• Journal of Distribution Science
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• v.13 no.5
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• pp.53-60
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• 2015

Purpose - The purpose of this paper is to shed light on the importance of the slope and curvature of the volatility curve implied in option prices in the KOSPI 200 options index. A number of studies examine the implied volatility curve, however, these usually focus on cross-sectional characteristics such as the volatility smile. Contrary to previous studies, we focus on time-series characteristics; we investigate correlation dynamics among slope, curvature, and level of the implied volatility curve to capture market information embodied therein. Our study may provide useful implications for investors to utilize current market expectations in managing portfolios dynamically and efficiently. Research design, data, and methodology - For our empirical purpose, we gathered daily KOSPI200 index option prices executed at 2:50 pm in the Korean Exchange distribution market during the period of January 2, 2004 and January 31, 2012. In order to measure slope and curvature of the volatility curve, we use approximated delta distance; the slope is defined as the difference of implied volatilities between 15 delta call options and 15 delta put options; the curvature is defined as the difference between out-of-the-money (OTM) options and at-the-money (ATM) options. We use generalized method of moments (GMM) and the seemingly unrelated regression (SUR) method to verify correlations among level, slope, and curvature of the implied volatility curve with statistical support. Results - We find that slope as well as curvature is positively correlated with volatility level, implying that put option prices increase in a downward market. Further, we find that curvature and slope are positively correlated; however, the relation is weakened at deep moneyness. The results lead us to examine whether slope decreases monotonically as the delta increases, and it is verified with statistical significance that the deeper the moneyness, the lower the slope. It enables us to infer that when volatility surges above a certain level due to any tail risk, investors would rather take long positions in OTM call options, expecting market recovery in the near future. Conclusions - Our results are the evidence of the investor's increasing hedging demand for put options when downside market risks are expected. Adding to this, the slope and curvature of the volatility curve may provide important information regarding the timing of market recovery from a nosedive. For financial product distributors, using the dynamic relation among the three key indicators of the implied volatility curve might be helpful in enhancing profit and gaining trust and loyalty. However, it should be noted that our implications are limited since we do not provide rigorous evidence for the predictability power of volatility curves. Meaning, we need to verify whether the slope and curvature of the volatility curve have statistical significance in predicting the market trough. As one of the verifications, for instance, the performance of trading strategy based on information of slope and curvature could be tested. We reserve this for the future research.

• Journal of the Korean Wood Science and Technology
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• v.21 no.3
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• pp.45-52
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• 1993

Surveyed results on the slope of grain and the twist of sawn lumber of Pinus koraiensis, Larix leptolepis, and Pinus densiflora were summarized as follows: 1. The slope of grain of Pinus koraiensis has a Z-grain in the stem axis. The slope of grain was found to be the lowest at near to the pith and then constantly increased. At the height of 0.2m from the base of stem. a cross section of 35 annual rings was found to have a repeatedly increasing and decreasing slope of grain and then constantly decreased. At the height of 1.2m to 7.2m from the base of stem, the slope of grain increased conspicuously until the 10th annual ring, after which it increased near to the bark with repeatedly increasing and decreasing trends. 2. Pinus densiflora has a S-grain in the stem axis. The lowest slope of grain was found at near to the pith, and the highest in the 10 to 35 annual rings from the pith. 3. Larix leptolepis has a S-grain. At the height of 3.2m from the base of stem, the big fluctuation of the slope of grain was found without any particular trend. 4. The slope of grain and the twist between natural and reforested timber of Pinus koraiensis were found to be almost the same trend in viewpoint of the annual ring. The maximum slope of grain of imported Siberian timber of Pinus koraiensis was found at the 10 annual rings, which was quite similar to that of native species in Korea, but the big difference of the twist was found at 140 annual rings. 5. The twist was little at the mature wood of reforested Pinus koraiensis and Siberians and the duplicated part of mature and juvenile woods of those. On the contrary, the twist was great at the duplicated part of mature and juvenile woods of Pinus koraiensis. 6. The twist of Larix leptolepis showed the S-direction which coincided with that of slope of grain. The twist was greatest at the part of juvenile wood and little at the duplicated part of mature and juvenile woods, and little difference of twist was found between mature and juvenile woods. 7. Siberian larix having a minimum slope of grain showed the lowest twist, and the twist at the duplicated part of mature and juvenile woods showed a middle level of both mature and juvenile woods' portions.

• Proceedings of the Korean Geotechical Society Conference
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• 2001.03a
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• pp.509-516
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• 2001

As the first step for the application of seismic landslide hazard maps to domestic cases, two types of hazard maps on Ul-joo from pseudostatic analysis and Newmark sliding block analysis are constructed and comllared. Arcview, the GIS program and the 1:5,000 digital maps of the test-site are used for the construction of hazard maps and tile parameters for the analyses are determined by seismic survey and laboratory tests. The results from the pseudostatic analysis have more conservative values of lower critical slope angles, although the results from the two different analyses have similar tendencies. In detail, with increasing the peak ground acceleration, the difference between the two analyses in the critical slope angle increases, while the difference decreases with increasing the maximum soil depth.

