• 사물인터넷융복합논문지
• /
• 제9권6호
• /
• pp.57-62
• /
• 2023

본 연구는 미국 S&P 500 지수를 변동성 돌파 전략을 활용하여 Buy and Hold 방식과 비교 분석한 연구이다. 변동성 돌파 전략은 시장의 상대적 안정 또는 집중된 시기 후의 가격 움직임을 활용하는 거래 전략이다. 특히, 낮은 변동성 기간 후에 큰 가격 움직임이 더 자주 발생한다는 것이 관찰된다. 주식이 한동안 좁은 가격 범위에서 움직이다가 가격이 갑작스레 상승 또는 하락하는 경우, 그 주식이 해당 방향으로 계속 움직일 것으로 예상된다. 이러한 움직임을 활용하기 위해 거래자들은 변동성 돌파 전략을 채택한다. 'k' 값은 최근 시장 변동성의 측정값에 곱하는 배수로서 활용된다. 변동성의 측정 방법 중 하나로는 최근 거래일의 최고가와 최저가 차이를 나타내는 평균 진정 범위(ATR)가 있다. 'k' 값은 거래자들이 거래 임계값을 설정하는 데 중요한 역할을 한다. 본 연구는 'k' 값을 일반적인 값으로 연산하여 Buy and Hold 전략과 수익률을 비교 하여, 변동성 돌파전략을 사용한 알고리즘 트레이딩이 약간은 높은 수익률을 이룩하였다. 추후에는 인공 지능 딥러닝 기법을 이용하여 S&P 500 지수의 자동 거래를 위한 최적의 K 값을 구하고, 이를 통해 수익률을 극대화하기 위한 시뮬레이션 결과를 제시할 예정이다.

• Journal of Korea Trade
• /
• 제26권2호
• /
• pp.21-44
• /
• 2022

Purpose - This study quantifies sources of trade balance dynamics over the business cycle in Korea. Specifically, we quantify the relative importance of domestic and foreign factors on trade balance dynamics using a small open economy real business cycle (SOE-RBC) model and provide policy implications for stabilization policies. Aggregate productivity and interest rate spreads are considered domestic factors affecting the trade balance. A world interest rate (the U.S. interest rate) is considered a foreign factor. Design/methodology - Following Neumeyer and Perri (2005), we build the SOE-RBC model with three types of shocks: aggregate productivity, interest rate spread, and world interest shocks. The model is estimated by the generalized method of moments (GMM) using relevant business cycle statistics. The estimated model is used for quantifying the relative importance of domestic and foreign factors on trade balance dynamics in Korea. Findings - Our main findings can be summarized as follows: 85.64% of the trade balance fluctuations in Korea are explained by domestic factors, the remaining 14.35% by foreign factors. Particularly, trade balance dynamics are mostly accounted for by the change in aggregate productivity shocks (85.58%). World interest rate shocks considerably explain trade balance (14.35%), whereas the role of interest rate spread shocks that represent domestic risks is limited (0.08%). Although aggregate productivity is key in explaining trade balance dynamics in Korea, interest rates still have an essential role. This is because aggregate productivity changes induce interest rate spread variations and, thus, the trade balance significantly. The results suggest that government policies mitigating fluctuations in aggregate productivity would be effective for stabilization policies in Korea by reducing the trade balance volatility. Originality/value - Existing studies on the emerging market business cycle examine mostly Latin American countries, and the main object of the studies is the volatility of consumption rather than trade balance dynamics. Conversely, our study examines Korea rather than Latin American countries. Additionally, we examine sources of trade balance dynamics, which are relatively more important in Korea, rather than those of the volatility of consumption. Hence, we estimate the model to explicitly match moments related to trade balance in the data.

