• The Journal of the Korea Contents Association
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• v.22 no.3
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• pp.81-93
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• 2022

The stock investing is one of the most popular investment techniques. However, since it is not easy to obtain a return through actual investment, various strategies have been devised and tried in the past to obtain an effective and stable return. Among them, the volatility breakout strategy identifies a strong uptrend that exceeds a certain level on a daily basis as a breakout signal, follows the uptrend, and quickly earns daily returns. It is one of the popular investment strategies that are widely used to realize profits. However, it is difficult to predict stock prices by understanding the price trend pattern of stocks. In this paper, we propose a method of buying and selling stocks by predicting the return in trading based on the volatility breakout strategy using a bi-directional long short-term memory deep neural network that can realize a return in a short period of time. As a result of the experiment assuming actual trading on the test data with the learned model, it can be seen that the results outperform both the return and stability compared to the existing closing price prediction model using the long-short-term memory deep neural network model.

• Advanced Industrial SCIence
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• v.2 no.3
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• pp.22-28
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• 2023

In this study, we conducted research on the automated trading of U.S. stocks through a volatility strategy using the Fear and Greed index. Volatility in the stock market is a common phenomenon that can lead to fluctuations in stock prices. Investors can capitalize on this volatility by implementing a strategy based on it, involving the buying and selling of stocks based on their expected level of volatility. The goal of this thesis is to investigate the effectiveness of the volatility strategy in generating profits in the stock market.This study employs a quantitative research methodology using secondary data from the stock market. The dataset comprises daily stock prices and daily volatility measures for the S&P 500 index stocks. Over a five-year period spanning from 2016 to 2020, the stocks were listed on the New York Stock Exchange (NYSE). The strategy involves purchasing stocks from the low volatility group and selling stocks from the high volatility group. The results indicate that the volatility strategy yields positive returns, with an average annual return of 9.2%, compared to the benchmark return of 7.5% for the sample period. Furthermore, the findings demonstrate that the strategy outperforms the benchmark return in four out of the five years within the sample period. Particularly noteworthy is the strategy's performance during periods of high market volatility, such as the COVID-19 pandemic in 2020, where it generated a return of 14.6%, as opposed to the benchmark return of 5.5%.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.36 no.2
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• pp.85-92
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• 2023

Unlike a completed building, a building under construction may be at risk in terms of safety if a load exceeds the value considered in the design stage owing to various factors, such as a load action different from that in the design stage and insufficient concrete strength. In addition, if an earthquake occurs in a building under construction, greater damage may occur. Therefore, this study studied example models with various sizes of 5, 15, 25, and 60 floors for typical building types and analyzed the effects of seismic load on buildings under construction using construction-stage models according to frame completeness. Because the construction period of the building is much shorter than the period of use after completion, applying same earthquake loads as the design stage to buildings under construction may be excessive. Therefore, earthquakes with a return period of 50 to 2,400 years were applied to the construction stage model to review the seismic loads and analyze the structural performances of the members. Thus, we reviewed whether a load exceeding that of the design stage was applied and the return period level of the earthquake that could ensure structural safety. In addition, assuming the construction period of each example model, the earthquake return period according to the construction period was selected, and the design appropriateness with the selected return period was checked.

• Industrial Engineering and Management Systems
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• v.9 no.3
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• pp.204-214
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• 2010

A manufacturing/remanufacturing system is investigated with the consideration of required minimum quality of end-of-used products. A constant demand is satisfied by remanufacturing end-of-used products and manufacturing raw materials outsourced from outside. It is assumed in this system that the buyback price and remanufacturing cost are related to the different quality level of end-of-used products. For remanufacturing, only the used products that satisfy a required minimum quality level will be recycled. Thus, the returning rate is a function of the required minimum quality level. Functions of returning rate, buyback price and remanufacturing cost, which are closely connected to the quality level of end-of-used products, are investigated here. Treating the required minimum quality level of end-of-used products, the length of a cycle, the number of manufacturing lots and remanufacturing lots in a cycle as decision variables, the mathematical models with the objective of minimizing the average total cost are constructed. Through construction of a solution process based on Tabu Search algorithm and calculating examples, the validity of the models is illustrated.

