• 유통과학연구
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• 제13권5호
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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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• 제21권3호
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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.

• 한국지반공학회:학술대회논문집
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• 한국지반공학회 2001년도 봄 학술발표회 논문집
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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.

• 한국항행학회논문지
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• 제17권2호
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• pp.208-217
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• 2013

분산 제어 (DM; dispersion management)와 광 위상 공액 (optical phase conjugation)이 적용된 광전송 링크에서 중계 구간 당 잉여 분산 (RDPS; residual dispersion per span) 기울기 (slope)에 따른 파장 분할 다중 전송 (WDM; wavelength division multiplexed) 채널의 보상 특성을 분석하여 최적의 RDPS 기울기를 도출하였다. RDPS 기울기가 증가할수록 WDM 채널의 유효 입사 전력 범위를 더욱 증가시키고 채널 간 성능 차이를 더욱 감소시키는 것을 확인하였다. 아울러 RDPS 기울기가 증가할수록 유효 전체 잉여 분산 (NRD; net residual dispersion) 범위도 증가하여 큰 RDPS 기울기가 유연한 광전송 링크 구성에 더욱 유리하다는 것을 확인하였다.

• 터널과지하공간
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• 제11권3호
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• pp.270-278
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• 2001

한라 석회석 광산에서 높이가 대체로 58m이고 사면의 경사각이 70$^{\circ}$인 암반 사면의 안정성 해석을 위하여 암반을 연속체로 가정한 FDM과 절리의 강도 특성 등을 주로 고려한 DEM 등 두 가지 수치해석법을 사용하였다. 수치해석법으로 사면의 안정성을 안전율로 표시하기 위하여 강도감소법을 이용하였다. 연속체 해석 결과에서는 사면의 안정이 유지되는 것으로 판단할 수 있으나 절리의 특성을 고려한 해석 결과 사면의 안전율이 1.3보다 크도록 사면을 안전하게 유지하기 위해서는 사면 높이 를 45m로, 경사를 55로$^{\circ}$로 변경 하는 것이 바람직 한 것으로 판단되었다.

• 한국지반공학회:학술대회논문집
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• 한국지반공학회 2005년도 춘계 학술발표회 논문집
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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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• 제8권2호
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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.

• 대한음성학회:학술대회논문집
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• 대한음성학회 2006년도 추계학술대회 발표논문집
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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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• 제30권5호
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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.

• 한국지반공학회논문집
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• 제21권2호
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• pp.127-135
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• 2005

본 연구에서는 쏘일네일로 보강된 사면을 한계평형 해석법과 2차원 유한차분 해석을 수행하여 그 결과를 비를 분석하였다. 특히, 유한차분법을 이용한 FLAC 2D를 바탕으로 하는 커플링 해석에 주안점을 두었으며, FLAC을 이용하여 전단강도감소기법에 따른 보강사면의 안전율을 계산하기 위해 FLAC의 내장언어인 FISH를 이용하여 작성하였다. 커플링 해석에서 보일네일에 의한 안정화된 사면을 해석하기 위해 쏘일네일 거동과 사면안정을 동시에 고려하였다. 따라서 본 연구에서는 이 두 방법을 적용하여 쏘일네일의 사면내 설치위치, 설치각도, 설치간격 등에 따라 각각의 활동파괴면 및 안전율을 비판분석하였으며 강도정수 감소법을 적용한 해석기법의 적용성과 타당성 분석을 수행하였다.