• Journal of Intelligence and Information Systems
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• v.26 no.1
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• pp.119-133
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• 2020

Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.

• Korean Journal of Environment and Ecology
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• v.32 no.3
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• pp.313-322
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• 2018

To investigate the changing patterns of sub-alpine forest vegetation due to climate change requires accumulation of contiguous reference data and continuous monitoring. Furthermore, it is crucial to monitor short-term ecological change of lower level vegetation to understand the trend of long-term vegetation change. Therefore, this study carried out a vegetation survey and tree diameter measurement in 36 plots of Mt. Jiri inhabited by Abies koreana species from 2015 to 2017 to examine the short-term dynamics of Abies koreana seedling and the change of vegetation distribution according to altitude. We analyzed the importance value and MIV (mean importance value) of major species by each stratum as well as the importance value and species diversity index of major species and the change of seedling population by altitude. The results showed that Abies koreana had the highest importance value on tree layer, Rhododendron schlippenbachii on shrub layer and Tripterygium regelii on herb layer. MIV was high in the order of Abies koreana, Rhododendron schlippenbachii and Acer pseudosieboldianum. Regarding the species composition and species diversity index (H') along the altitudinal gradient, Sasa borealis showed high MI and low H' in the elevation less than 1,500 m, and IV of Tripterygium regelii and H' of herb layer were high in the elevation of 1,700 - 1,800 m. Abies koreana seedling decreased by 22.4% from 1,250 n/ha in 2015 to 970 n/ha in 2017 (p <0.05) throughout the investigated area. The decline rate along seedling and sapling height were 22.9% in less than 10 cm, 3.4% in 10-30 cm, 8.9% in 30-50 cm, 39.3% in 50-100 cm, and 55.1% more than 100 cm. Few of A. koreana seedlings appeared due to the dominance of Sasa borealis in the elevation of 1,500 m or less and due to the dominance and high species diversity of Tripterygium regelii in the elevation of 1,700-1,800 m. On the other hand, many of A. koreana seedlings appeared in the elevation of 1,600-1,700 m due to no distribution of S. borealis and T. regelii species in that altitude range. Therefore, we concluded that those seedlings and saplings of A. koreana could be more stable in the altitude of 1,600-1,700 m.

• Korean Journal of Environmental Biology
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• v.41 no.4
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• pp.455-462
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• 2023

Southern root-knot nematode (SRKN, Meloidogyne incognita) is known to be responsible for annual economic losses of 38.2 million USD in cucumber cultivation in Korea. Nematicides are frequently used to manage SRKN in plastic greenhouses. A field experiment was conducted to assess the effect of a soil fumigant (dimethyl disulfide, DMDS) and a non-fumigant (fluopyram, FL) against SRKN during the winter fallow season in a greenhouse from October to December. Nematicidal efficacy was assessed at 43 days after treatment, and the root gall index was measured 4 months after transplanting cucumber seedlings. DMDS effectively reduced second-stage SRKN juvenile density with 91% control efficacy, while FL showed no control efficacy against SRKN. Root gall index values were significantly different(p=0.020) in DMDS treatment and controls at 1.0±0.00 and 4.3±0.58, respectively. This study showed that DMDS could be considered an effective nematicide for controlling SRKN in the fallow period in winter.

• The Journal of Society for e-Business Studies
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• v.24 no.4
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• pp.109-118
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• 2019

As a result of the United States (U.S) -China trade conflict, the recent instability of the stock market has led many people to invest in Bitcoin, a commodity that many previous studies have interpreted as a safe asset. However, recent Bitcoin market price fluctuations suggest that the asset's stability stems from speculative purchasing trends. Therefore, classifying the characteristics of Bitcoin assets can be an important reference point in analyzing relevant accounting information. To determine whether Bitcoin is a safe asset, this study analyzed the correlation between Bitcoin and economic indicators to verify whether gold and Bitcoin responded similarly in time series analyses. These show that the regression explanatory power between the price of gold and bitcoin is low, thus no relation between the two assets could be drawn. Additionally, the Granger causality analyses of six individual economic variables and Bitcoin did not establish any notable causality. This can be interpreted that short-term price fluctuations have a significant impact on the nature of Bitcoin as an asset.