• 한국재료학회지
• /
• 제30권2호
• /
• pp.61-67
• /
• 2020

BiFeO₃ with perovskite structure is a well-known material that has both ferroelectric and antiferromagnetic properties called multiferroics. However, leaky electrical properties and difficulty of controlling stoichiometry due to Bi volatility and difficulty of obtaining high relative density due to high dependency on the ceramic process are issues for BiFeO₃ applications. In this work we investigated the sintering behavior of samples with different stoichiometries and sintering conditions. To understand the optimum sintering conditions, nonstoichiometric Bi_1±xFeO_3±δ ceramics and Ti-doped Bi_1.03Fe_1-4x/3Ti_xO₃ ceramics were synthesized by a conventional solid-state route. Dense single phase BiFeO₃ ceramics were successfully fabricated using a two-step sintering and quenching process. The effects of Bi volatility on microstructure were determined by Bi-excess and Ti doping. Bi-excess increased grain size, and Ti doping increased sintering temperature and decreased grain size. It should be noted that Ti-doping suppressed Bi volatility and stabilized the BiFeO₃ phase.

• 자원ㆍ환경경제연구
• /
• 제28권4호
• /
• pp.583-615
• /
• 2019

본 논문은 1990~2016년 기간의 우리나라 온실가스 배출량과 경제성장 간 비동조화 수준에 대한 장단기 분석을 실시하였다. 환경쿠즈네츠곡선 존재 여부에 초점을 맞추어 수행된 기존 연구와 달리 본 연구는 온실가스와 경제성장 간 관계(온실가스 배출의 소득탄력성)의 단기 변동성에 초점을 맞추어 분석을 수행하였다. 분석결과 장기적으로는 온실가스 - 경제성장 - 화석연료 간 견고한 인과관계가 존재하여 비동조화로 평가하기에 어려운 것으로 나타난 반면, 단기적으로는 상대적 비동조화가 뚜렷하게 확인되었다. 이를 통해 현재 국가 온실가스 배출전망 및 감축목표 상에 배출 소득탄력성의 단기 변동성을 고려하지 못하는 한계점을 제기하였으며, 국가 단위 내 화석연료소비, 특히 발전부문의 화석연료 의존도가 온실가스 배출 소득탄성치의 단기 변동성을 낮추는 주요 요인임을 제시하였다.

• 해양환경안전학회지
• /
• 제28권1호
• /
• pp.91-99
• /
• 2022

해운산업은 선박이라는 재화를 이용하여 화물을 운송하고 운임을 수취하여 사업을 영위하는 서비스산업이다. 따라서 선박운영을 위해 대규모 자본투자가 필요한 환경 속에서 선박의 가치가 불확실하다면 해운경영상의 리스크는 클 수 밖에 없다. 본 연구는 선박가치 변화에 영향을 미치는 변화요인을 파악하고 각 변화요인에 대한 중요도를 분석하고자 하였다. 이를 위해 텍스트마이닝과 토픽모델링 기법을 활용하여 선박가치 변화요인을 추출하고 구조화하여 3개의 주요인과 12개의 보조요인으로 계층적 구조를 설정하였다. 이를 대상으로 AHP분석을 통해 연구를 진행하여 각 요인별 상대적 중요도를 분석하였다. 분석 결과 선박가치 변화에 가장 큰 영향을 미치는 주요요인은 Shipping Factor였으며, 그 뒤를 Investment Factor와 Environment Factor가 차지하였다. 보조요인 가운데는 Volatility of Shipping Market와 Volatility of Shipping Freight 등 해운시장의 변동성과 관련된 요인들이 가장 큰 영향을 미치는 것으로 분석되었다.

• 재무관리연구
• /
• 제14권3호
• /
• pp.319-339
• /
• 1997

This paper provides an empirical analysis of the winner's curse in the context of corporate takeovers. The study analyzes conditions which make overpayment likely. For a sample of corporate takeovers completed between 1982 and 1993, the analysis shows that the volatility of targets relative to that of acquirers (not the uncertainty of the target or acquirer alone) has a definitive impact on the magnitude of the winner's curse. Also, the incidence is more pronounced in multiple-bidder than in single-bidder contests. Specifically, white knights are more likely to overpay than other acquirers in multiple bidding situations. Furthermore, the study finds that the process of competitive bidding is a zero sum game since the greater returns to the shareholders of target firms in multiple-bid contests come at the expense of the acquiring companies, Overall, the evidence suggests that the bidders need to become more conservative, particularly as the relative uncertainty of the target's 'true' value and the number of bidders increase.

