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Deep learning forecasting for financial realized volatilities with aid of implied volatilities and internet search volumes (금융 실현변동성을 위한 내재변동성과 인터넷 검색량을 활용한 딥러닝)

  • Shin, Jiwon;Shin, Dong Wan
    • The Korean Journal of Applied Statistics
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    • v.35 no.1
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    • pp.93-104
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    • 2022
  • In forecasting realized volatility of the major US stock price indexes (S&P 500, Russell 2000, DJIA, Nasdaq 100), internet search volume reflecting investor's interests and implied volatility are used to improve forecast via a deep learning method of the LSTM. The LSTM method combined with search volume index produces better forecasts than existing standard methods of the vector autoregressive (VAR) and the vector error correction (VEC) models. It also beats the recently proposed vector error correction heterogeneous autoregressive (VECHAR) model which takes advantage of the cointegration relation between realized volatility and implied volatility.

Pre-Evaluation for Prediction Accuracy by Using the Customer's Ratings in Collaborative Filtering (협업필터링에서 고객의 평가치를 이용한 선호도 예측의 사전평가에 관한 연구)

  • Lee, Seok-Jun;Kim, Sun-Ok
    • Asia pacific journal of information systems
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    • v.17 no.4
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    • pp.187-206
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    • 2007
  • The development of computer and information technology has been combined with the information superhighway internet infrastructure, so information widely spreads not only in special fields but also in the daily lives of people. Information ubiquity influences the traditional way of transaction, and leads a new E-commerce which distinguishes from the existing E-commerce. Not only goods as physical but also service as non-physical come into E-commerce. As the scale of E-Commerce is being enlarged as well. It keeps people from finding information they want. Recommender systems are now becoming the main tools for E-Commerce to mitigate the information overload. Recommender systems can be defined as systems for suggesting some Items(goods or service) considering customers' interests or tastes. They are being used by E-commerce web sites to suggest products to their customers who want to find something for them and to provide them with information to help them decide which to purchase. There are several approaches of recommending goods to customer in recommender system but in this study, the main subject is focused on collaborative filtering technique. This study presents a possibility of pre-evaluation for the prediction performance of customer's preference in collaborative filtering before the process of customer's preference prediction. Pre-evaluation for the prediction performance of each customer having low performance is classified by using the statistical features of ratings rated by each customer is conducted before the prediction process. In this study, MovieLens 100K dataset is used to analyze the accuracy of classification. The classification criteria are set by using the training sets divided 80% from the 100K dataset. In the process of classification, the customers are divided into two groups, classified group and non classified group. To compare the prediction performance of classified group and non classified group, the prediction process runs the 20% test set through the Neighborhood Based Collaborative Filtering Algorithm and Correspondence Mean Algorithm. The prediction errors from those prediction algorithm are allocated to each customer and compared with each user's error. Research hypothesis : Two research hypotheses are formulated in this study to test the accuracy of the classification criterion as follows. Hypothesis 1: The estimation accuracy of groups classified according to the standard deviation of each user's ratings has significant difference. To test the Hypothesis 1, the standard deviation is calculated for each user in training set which is divided 80% from MovieLens 100K dataset. Four groups are classified according to the quartile of the each user's standard deviations. It is compared to test the estimation errors of each group which results from test set are significantly different. Hypothesis 2: The estimation accuracy of groups that are classified according to the distribution of each user's ratings have significant differences. To test the Hypothesis 2, the distributions of each user's ratings are compared with the distribution of ratings of all customers in training set which is divided 80% from MovieLens 100K dataset. It assumes that the customers whose ratings' distribution are different from that of all customers would have low performance, so six types of different distributions are set to be compared. The test groups are classified into fit group or non-fit group according to the each type of different distribution assumed. The degrees in accordance with each type of distribution and each customer's distributions are tested by the test of ${\chi}^2$ goodness-of-fit and classified two groups for testing the difference of the mean of errors. Also, the degree of goodness-of-fit with the distribution of each user's ratings and the average distribution of the ratings in the training set are closely related to the prediction errors from those prediction algorithms. Through this study, the customers who have lower performance of prediction than the rest in the system are classified by those two criteria, which are set by statistical features of customers ratings in the training set, before the prediction process.