• Journal of Advanced Navigation Technology
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• v.17 no.2
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• pp.208-217
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• 2013

The optimal residual dispersion per span (RDPS) slope is induced through the analyses of the compensation characteristics of the wavelength division multiplexed (WDM) channels depending on RDPS slope in the optical links with a dispersion management (DM) and an optical phase conjugation. The simulation results show that the effective launch power of WDM is more increased and the performance difference between the channels is more decreased as RDPS slope is more increased. The simulation results also show that the effective net residual dispersion (NRD) range is more increased as RDPS slope is more increased, and consequently, it is more advantageous to use the large RDPS slope for implementing the flexible optical links.

• Tunnel and Underground Space
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• v.11 no.3
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• pp.270-278
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• 2001

Two numerical methods such as DEM and FDM were adopted to analysis of rock slope stability, of which dimensions are about 150 m(length), 58 m(height), 70°dip, in Halla limestone mine. For this rock slope stability analysis, strength reduction method was used to calculate the safety factor of slope through numerical method. To keep the rock slope safely, it is proposed to reduce the height of the rock slope from 58 m to 45 m and to reduce the angle of the slope from 70°to 55°, too.

• Proceedings of the Korean Geotechical Society Conference
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• 2005.03a
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• pp.199-206
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• 2005

Engineers have performed slope stability analyses, including Limit Equilibrium Analysis, Finite Difference Analysis and Finite Element Analysis. Each analysis results in different Factor of Safety(FS) for slopes. The comparison of FS results from these stability analyses has been carried out for various conditions, such as geometry of slopes, dry and fully saturated soils, nail and anchor reinforcements. Standard deviations of FS calculated from various slope analyses are 0.03 to 0.04 and 0.22 to 0.48 for the slopes without and with nail or anchor reinforcement, respectively. Construction of tiered concrete retaining wall in addition to nail or anchor reinforcement increases FS of 12% to 29% for fully saturated soils.

• The Korean Journal of Ecology
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• v.8 no.2
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• pp.81-87
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• 1985

The vegetation on the north and south slopes of Kwanak mountain was assessed and recorded during thesummer of 1976. Recordings were made of 5*5m quadrats placed along the transects running parallel to the slopes. On the north slope, most of large trees such as Alnus sibirica, Sorbus alnifolia, Robinia pseudo-acacia and Pinus rigida make the crown and their mean DBH was conspicuously large, while the vegetation of south slope is dominated by dwarf Juniperus utilis, Pinus densiflora, Weigela florida var. glabra which are considered as a resistant species of dry site. The amount of humus, total nitrogen, soil water content and available phosphorous is higher on the north slope than the south one. However, the soil pH is higher on the south slope. It is assumed that the humus content is a main factor to make difference on the type of vegetation between the north and south slope.

• Proceedings of the KSPS conference
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• 2006.11a
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• pp.92-95
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• 2006

The purpose of this study is to find the acoustic parameters on frequency domain to distinguish the Korean nasals, /m, n, ng/ from each other. Since it is not easy to characterize the antiformant on frequency domain, we suggest the new parameters that are calculated by LTAS(Long term average spectrum). Maximum energy value and its frequency and minimum energy and its frequency of zero are obtained from the spectrum respectively. In addition, slope1, slope2, total energy value, centroid, skewness, and kurtosis are suggested as new parameters as well. The parameters that are revealed as to be statistically signigicant difference are roughly peak1_a, zero_f, slope_1, slope_2, highENG, zero_ENG, and centroid.

• Tribology and Lubricants
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• v.30 no.5
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• pp.284-290
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• 2014

The influence of round embossed surface on slider bearing characteristics and its load carrying capacity is discussed for thin film effect of embossed slider bearing. For the numerical computation of lubrication parameters such as pressure, load capacity and shear stress that are normalized and a Reynolds equation is used for the analysis of embossed slider bearing characteristics. For this purpose, the finite difference method of central difference scheme is used in this study. In a slider bearing with embossed form, several simulation parameters such as pressure, load capacity and shear stress of the bearing can be obtained according to independent parameters such as the slope of the slider bearing and number of embossing in the upper slider. Also this results can be summarized and be stored in sequential data file for latter analysis. After all, their distribution of the pressure and shear stress parameters can be displayed and be analyzed easily by using the developed program with matlab GUI technique. The independent parameters such as a number of embossing and a slope of the embossed surface slider are used for discussing simulation parameters of pressure distribution, shear stress and load carrying capacity of the round embossing. These study results reported in this paper should be applied to the other shaped slider bearing with a rectangular embossed surface or rectangular waved surface.

• Journal of the Korean Geotechnical Society
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• v.21 no.2
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• pp.127-135
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• 2005

In this paper, a numerical comparison of predictions by limit equilibrium analysis and finite difference analysis is presented for slope/soil-nail system. Special attention is given to the coupled analysis based on the explicit-finite-difference code, FLAC 2D. To this end, an internal routine (FISH) was developed to calculate a factor of safety for a soil nail slope according to shear strength reduction method. The case of coupled analyses was performed for soil nails in slope in which the soil nails response and slope stability are considered simultaneously. In this study, by using these methods, the failure surfaces and factors of safety were compared and analyzed in several cases, such as toe, middle and top of the slope, respectively. Furthermore, the coupled method based on shear strength reduction method was verified by the comparison with other analysis results.