• Journal of Distribution Science
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• v.21 no.6
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• pp.91-97
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• 2023

Purpose: Interim financial statements provide timely and qualified financial information for users. Hence, the importance of the interim financial statement is increasingly noticeable among information users. This research studies determinants of interim financial statements disclosure in Vietnamese-listed enterprises. Research design, data and methodology: The sample is 55 enterprises listed in VNIndex and is in the list of Forbes top 100 largest companies in 2020. Data was collected from interim financial statements for four years, from 2018 to 2021. GMM is used in this study. Results: The regression analysis results show that reporting lag has a positive impact on the level of information distribution of interim financial reporting; companies audited by BIG4 tend to have a higher level of information disclosure. The higher the return on assets, the more disclosure is made; the larger the company size, the greater the disclosure level. Owner equity structure and Leverage do not affect the disclosure level of interim financial reporting. Conclusions: The information disclosure level on the interim financial statement should be improved to increase transparency. In addition to continuing to encourage these companies to provide more information voluntarily, government authorities should have effective regulations to require sufficient information disclosure from other listed companies.

• The Bulletin of The Korean Astronomical Society
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• v.42 no.2
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• pp.57.3-58
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• 2017

We report the detailed design of an unprecedented wideband(band7+8) corrugated feed horn in ASTE focal plane array aiming for future ALMA receiver. We have found that such design constraints as return loss, cross-polarization level, beam width and phase curvature can be controlled by optimizing critical corrugation parameters at the throat and flare region of the horn. The success of optimization manifest itself through simulated aperture effciency over 80 % at the entire frequency range. Physical implications of the resulting corrugation parameters are discussed.

• Journal of the Korean Data and Information Science Society
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• v.19 no.4
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• pp.1027-1036
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• 2008

Value at Risk(VaR) is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, we introduced and applied the CreditMetrics model to estimate the credit VaR of Korean Property and Casuality insurers.

• Journal of the Korea Convergence Society
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• v.8 no.10
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• pp.215-223
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• 2017

This article has tried to analyse the effect of the corporate earning return tax empirically through analysis on the impact of previous internal reservation on the dividends rate of the current year. In addition to this, this article has tried to the effectiveness of government policies with leverage ratio as a moderating variable. Moreover, DRF and GBM model were used to see the effect again. As a result of the actual proof analysis, OCF, ROE, FOR have a significance level of 99% in model1, model2, model3. However, ADV and MSE has appeared not to be meaningful in all models. In the result of DRF and GBM model for convergence was higher than GBM in depth and leaves. However, when it comes to a model explaining capability, GBM high than DRF. The further study will be required to examine the effect of government policy by time series analysis in the period of enforcement of the reflux tax, from 2015 to 2017.

• Communications for Statistical Applications and Methods
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• v.16 no.2
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• pp.249-264
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• 2009

Equity-indexed annuities(EIAs) provide their customers with the greater of either the return linked to the underlying index or the minimum guaranteed return. Insurance companies have developed EIAs to attract customers reluctant to buy traditional fixed annuities because of low returns and also reluctant to buy mutual funds for fear of the high volatility in the stock market. This paper proposes a new type of EIA embedded with an outside barrier option with flexible monitoring period in order to increase its participation rate. It also derives an explicit pricing formula for this proposed product, and discusses numerical examples to show relationships among participation rate, barrier level, index volatility and correlation.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.20 no.12
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• pp.125-130
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• 2019

A gas-spring has been used in many areas and its use is increasing because it can be designed for a range of purposes. In this study, the behavior of a piston with an orifice hole inside the gas-spring cylinder was predicted using computational fluid dynamics (CFD). The piston was designed to reduce the reaction force if the gas-spring is compressed and to move at a low speed when it is returned. The analysis showed that if the initial gas pressure in the gas-spring is increased to a certain level, the speed of the piston would not decrease with time but will remain constant. The effects of orifice hall size on the piston return speed were investigated. Reducing the size of the orifice hole will increase the pressure difference on both sides of the piston, reduce the piston speed, and make it more constant. On the assumption of a constant speed of the piston, a theoretical solution to the return speed of the piston was derived according to the initial gas pressure, and the results for several initial gas pressures were compared with those of CFD. Comparison studies showed similar results for both methods.