Multiple Regression Analysis to Determine the Reservoir Classification in the Empirical Area-Reduction Method (경험적 면적감소법을 위한 저수지 분류에 관한 연구)

  • 권오훈
    • Water for future
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    • v.10 no.1
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    • pp.95-100
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    • 1977
  • The empirical area-reduction method by W.M. Borland and C.R. Miller and its revised procedure by W.T. Moody were made of fitting the area and storage curves to the Van't Hul distributions. It should be noted that the reservoir is classified into one of the four standard types on the basis of the topographical feature of the reservoir in application of the method. In other words, this method did not take into account several considerafble factors affecting the mode of sediment deposition, but only the shape of the reservoir as a governign factor. This is why the method occasionally creates ambiguity in classification and accordingly leads to unexpected mode of deposition. This paper describes a generating an formula to decide the standard classification of four types Van's Hul distributions, taking into consideration quantitatively sediment-loss percent and capacity-inflow ratio as well as the shape of the reservoirs by multiple regression analysis using the least square method to get a better fit to the design curves. The result is expressed as $Y=-1.95+55.8X_1+0.14X_2+0.12X_3$ in which the the values of Y locate the standard type I through type IV in the range from ten to forty with the interval of ten. The regression analysis was correlated well with the standard errors of estimate of around two except for the case of the type IV. This formula does not give big difference from the Borland's work in general sityation, but it demonstrates acceptable results, giving somewhat precise replys for the specific reservoirs. Its application to the Soyang Lake, one of the largest reservoirs in the country, defined clearly the type II, while the original method located it in the boundary of the type II and type III.

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Real-time Voltammetric Assay of Cadmium Ions in Plant Tissue and Fish Brain Core

  • Ly, Suw-Young
    • Bulletin of the Korean Chemical Society
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    • v.27 no.10
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    • pp.1613-1617
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    • 2006
  • Optimum analytical conditions for cyclic voltammetry (CV) and square wave (SW) stripping voltammetry were determined using mercury-mixed carbon nanotube paste electrode (PE). The results approached the microgram working ranges of SW: 10.0-80.0 $ugL^{-1}$ and CV: 100-700 $ugL^{-1}$ Cd (II); working conditions of 300-Hz frequency, 100 mV amplitude, 1.6 V accumulation potential, 400 sec accumulation time, and 40 mV increment potential. First, analysis was performed through direct assay of cadmium ions deep into the fishs brain core and plant tissue in real time with a preconcentration time of 400 sec. The relative standard deviation of 10.0 $mgL^{-1}$ Cd (II) observed was 0.064 (n = 12) at optimum conditions. The low detection limit (S/N) was set at 0.6 $ugL^{-1}$ ($5.33{\times}10^{-9}$ M). The methods can be used in direct analysis in vivo or in real-time monitoring of plant tissue.

THE STUDY FOR THE PROFILES OF MIXED DENTITION (한국인 아동의 측모에 관한 연구)

  • Park T. W.
    • Journal of Korean Academy of Oral and Maxillofacial Radiology
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    • v.8 no.1
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    • pp.17-21
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    • 1978
  • The study was to analyze on the hard and soft tissue profiles in mixed dentition. The subject consisted of 100 males and 100 females from 9 to 12 years of age and with a normal occlusion and acceptable profiles. On the basis of SnH line and SnV line, the author traced all the cephalograms and calculated the mean value and standard deviation in each measuring category and evaluated the sexual difference, the proper limit of development. The obtained results were as follows; 1. Individual variations of the lower facial part were larger the upper facial part in depth and height. 2. Sexual difference of lower facial part was significant in depth and height. 3. All the measured values to the SnH and SnV line were larger in male than in female but revealed resemblance in the profilogram. 4. The measured values of the region of nose, upper lip and point A showed stable tendency.