• 재무관리연구
• /
• 제22권2호
• /
• pp.91-105
• /
• 2005

본 연구는 합리적 기대가설에 입각하여 내재변동성의 장기변화율과 단기변화율사이의 관계에 대해 Campa and Chang(1995)의 모형을 토대로 분석하였다. 합리적기대가설이란 옵션시장 참가자들이 기대하는 장기내재변동성이 미래단기의 내재변동성을 결정한다는 가설이다. 1999년 1월부터 2003년 12월까지 한국의 KOSPI 200 주가지수옵션시장에서 장기내재변동성과 단기내 재변동성과의 관계를 분석해 본 결과 우리나라 주가지수 옵션시장에서는 기대가설을 지지하지 않는다는 결론을 도출하게 되었다. 하지만 기대가설은 그 자체가 내포하고 있는 무시할 수 없는 중요한 의미를 지닌다는 것을 발견하였다. 첫째, 장기내재변동성 변화율이 기대 미래단기내재변동성 변화율과 같은 방향으로 움직인다는 것과 둘째, 단기변동성에 대한 장기변동성의 증가가 다음 장기변동성에 있어서는 증가 혹은 감소를 동반한다는 것을 분석하게 되었다. 즉, 어떠한 규칙적인 사이클을 찾을 수는 없었다는 것이다.

• 공업화학
• /
• 제19권5호
• /
• pp.539-546
• /
• 2008

Acetone/methanol 공비혼합계에 대하여 제3성분 entrainer로서 water, aniline, 1,3-diethylbenzene, furfural 및 MEK를 첨가하였을 때의 entrainer효과에 의한 기-액평형 곡선 및 비휘발도와의 관계를 이용하여 최적 entrainer를 선정하였다. water를 entrainer로서 사용했을 경우에는 기-액평형 실험치와 modified-UNIFAC을 이용한 계산치를 비교 검토하여 보았을 때, water의 액조성이 0.3에서부터 0.7까지 공비점이 없는 분리가 가능한 기-액평형 곡선을 얻을 수 있었다. aniline과 1,3-diethylbenzene의 경우에는 액조성을 0.7 이상으로 주입하였을 경우 공비점 없이 분리는 되지만 추출증류의 entrainer로 사용하기는 어렵다는 것을 알 수 있었다. 또한 furfural과 MEK의 경우에는 공비점이 있으므로 추출증류에 이용할 수 없다는 사실을 알 수 있었다. water의 비휘발도는 1.0보다 크고 또한 액조성에 따라 비휘발도가 비선형적으로 증가하는 것으로 나타났으나, water 이외의 다른 제3성분에 대해서는 액조성이 증가함에 따라 모두 비휘발도가 비선형적으로 감소하는 것으로 나타났다. 연구의 결과로서 acetone/methanol 공비혼합계에 대해서는 water가 가장 효율적이며 경제적인 최적 entrainer로 적용될 수 있음을 알 수 있었다.

• 산업경영시스템학회지
• /
• 제43권3호
• /
• pp.216-227
• /
• 2020

The purpose of this paper is to identify a relative importance and priority of the factors of Competencies of project team member. It aims to present the differential competency factors from a differentiated perspective by applying the Leadership Development Questionnaire, which is the competency dimension required for manager, to team member. (1) Background: The diverse needs of customers and companies, and the uncertainty, complexity, ambiguity, and volatility of the environment surrounding the company in the era of the Fourth Industrial Revolution threaten the survival of company. In this respect, companies should implement the project management approach and strive to increase the capabilities of each team member. (2) Methods: AHP method was used to prioritize which factors were considered more importance level and the gap of relative importance level between project manager group and team members group. (3) Results: In the analysis of the relative importance of the upper class, weights were derived in the order of managerial competence, intellectual competence, and emotional competence. The sub-factor that respondents prioritize was communication as the 1st priority, and it was analyzed in the order of strategic perspective, achieving, critical analysis and judgement, and vision and imagination. There were some differences in the ranking of the relative importance of achieving and vision and imagination attributes between the PM group and TM group, it was analyzed that there was no significant difference overall. (4) Implications: The results of this study confirmed the recognition that team members are required to have the same competencies as the project manager. And based on the priorities of the competencies required of team members, companies are expected to cultivate professional and competent team members, and expand the roles and authority of team members so that they can actively carry out projects.

