• Journal of the Korean Mathematical Society
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• v.61 no.5
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• pp.875-898
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• 2024

This study estimates the true price of an asset and finds the optimal bid/ask prices for market makers. We provide a novel state-space model based on the exponential Ornstein-Uhlenbeck volatility and the Heston models with Gaussian noise, where the traded price and volume are available, but the true price is not observable. An objective of this study is to use Bayesian filtering to estimate the posterior distribution of the true price, given the traded price and volume. Because the posterior density is intractable, we employ the guided particle filtering algorithm, with which adaptive rejection metropolis sampling is used to generate samples from the density function of an unknown distribution. Given a simulated sample path, the posterior expectation of the true price outperforms the traded price in estimating the true price in terms of both the mean absolute error and root-mean-square error metrics. Another objective is to determine the optimal bid/ask prices for a market maker. The profit-and-loss of the market maker is the difference between the true price and its bid/ask prices multiplied by the traded volume or bid/ask size of the market maker. The market maker maximizes the expected utility of the PnL under the posterior distribution. We numerically calculate the optimal bid/ask prices using the Monte Carlo method, finding that its spread widens as the market maker becomes more risk-averse, and the bid/ask size and the level of uncertainty increase.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.37C no.9
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• pp.791-801
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• 2012

Currently, SEAMCAT has been widely used as a tool to evaluate the effects of interference among a variety of wireless communication systems. This supports various channel propagation models, all of which are based on some statistical models for the channel propagation and do not exploit any specific terrain characteristics. Thus it is not appropriate for assessing the effects of interference between wireless systems, given some specific terrain features. In order to overcome this limit in its use, it is necessary to extend the capability of SEAMCAT to support a channel propagation model which takes into account terrain informations. The ITU-R P.526 is a familiar channel propagation model which calculates the path loss considering the terrain features. In this paper, we present an enhanced version of SEAMCAT which supports the ITU-R P.526 and provide a few examples of interference evaluation using it.

• Journal of the Earthquake Engineering Society of Korea
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• v.3 no.1
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• pp.67-74
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• 1999

In this study, coda Q has been determined by the single scattering model in the Kyeongsang Basin region using the decay of the amplitudes of coda waves on bandpass-filtered seismograms of local microearthquakes in the frequency range 1.5~18 Hz. Reported frequency dependence of Q is of the form $Q_C=Q_O^n$$(83.9{ll}Q_0{ll}155.9,;0.76{ll}n{ll}1.05$. Considering a model incorporating both scattering and intrinsic attenuation, and assuming that the attenuation is entirely due to the scattering loss, the minimum mean free paths are about 51~56 km and the coefficients of inelastic attenuation(${\gamma}$) are between 0.0093 and 0.0098 were found. Earthquake-station paths pass through the fault zone show high attenuation and strong frequency dependency compared to other ones.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.8 no.2
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• pp.91-99
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• 2009

Mobile WiMAX is an emerging technology that can provide ubiquitous Internet access. To provide seamless service in mobile WiMAX environment, delay or disruption in dealing with mobility must be minimized. However offering seamless services on IEEE 802.16e networks is very hard due to long handover latency both in layer 2 and 3. In this paper, we propose a fast cross-layer handover scheme based on prediction algorithm. With the help of the prediction, layer-3 handover activities are able to occur prior to layer-2 handover, and therefore, total handover latency can be reduced. The experiments conducted with system parameters and propagation model defined by WiMAX Forum demonstrate that the proposed method predicts the future signal level accurately and reduces the total handover latency.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.8 no.4
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• pp.1368-1389
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• 2014

Three-dimensional multiple-input multiple-output (3D MIMO) and large-scale MIMO are two promising technologies for upcoming high data rate wireless communications, since the inter-user interference can be reduced by exploiting antenna vertical gain and degree of freedom, respectively. In this paper, we derive the achievable sum rate of 3D MIMO systems employing zero-forcing (ZF) receivers, accounting for log-normal shadowing fading, path-loss and antenna gain. In particular, we consider the prevalent log-normal model and propose a novel closed-form lower bound on the achievable sum rate exploiting elevation features. Using the lower bound as a starting point, we pursue the "large-system" analysis and derive a closed-form expression when the number of antennas grows large for fixed average transmit power and fixed total transmit power schemes. We further model a high-building with several floors. Due to the floor height, different floors correspond to different elevation angles. Therefore, the asymptotic achievable sum rate performances for each floor and the whole building considering the elevation features are analyzed and the effects of tilt angle and user distribution for both horizontal and vertical dimensions are discussed. Finally, the relationship between the achievable sum rate and the number of users is investigated and the optimal number of users to maximize the sum rate performance is determined.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.36 no.9A
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• pp.758-766
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• 2011

