of dental hygiene science
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    • v.11 no.6
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    • pp.573-581
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    • 2011
  • The purpose of this study was to examine the professionalism of dental hygienists in dental institutions and the influential factors for their professionalism in an attempt to seek ways of enhancing the professionalism of dental hygienists. The subjects in this study were 172 dental hygienists who worked in dental institutions in Busan and Gimhae. A self-administered survey was conducted to gather data, and an experimental analysis was carried out to analyze the collected data. The major findings of the study were as follows: First, concerning professionalism, self-regulation belief(3.70) ranked highest(3.42), followed by service belief(3.65), autonomy belief(3.31), a sense of vocational calling(3.30) and utilization of the professional organization as a standard(3.12). Second, the professionalism of the dental hygienists was significantly better when their title was higher, when they were older, when they got a larger monthly pay and when they intended to work for a longer time. Third, as for the influential factors for their professionalism, age, marital status, the estimated term of working at the workplace and opinion on reemployment were also identified as the significant variables that were up to the standard level of significance(p=0.05). The findings of the study suggest that in order to boost the professionalism of dental hygienists, it's required to take institutional measures to give them more responsibility, autonomy and authority, and how to improve personnel administration by providing strong motivation for them to look at their workplaces more favorably and keep on working for a long time should discreetly be considered.

Effect of He-Ne laser intravascular irradiation in treatment of cerebral infarction (뇌경색(腦硬塞)에 대(對)한 He-Ne laser 정맥혈관내(靜脈血管內) 조사(照射)의 효과(效果))

  • Park, Yang Chun;Ann, Taek Won;Kim, Dong Hee;Kim, Byeong Tak
    • Journal of Haehwa Medicine
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    • v.9 no.1
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    • pp.387-397
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    • 2000
  • Background : Intravascular Laser Irrardiation of Blood(ILIB) is used in disorder of cerebral and peripheral blood circulation, dysfunction of brain, atherosclerosis etc., but there are little study about ILIB in oriental medicine. We wished to assess the efficacy of ILIB for the treatment of cerebral infarction. Method : The study group comprised 40 patients who arrived at hospital during 48 hours after attack. All patient were divided into two group. The control group was treated with Uhuangcheongsimhuan(牛黃淸心丸), Seonghyangjeonggisan(星香正氣散), acupuncture therapy only, while the ILIB group was treated with above therapy plus 5 days of irradiation of He-Ne Laser(1.8~2.5mW, 50min. per day). In rat model of middle cerebral artery(MCA) occlusion, the control group was not treated, while the ILIB group was treated with irradiation of He-Ne Laser(1.8~2.5mW, 24sec.). Result : 1. Symptom improve scores did not showed significant difference between control and ILIB group. 2. Vasoreactivity of carotid siphon did not showed significant difference between control and ILIB group. 3. Vasoreactivity of radial artery did not showed significant difference between control and ILIB group. 4. PT a-PTT did not showed significant changes between before and after treatment in both group. Fibrinogen significantly increased after treatment in ILIB group(p<0.05)), but it was in normal degree. 5. ILIB showed a significant decrease of brain ischemic area and edema in rat model of middle cerebral artery(MCA) occlusion. Conclusion : These findings suggest that additional treatment of ILIB is not more useful than traditional therapy only in acute cerebral infarction. But ILIB showed potential effect in rat model of MCA occlusion. So further investigation will be necessary.

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A study on the Effects of Rehmannia Radix and Eukmigihwangtang (EMGHT) on Antioxidation Activity in Aging Rats (숙지황(熟地黃)과 육미지황탕(六味地黃湯)이 노화과정(老化過程) 흰쥐에서의 항산화(抗酸化) 기전(機轉)에 미치는 영향(影響))