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Studies on the Callus Culture of garlic and the Formation of Alliin (마늘의 Callus 배양과 Alliin 생성에 관한연구)

  • 이갑량;김준희;박동철
    • Journal of the Korean Society of Food Science and Nutrition
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    • v.20 no.1
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    • pp.1-4
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    • 1991
  • This is study was conducted to find out the effect of various plant hormones on the growth of garlic callus and to determine the effects of sulfur and nitrogen on the formation of alliin. The following results were obtained. The callus was grown effectively on the basal Linsmainer and skoog medium supplemented with 10-6M of kinetin and 2, 4-dichlorophenoxyacetic acid. When alliin produced by callus were extracted and identified by PPC allin appeared to have Rf value 0.21 in PPC which was exactly same as standard and it gave a deep red colar by Grot's reagent. The highest amount of alliin which is produced in callus culture was 270mg per 100g of dry weight in the basal Linsmaier and Skoog medium supplemented with 100% of NO3 as a nitrogen source.

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Pharmacological Screening of Sesbania grandiflora L. Poiret Extracts

  • Subramanian, E. Harihara;Varghese, Shyju;Rameshkumar, N.;Ilavarasan, R.;Sridhar, S.K.
    • Natural Product Sciences
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    • v.9 no.3
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    • pp.154-157
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    • 2003
  • In the present study, the roots of Sesbania grandiflora L. Poiret (Papilionaceae) were successively extracted with petroleum ether (PE), chloroform (CE), methanol (ME) and water (AE) by soxhlet extraction. The extracts were vacuum dried and screened for analgesic, antidiarrhoeal, antibacterial (Staphylococcus epidermidis, Staphylococcus aureus, Micrococcus luteus, Bacillus cereus, and Klebsiella pneumonia) and antifungal (Candida albicans and Aspergillus niger) activity. All the extracts exhibited potent, dose dependant (40 and 80 mg/kg) and significant analgesic and antidiarrhoeal activity in the order of AE>PE>CE>ME and ME>PE>AE>CE respectively. AE at the experimental dose was found to exhibit more potent analgesic activity than standard drug. All the extracts exhibited significant antibacterial $(100\;{\mu}g/ml)$ and antifungal activity $(50\;and\;100\;{\mu}g/ml)$. ME exhibited the most potent antibacterial activity.

A Study on Welding Deformation of thin plate block in PCTC (PCTC 박판 블록 용접 변형에 관한 연구)

  • Kang, Serng-Ku;Yang, Jong-Su;Kim, Ho-Kyeong
    • Proceedings of the KWS Conference
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    • 2009.11a
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    • pp.97-97
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    • 2009
  • The use of thin plate increases due to the need for light weight in large ship. Thin plate is easily distorted and has residual stress by welding heat. Therefore, the thin plate should be carefully joined to minimize the welding deformation which costs time and money for repair. For one effort to reduce welding deformation, it is very useful to predict welding deformation before welding execution. There are two methods to analyze welding deformation. One is simple linear analysis. The other is nonlinear analysis. The simple linear analysis is elastic analysis using the equivalent load method or inherent strain method from welding experiments. The nonlinear analysis is thermo-elastic analysis which gives consideration to the nonlinearity of material dependent on temperature and time, welding current, voltage, speed, sequence and constraint. In this study, the welding deformation is analyzed by using thermo-elastic method for PCTC(Pure Car and Truck Carrier) which carries cars and trucks. PCTC uses thin plates of 6mm thickness which is susceptible to welding heat. The analysis dimension is 19,200mm(length) * 13,825mm(width) * 376mm(height). MARC and MENTAT are used as pre and post processor and solver. The boundary conditions are based on the real situation in shipyard. The simulations contain convection and gravity. The material of the thin block is mild steel with $235N/mm^2$ yield strength. Its nonlinearity of conductivity, specific heat, Young's modulus and yield strength is applied in simulations. Welding is done in two pass. First pass lasts 2,100 second, then it rests for 900 second, then second pass lasts 2,100 second and then it rests for 20,000 second. The displacement at 0 sec is caused by its own weight. It is maximum 19mm at the free side. The welding line expands, shrinks during welding and finally experiences shrinkage. It results in angular distortion of thin block. Final maximum displacement, 17mm occurs around welding line. The maximum residual stress happens at the welding line, where the stress is above the yield strength. Also, the maximum equivalent plastic strain occurs at the welding line. The plastic strain of first pass is more than that of second pass. The flatness of plate in longitudinal direction is calculated in parallel with the direction of girder and compared with deformation standard of ${\pm}15mm$. Calculated value is within the standard range. The flatness of plate in transverse direction is calculated in perpendicular to the direction of girder and compared with deformation standard of ${\pm}6mm$. It satisfies the standard. Buckle of plate is calculated between each longitudinal and compared with the deformation standard. All buckle value is within the standard range of ${\pm}6mm$.