Cooperative communications are adopted as a promising solution to achieve high data rate over large areas in the future 40 wireless system and the relay station (RS) is the key concept in cooperative communications. However, most existing works in this area focus only on optimal RS selections. In addition, there are only few works consider another crucial issue: how many relay stations we need to place. Only when the number of relay stations is defined, the relay station selection can be performed well. In this paper we derive a formula which describes the impact of varying number of RS on end-to-end link throughput assuming a clustering scheme which is based on Voronoi tessellation. In addition to mathematical analysis on the feasibility of the formula, we also examine its performance through a set of simulations under the Erceg path loss model. Simulation results verify that the link throughput gain of our proposed scheme is promising.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.15 no.3
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• pp.551-560
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• 2011

Recently, There has been increasing concern about WLAN-based indoor positioning system. Most of the existing WLAN-based positioning systems use a fingerprinting method as a main approach. In the fingerprinting approach, the accuracy of the location of a mobile objects is proportional to the number of reference points. However, depending on the increasing number of reference points in the training phase, it requires more time and effort to create fingerprint database. To solve these problems, we propose the new indoor positioning algorithm that calculate the distance between a mobile objects and an AP using the information of surrounding environment WLAN based APs and applied the particle filter to the proposed algorithm in order to improve the accuracy of the estimated location in this paper. To implement this algorithm, at first environmental information database such as wall, iron door, glass door, partition etc. existing in the periphery of the AP should be established. The positioning use attenuation model and path loss model. Our experimental results with proposed algorithm are verified that the positioning accuracy was low but solved the problems with fingerprinting, compared with other positioning algorithms.

• Journal of the Institute of Electronics and Information Engineers
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• v.50 no.4
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• pp.97-107
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• 2013

Underwater wireless communication systems can be useful for underwater environment observation, catastrophe prevention, ocean resources exploration, ocean organism research, vessel sinking exploration, and so on. However, unlike terrestrial wireless communication, underwater wireless communication should consider factors such as long propagation delay, limited transmission capacity, high bit-error rate due to potential loss in power, ambient noise, man-made noise, multi-path, etc., because of the inherent characteristics of water. Thus, in this paper, we propose a suitable media access control(MAC) protocol that applies a combination of the ALOHA MAC protocol and the CSMA/CA MAC protocol to underwater environment. We further propose a mathematical analysis model to evaluate performance. We also verify performance improvement in the proposed scheme in comparison with existing MAC protocols.

• Journal of KIISE:Information Networking
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• v.31 no.6
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• pp.573-581
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• 2004

Recently, the rapid growth of Internet technology and the deployment of high speed networks make many kinds of multimedia services possible. Preexisting multimedia services are designed based on the client/server model which has the problems such as the network failure and the low speed communication due to the high load on the central server. In order to solve these problems, peer-to-peer networks are introduced and expanded through Internet environments. In this paper, we propose a pure peer-to-peer network based resource discovery mechanism for multimedia services. In the proposed scheme, each host maintains the location information of resources which are recently requested by other hosts as well as that oi the replicas of local resources. The proposed scheme has the faster response time and incurs the smaller traffic than the preexisting discovery schemes in pure peer-to-peer network environments. Also, by decentralizing the location information and differentiating the reply path, our proposed scheme can solve the search result loss problem that occurs when the network is unsettled.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.39B no.7
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• pp.449-458
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• 2014

In the context-aware services, localization is an important technical element. Due to the easy to use and low cost, it was widely enabled with RF properties such as RSSI. However, RSSI is known to be not appropriated for indoor localization, because it tends to show big variance in time and is greatly effected with the multipath. This paper proposes a distance estimation process and its constituted methods for indoor localization, by making use of the other WLAN's RF property, CSI(Channel State Information). Firstly we define a comprehensive localization process, and suggest a calibration algorithm of environment factors in the path loss propagation model. Then, by implementing them with a commercial WLAN module, an the proposed process and methods are evaluated in terms of usefulness.