• Journal of Forest and Environmental Science
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• v.3 no.1
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• pp.1-9
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• 1983

The purpose of this study was to elucidate the ecophysiological habitat of natural Sorbus commixta forest at Mt. Seorak. The results obtained were as follows: 1. The Sorbus commixta trees mainly distributed from 900m to 1,500m altitude. In there, the warm index(WI) was about 42$3.2{\times}10^3$ to $9.2{\times}10^3$, cation exchange capacity(CEC) was 13.7 to 19.5mg/100g, N content 0.21 to 0.39%, $P_2O_5$ content was 22.6 to 38.7ppm, and pH value was 5.6 to 5.8 respectively. 4. The upper crown trees in Sorbus commixta communities were Abies nephrolepis, Taxus cuspidata, Betula platyphylla var. japonica, Quercus${\times}$grosseserrata, Acer mono, Prunus sargentii, Carpinus cordata, Tilia amurensis, and the under crown trees were Rhododendron brachycarpum, Acer pseudo-sieboldianum, Thuja olientalis, Corylus heterohpylla, Philadelphus schrenckii, Rhododendron schlippenbachii, Rhododendron mucronulatum, and Magnolia sieboldii. 5. The stand densities were 1,156 trees/ha at 1,160m and 3,600 trees/ha at 1,300m respectively. The coverages by the DBH basal area were 0.37 at 1,160m and 0.31 at 1,300m respectively, and the vegetation coverages by the crown projection area were 2.04 at 1,160m and 1.61 at 1,300m respectively. 6. The light extinction coefficient(k) in Beer-Lambert's law, showed the distance, F(z), from top canopy to aboveground, was 0.17. 7. The water relations parameters of Sorbus commixta shoot were obtained by the pressure chamber technique. The osmotic pressure, ${\pi}_o$, at maximum turgor was -16.2 bar, and VAT pressure was 14.5bar. The osmotic pressure, ${\pi}_p$, at incipient plasmolysis was -19.4bar. The relative water contents at incipient plasmolysis were 83.1% ($v_p/v_o$) and 87.1%($v_p/w_s$;$w_s$, total water at maximum turgor). 8. The bulk modulus of elasticity(E) of shoot was about 69.6. The total symplasmic water to total water in shoot was 67.7%, and the apoplastic water to total water was 32.3%.

• Korean Journal of Environmental Biology
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• v.39 no.3
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• pp.344-353
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• 2021

Juvenile olive flounder, Paralichthys olivaceus (mean weight 66.7±7.1 g; mean length 19.2±0.9 cm) in a bio-floc environment were exposed to microplastic (PE: polyethylene, size 40-48 ㎛) at 0, 4, 20, 100, 500 and 2,500 mg L^-1 for 96 hours. No P. olivaceus deaths were observed following microplastic exposure. In the plasma components, calcium was significantly decreased whereas there was no significant change with magnesium following microplastic exposure. Glucose was significantly decreased with over 100mg L^-1 at 48 hours and 20mg L^-1 at 96 hours. Cholesterol was significantly decreased with over 20mg L^-1 after 48 hours, whereas there was no significant change in the total protein content. In enzymatic plasma components, the AST(Aspartate aminotransferase) was significant decreased by microplastic exposure. The results of this study indicate that acute exposure to microplastic induces blood physiological changes in P. olivaceus.

• Journal of the Korean Society of Food Science and Nutrition
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• v.30 no.5
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• pp.913-920
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• 2001

The effect of kimchi pill supplementation on plasma lipid concentration of middle aged healthy people were studied. Freeze-dried mustard leaf added (30%) Korean cabbage kimchi and powdered glutinous parch were used to prepare kimchi and placebo pill, respectively. Experimental group if six participants took 3 g of freeze-dried kimchi as a pill daily for 6 weeks which is equivalent to 30 g of fresh kimchi and control group of six people took same amount of placebo. The diet intakes for the kimchi and placebo group fairly remained unchanged during 6 weeks of trial. When the effect of kimchi pill supplementation was expressed as average percentage changes based on each individual changes, the plasma triglyceride concentration of kimchi pill group was sig-nificantly decreased by 16.8% during trial (p<0.05)while that of placebo group increased by 9.8%, But no changes in plasma and LDL cholesterol concentrations of both groups were observed. HDL cholesterol of kimchi pill group significantly increased by 11.7%(p<0.05), therefore the ratio LDL/HDL cholesterol was significantly decreased by 6.7%(p<0.05) while that for the placebo group increased. The atherogenic index at the kimchi group was also significantly decreased by 10.8%(p<0.05). Kimchi supplementation seemed to have beneficial effects on controlling plasma triglyceride and HDL cholesterol in middle aged men.

• Applied Chemistry for Engineering
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• v.30 no.2
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• pp.226-232
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• 2019

The biological wastewater treatment is more eco-friendly and can be used effectively in wastewater for a variety of purposes than that of the conventional treatment. In particular, the wastewater treatment using microalgae in biological treatment processes has attracted great attention due to its ability to remove economically nutrients from wastewater and have many advantages as a renewable energy source. This study was investigated to establish the optimal growth conditions for microalga Scenedesmus obliquus. Additionally, the removal efficiencies of nutrients (N, P) and heavy metals (Cu, Zn) from the synthetic wastewater were evaluated. As a results, the optimal growth conditions were established at $28^{\circ}C$, pH 7, and light and dark cycle of 14 : 10 h. In the evaluation of nutrient removal efficiencies at each concentrations of 500, 1,000, 5,000, and 10,000 mg/L, the removal rates were 17.6~70% N and 8.4~34% P in the single treatment and 12.0~58.0% N and 3.0~40.3% P in the binary mixture treatment. In addition, the evaluation of heavy metal removal efficiencies at each concentrations of 10, 30 and 50 mg/L, the removal rates were 13.7~40.3% Cu and 10.0~30.0% Zn in the single treatment and 16.0~40.0% Cu and 12.0~20.0% Zn in the binary mixture treatment. Based on the results of the study, it appears that Scenedesmus obliquus can be used for the removal of nutrients and heavy metals from the swine wastewater.