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A Study on the Expectation and Awareness of Anti-Bribety Management Systyem Certification in Korea (반부패경영시스템 인증(ISO 37001)에 대한 국내 기업의 기대 및 인지도 연구)

  • Jun, Byoungho
    • Journal of Korea Society of Digital Industry and Information Management
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    • v.16 no.2
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    • pp.95-104
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    • 2020
  • Bribery is one of the world's most destructive and challenging issues. Yet despite efforts on national and international levels to tackle bribery, it remains a significant issue. Recognizing this, ISO has developed a new standard to help organizations fight bribery and promote an ethical business culture, which is "ISO 37001 - Anti-bribery Management Systems" in 2016. ISO 37001 can provide the tools and systems to greatly reduce the risk and help organizations deal with it effectively if it does arise. It is a flexible tool, which can be adapted according to the size and nature of the organization and the bribery risk it faces. After enforcing the Improper Solicitation and Graft Act, Korean government standardized ISO 37001, one of the Business Ethics of Global Standard, harmonizing International Standards into Korean Industrial Standards (KS) in 2017. It is meaningful in that Korean companies have localized regulation which applies to global standard anti-bribery management systems. Only about 100 organizations, however, have adopted ISO 37001 so far. The primary purpose of this paper is to examine the expectation and awareness of ISO 37001. Results show that still many organizations lack of awareness of ISO 37001 and it is implicated that much promotion and education will be necessary. This study has originality and value in that it can provide the guidelines for activation of ISO 37001.

A Reliability Verification of Screening Time Prediction Reporting of 'Cine-Hangeul'

  • Jeon, Byoung-Won
    • Journal of Multimedia Information System
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    • v.7 no.2
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    • pp.141-146
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    • 2020
  • Cine-Hangeul is a program that can predict the running time of a movie based on the screenplay before production. This paper seeks to verify the prediction reporting function of Cine-Hangeul, which is the standard Korean screenplay format. Moreover, this paper presents a method to increase the accuracy of the Cine-Hangeul reporting function. The objective of this paper is to offer a correction method based on scientific evidence because the current Cine-Hangeul reporting function has many errors. The verification process for five scenarios and movies confirmed that the default setting value of Cine- Hangeul's screening time prediction reporting was many errors. Cine-Hangeul analyzes the amount of textual information to predict the time of the scene and the time of the dialogue and helps predict the total time of the movie. Therefore, if a certain amount of text information is not available, the accuracy is unreliable. The current Cine-Hangeul prediction report confirms that the efficiency is high when the scenario volume is about 90 to 100 pages. As a result, prediction of screening time by Cine-Hangeul, a Korean scenario standard format program, confirmed the verification that it could secure the same level of reliability as the actual screening time by correcting the reporting settings. This verification also affirms that when applying about 50 percent of the basic set of screening time reporting, it is almost identical to the screening time.