• 재무관리논총
• /
• 제3권1호
• /
• pp.233-265
• /
• 1996

We examine the impact of public and private information on price movements using the thirty DJIA stocks and twenty-one NASDAQ stocks. We find that the standard deviation of daily returns on information days (dividend announcement, earnings announcement, insider purchase, or insider sale) is much higher than on no-information days. Both public information matters at the NYSE, probably due to masked identification of insiders. Earnings announcement has the greatest impact for both DJIA and NASDAQ stocks, and there is some evidence of positive impact of insider asle on return volatility of NASDAQ stocks. There has been considerable debate, e.g., French and Roll (1986), over whether market volatility is due to public information or private information-the latter gathered through costly search and only revealed through trading. Public information is composed of (1) marketwide public information such as regularly scheduled federal economic announcements (e.g., employment, GNP, leading indicators) and (2) company-specific public information such as dividend and earnings announcements. Policy makers and corporate insiders have a better access to marketwide private information (e.g., a new monetary policy decision made in the Federal Reserve Board meeting) and company-specific private information, respectively, compated to the general public. Ederington and Lee (1993) show that marketwide public information accounts for most of the observed volatility patterns in interest rate and foreign exchange futures markets. Company-specific public information is explored by Patell and Wolfson (1984) and Jennings and Starks (1985). They show that dividend and earnings announcements induce higher than normal volatility in equity prices. Kyle (1985), Admati and Pfleiderer (1988), Barclay, Litzenberger and Warner (1990), Foster and Viswanathan (1990), Back (1992), and Barclay and Warner (1993) show that the private information help by informed traders and revealed through trading influences market volatility. Cornell and Sirri (1992)' and Meulbroek (1992) investigate the actual insider trading activities in a tender offer case and the prosecuted illegal trading cased, respectively. This paper examines the aggregate and individual impact of marketwide information, company-specific public information, and company-specific private information on equity prices. Specifically, we use the thirty common stocks in the Dow Jones Industrial Average (DJIA) and twenty one National Association of Securities Dealers Automated Quotations (NASDAQ) common stocks to examine how their prices react to information. Marketwide information (public and private) is estimated by the movement in the Standard and Poors (S & P) 500 Index price for the DJIA stocks and the movement in the NASDAQ Composite Index price for the NASDAQ stocks. Divedend and earnings announcements are used as a subset of company-specific public information. The trading activity of corporate insiders (major corporate officers, members of the board of directors, and owners of at least 10 percent of any equity class) with an access to private information can be cannot legally trade on private information. Therefore, most insider transactions are not necessarily based on private information. Nevertheless, we hypothesize that market participants observe how insiders trade in order to infer any information that they cannot possess because insiders tend to buy (sell) when they have good (bad) information about their company. For example, Damodaran and Liu (1993) show that insiders of real estate investment trusts buy (sell) after they receive favorable (unfavorable) appraisal news before the information in these appraisals is released to the public. Price discovery in a competitive multiple-dealership market (NASDAQ) would be different from that in a monopolistic specialist system (NYSE). Consequently, we hypothesize that NASDAQ stocks are affected more by private information (or more precisely, insider trading) than the DJIA stocks. In the next section, we describe our choices of the fifty-one stocks and the public and private information set. We also discuss institutional differences between the NYSE and the NASDAQ market. In Section II, we examine the implications of public and private information for the volatility of daily returns of each stock. In Section III, we turn to the question of the relative importance of individual elements of our information set. Further analysis of the five DJIA stocks and the four NASDAQ stocks that are most sensitive to earnings announcements is given in Section IV, and our results are summarized in Section V.