• The Korean Journal of Financial Management
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• v.24 no.2
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• pp.41-79
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• 2007

This study examines the expiration-day effects of stock index futures and options in the Korean stock market. The so-called 'expiration-day effects', which are the abnormal stock price movements on derivatives expiration days, arise mainly from cash settlement. Index arbitragers have to bear the risk of their positions unless they liquidate their index stocks on the expiration day. If many arbitragers execute large buy or sell orders on the expiration day, abnormal trading volumes are likely to be observed. If a lot of arbitragers unwind positions in the same direction, temporary trading imbalances induce abnormal stock market volatility. By contrast, if some information arrives at market, the abnormal trading activity must be considered a normal process of price discovery. Stoll and Whaley(1987) investigated the aggregate price and volume effects of the S&P 500 index on the expiration day. In a related study, Stoll and Whaley(1990) found a similarity between the price behavior of stocks that are subject to program trading and of the stocks that are not. Thus far, there have been few studies about the expiration-day effects in the Korean stock market. While previous Korean studies use the KOSPI 200 index data, we analyze the price and trading volume behavior of individual stocks as well as the index. Analyzing individual stocks is important for two reasons. First, stock index is a market average. Consequently, it cannot reflect the behavior of many individual stocks. For example, if the expiration-day effects are mainly related to a specific group, it cannot be said that the expiration of derivatives itself destabilizes the stock market. Analyzing individual stocks enables us to investigate the scope of the expiration-day effects. Second, we can find the relationship between the firm characteristics and the expiration-day effects. For example, if the expiration-day effects exist in large stocks not belonging to the KOSPI 200 index, program trading may not be related to the expiration-day effects. The examination of individual stocks has led us to the cause of the expiration-day effects. Using the intraday data during the period May 3, 1996 through December 30, 2003, we first examine the price and volume effects of the KOSPI 200 and NON-KOSPI 200 index following the Stoll and Whaley(1987) methodology. We calculate the NON-KOSPI 200 index by using the returns and market capitalization of the KOSPI and KOSPI 200 index. In individual stocks, we divide KOSPI 200 stocks by size into three groups and match NON-KOSPI 200 stocks with KOSPI 200 stocks having the closest firm characteristics. We compare KOSPI 200 stocks with NON-KOSPI 200 stocks. To test whether the expiration-day effects are related to order imbalances or new information, we check price reversals on the next day. Finally, we perform a cross-sectional regression analysis to elaborate on the impact of the firm characteristics on price reversals. The main results seem to support the expiration-day effects, especially on stock index futures expiration days. The price behavior of stocks that are subject to program trading is shown to have price effects, abnormal return volatility, and large volumes during the last half hour of trading on the expiration day. Return reversals are also found in the KOSPI 200 index and stocks. However, there is no evidence of abnormal trading volume, or price reversals in the NON-KOSPI 200 index and stocks. The expiration-day effects are proportional to the size of stocks and the nearness to the settlement time. Since program trading is often said to be concentrated in high capitalization stocks, these results imply that the expiration-day effects seem to be associated with program trading and the settlement price determination procedure. In summary, the expiration-day effects in the Korean stock market do not exist in all stocks, but in large capitalization stocks belonging to the KOSPI 200 index. Additionally, the expiration-day effects in the Korean stock market are generally due, not to information, but to trading imbalances.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.13 no.6
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• pp.2664-2671
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• 2012

This study aimed to investigate the relationship between physical characteristics and walking ability in the elderly population. Subjects were 77 elderly (38 men and 39 women) who are capable of walking independently with and without walking aids. Correlation and stepwise multiple linear regression analyses were used to analyze the relationship between physical characteristics (age, gender, height, weight, body mass index, muscle mass, waist/hip ratio, heart rate, vital capacity, flexibility, maximum oxygen consumption, one-leg standing time, and strength of knee flexor and extensor) and walking velocity of subjects. Age, height, vital capacity, one-leg standing time, and strength of knee flexor and extensor showed significant correlations with walking velocity of subjects (p<.05). Further, the strength of knee flexor explained 27% of the variance, and up to 32% of the walking velocity could be explained when the strength of knee extensor were added to the model. The findings suggest that walking velocity of elderly depends on the strength of lower limb's strength and a variety of physical characteristics.