  • Ahn, Sang-Won;Lee, Cheol-wan
    • Journal of Haehwa Medicine
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    • v.8 no.1
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    • pp.593-623
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    • 1999
  • This experimental study was designed to verify the anti-aging efficacy of Eukmigihwangtang (EMGHT) and Rehmannia Radix, and determine the specific role and actions of Rehmannia Radix. Normal rat (2 months old), aging rat (8 months old), and pathologically induced rat (2 months old, injected 30mg/kg of streptozotocin) are observed to study the aging eliciting factors such as peroxide contents and enzyme activities. The following results were obtained in this study: 1. For the body weight changes, normal group given Rehmannia Radix showed decrease in the body weight compared to the control group, aging group given EMGHT and Rehmannia Radix showed significant decrease in the body weight, and STZ injected group showed suppression to the body weight loss when given EMGHT and Rehmannia Radix. 2. For the content changes in serum lipid peroxide, normal group showed increasing level as the rat gets older. Aging group and STZ injected group given EMGHT and Rehmannia Radix showed significant decrease in the lipid peroxide level compared to the control group. Decrease was more prominant in the group given EMGHT. 3. For the changes in serum hydroxyl radical, normal group did not show significant changes, but aging group and STZ injected group given EMGHT and Rehmannia Radix showed significant decrease in the hydroxyl radical level compared to the control group. Decrease was more prominant in the group given EMGHT. 4. For the changes in serum superoxide dismutase (SOD) activity, normal group did not show significant changes, but aging group given EMGHT and Rehmannia Radix showed significant increase in the SOD activity compared to the control group. STZ injected group given EMGHT and Rehmannia Radix showed significant decrease in the SOD activity compared to the control group. 5. For the content changes in hepatic lipid peroxide, aging group and STZ injected group given EMGHT and Rehmannia Radix showed significant decrease in the lipid peroxide level compared to the control group. 6. For the changes in hepatic cytochrome P-450 activity, aging group and STZ injected group given EMGHT and Rehmannia Radix showed significant decrease compared to the control group. Cytochrome b5 activity was significantly decreased only in the STZ injected group given EMGHT and Rehmannia Radix. 7. For the changes in hepatic aminopyrine demethylase and aniline hydroxylase activity, aging group given EMGHT and Rehmannia Radix showed significant decrease compared to the control group. STZ injected group given EMGHT and Rehmannia Radix showed significant increase in the aminopyrine demethylase activity, and showed significant decrease in the aniline hydroxylase activity compared to the control group. 8. For the content changes in hepatic protein bound-SH and nonprotein bound-SH, againg group and STZ injected group given EMGHT and Rehmannia Radix showed significant increase compared to the control group. 9. For the content changes in hepatic glutathione level, aging group and STZ injected group given EMGHT and Rehmannia Radix showed significant increase compared to the control group. 10. For the changes in hepatic glutathione S-transferase activity, aging group and STZ injected group given EMGHT and Rehmannia Radix showed significant increase and decrease, respectively, compared to the control group. 11. For the changes in hepatic glutathione reductase activity, aging group and STZ injected group given EMGHT and Rehmannia Radix showed significant increase compared to the control group, while $\gamma$-Glutamylcystein synthetase activity did not show significant changes. 12. For the changes in hepatic superoxide dismutase activity, aging group and STZ injected group given EMGHT and Rehmannia Radix showed significant decrease compared to the control group. From the above results, the antioxidant effects of EMGHT and Rehmannia Radix were proved, as well as the role of Rehmannia Radix, a chief of EMGHT, was examined. In addition, since no change was reconized as the quantity of Rehmannia Radix and the order herbs increased, the reasonableness on EMGHT was proven with respect to its composition and quantity. Thus, the significance of EMGHT could be objectively exmined in terms of its composition and quantity. Considering animals used in the experiment, there were obvious changes in aging rats and pathologically induced rats than in normal rats. Consequently, it was noticeable that EMGHT and Rehmannia Radix were working selectively on the subjects.

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Status of Meal Serving and Nutritional Quality of Foods Served for Children at Community Child Centers in Korea (지역아동센터의 배식 실태 및 배식량 측정을 통한 영양적 질 평가)

  • Kwon, Sooyoun;Yeoh, Yoonjae
    • Journal of the East Asian Society of Dietary Life
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    • v.25 no.2
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    • pp.352-362
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    • 2015
  • The purpose of this study was to examine portion sizes and nutritional quality of foods served to children at Community Child Centers (CCCs), July 2014, in Korea. A survey was administered to foodservice employees working at CCCs. Thirty-nine participants completed the self-administered questionnaire regarding CCCs foodservice practices. In the weight test, fifteen volunteers of demonstrated typical portion sizes for $5^{th}$ grade elementary school students. Nutrition knowledge scores were significantly different between foodservice employees with experience taking a foodservice class for one year (6.04 out of 10.0 points) and those without experience (4.58 points). Foodservice employees with experience taking a foodservice class scored significantly higher in performing meal serving practices, e.g., wearing a sanitary cap and apron when serving food, than those without experience. The amount of foods served for children did not meet standard serving sizes; portion sizes of rice, soup, main dish, side dish and kimchi served by foodservice employees were 87.3%, 63.2%, 56.5%, 37.1% and 81.3% of standard serving sizes, respectively. When energy and nutrient intakes from portion sizes were calculated, energy, vitamin A, thiamin, riboflavin and calcium intakes did not meet standards for nutrition control of school meals. However, protein, vitamin C and iron intakes met more than 100.0% of standards. These findings suggest that foodservice employees with experience taking a foodservice class apply their knowledge to foodservice practices. Although portion sizes can influence energy and nutrient intakes in children, the actual portion sizes served by CCCs foodservice employees were inadequate and did not meet standards for serving size and nutrition. Thus, all CCCs foodservice employees need to receive foodservice education and be provided guidelines regarding portion sizes for children.

Investigation of Requirement and Demand toward for Functional Traditional Hangwa(Korean Cookies) of Tradition (기능성 전통 한과류 요구도 및 수요도 조사)

  • Bok, Hye-Ja;Choi, Soo-Keun
    • Journal of the East Asian Society of Dietary Life
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    • v.18 no.5
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    • pp.692-701
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    • 2008
  • This study was conducted with 150 adults of 20 years or older, all of whom lived in Seoul. The awareness of traditional Hangwa (Korean cookies) was shown to be relatively low, with 2.9 points on average, and the intake of traditional Hangwa for a month was 2.1 times. For the reason that traditional Hangwa couldn't become popular, and the opinion that the reason was because the price is expensive was the highest, at 3.8. The next highest reasons given were because it is difficult to buy, and because it is inconvenient to eat, at 3.0. The traditional Hangwa was shown to enjoy positive awareness as opposed to negative awareness, while the manufacturing sanitation was also recognized to be relatively clean, with 2.6 points assigned to the opinion that it doesn't taste good, and 2.7 points assigned to the opinion that the manufacturing sanitation is unclean. With regard to the excellence of traditional Hangwa, the response that 'our tradition can be handed down' was the most often encountered, with a score of 3.9. The traditional Hangwa was appraised as excellent, with 3.6 points assigned to the opinion 'it suits our body because it is made with our agricultural products' and 3.4% for each opinion 'safe ingredients are used' and 'all ingredients are good for health'. With regard to the level of agreement for the development of functional traditional Hangwa, the positive group was higher than 25.3% of the negative group, with 27.3% for 'agree very much' and 22.0% for 'agree'. When converted into a 5-point scale for the development of functional traditional Hangwa, the group that was positive toward its development was high, with 3.4 points on average. All categories of excellence awareness were correlated with the level of agreement for the development of a functional food product (p<0.001). Consumer awareness toward the addition of traditional Hangwa functionality was generally positive, with 3.3 points or higher on average, and awareness of the aging suppression and diabetes control effects of Hangwa was also high, with 3.5 points. Next were Hangwa for diet, Hangwa for blood pressure control, Hangwa for mineral supple-mentation and vitamin additive-type Hangwa, with 3.4 for each, and Hangwa for health preservation, with 3.3 in order. With regard to the degree of interest toward functional traditional Hangwa for the treatment of diseases, obese patients cited aging suppression, at 3.2, and vitamin additive Hangwa, at 3.0, while Hangwa for dieting was assigned 2.8 points. Patients with high blood pressure, blood circulation, and diabetes were all shown as having a high degree of interest in all items, while evidencing particular interest toward Hangwa for diabetes control and Hangwa for blood pressure control. With regard to intention to purchase while developing functional traditional Hangwa, the group asserting intention to purchase was higher than 60% for all items except for Hangwa for diabetes control (58.7%). The Hangwa for aging suppression was highest, at 68.6%, and shown as having intention to purchase during development in the order of vitamin additive Hangwa at 68.0%, Hangwa for mineral supplementation at 64.6%, each of Hangwa for health preservation and Hangwa for blood pressure control at 62.7%, Hangwa for diet at 62.6% and Hangwa for diabetes control at 58.7%. The considerations during the development of functional traditional Hangwa were in the following order: storage at 4.1 points, taste and level of function at 3.9 points, size at 3.5 points, and packing at 3.4 points.

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Exploring on the Defense Strategies against Hervivory of Broad-leaved Tree Species Growing in Taean-gun, Chuncheongnam-do (충남 태안군에서 생육중인 활엽수종의 초식에 대한 방어전략 탐색)

  • Kim, Gab-Tae;Choo, Gab-Cheul;Lyu, Dong-Pyo;Um, Tae-Won
    • Korean Journal of Environment and Ecology
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    • v.26 no.1
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    • pp.39-45
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    • 2012
  • To explore on the defense strategies against hervivory of 67 broadleaved tree species, morphological characteristics of the leaf, leaf domatia structure and the number, herbivores insects and mites on the leaves, collected from the trees growing in Taean-gun, Chuncheongnam-do were investigated. 46 broadleaved tree species(68.7%) had the domatia structures, and 21 species including Quercus salicina and Magnolia grandiflora did not. 31 species including Juglans mandshurica and Carpinus laxiflora reveals tuft type, 12 species including Quercus dentata and Corylus heterophylla reveals pocket+tuft type, and 2 species, Sorbus alnifolia and Prunus yedoensis does pocket type, and Viburnum odoratissimum var. awabuki does pouch type. Domatia number per leaf proves the highest figures, 23.4/leaf for Quercus dentata. Plant defense strategies using leaf lower-surface trichomes of Magnolia grandiflora reveals dense villous, those of Populus alba and Vitis vinifera reveals dense pilose, that of Elaeagnus umbellata does dense scaly hairs, that of Pueraria lobata does dense strigose. Plant defense strategies using extrafloral nectaries were adapted 23 tree species(34.3%). Observed examples are Prunus tomentosa, Ficus carica, Viburnum dilatatum and Carpinus laxiflora. Predatory mites were observed on the leaves of 40 tree species(59.7%), and mean values of predatory mites was highest values 23.4/leaf in Quercus dentata. Minute arthropods destroying the leaf of broadleaved trees. are such as Periphyllus californiensis, P. viridis, Diaspididae sp., gall mites, thrips, and total numbers observed were odered gall mites, Diaspididae sp., aphids and thrips. Natural enemies of these hervivores arthropods are such as predatory mites, Chilocorus rubidus, Coccinella septempunctata and the nymph, Aphidius ervi. These results indicate that defense strategies including protective mutualisms may be frequent in the temperate broadleave trees.