• 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%.

• 한국신재생에너지학회:학술대회논문집
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• 2011.05a
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• pp.160-160
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• 2011

In this work, magnesium (Mg) nanoparticles were plated onto the surfaces of multi-walled carbon nanotubes (MWNTs) in order to investigate the effects of their presence on the high pressure hydrogen storage behaviors of the resultant Mg/MWNTs. The structure of Mg/MWNTs was characterized by X-ray diffraction (XRD) and transmission electron microscopy (TEM). The pore structure and total pore volumes of Mg/MWNTs were analyzed by $N_2$/77 K adsorption isotherms. The hydrogen storage behaviors of the Mg/MWNTs were investigated by BEL-HP at 298K and 100 bar. From the results, it was found that Mg particles were homogeneously distributed on the MWNT surfaces. The hydrogen storage capacity increased in proportion to the Mg content. It can be concluded that Mg paricles play an important role in hydrogen storage characteristics due to the hydrogen spillover effect.

• Proceedings of the KAIS Fall Conference
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• 2004.11a
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• pp.280-283
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• 2004

Effect of H2 spillover rate as function of reduction temperature on reaction kinetics was evaluated. Reaction kinetics including yield, conversion, activation energy and selectivity of 1-butene isomerization over Pt/HxMoO/SiO were measured as reaction temperature was increased. While conversion of 1-butane was decreased, yield of iso-butene was increased. Two kinds of reaction mechanism were proposed from the change of selectivity as function of temperature.

• East Asian Economic Review
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• v.22 no.4
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• pp.507-529
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• 2018

This paper evaluates the whole impact of quantitative easing on inflation in Korea implemented by the central banks in four major advanced economies, the U.S., Euro Area, U.K. and Japan. According to the analysis employing a VAR-X model with the security holdings of those central banks an exogenous variable, quantitative easing is estimated to exert downward pressures on inflation in Korea. Considering the impulse responses of Korean macroeconomic variables to a quantitative easing shock, the spillover effect is transmitted through exchange rate channel while trade channel turns out to be ineffective. In an additional analysis assessing the impact of each quantitative easing program of the central banks, only those of the Fed and European Central Bank are estimated to be significant. The empirical results prove to be robust even if using long-term interest rates as an alternative indicator of quantitative easing.

• Transactions of the Korean hydrogen and new energy society
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• v.20 no.4
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• pp.331-336
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• 2009

수소가 Pt/$MoO_3$로 흡장되는 현상을 XRD, TEM, CO 화학흡착 분석방법을 사용하여 조사하였다. 소성과정은 Pt/$MoO_3$ 촉매의 Chlorine 함유량을 감소하며 박막을 형성하였다. 소성전과 비교하여 수소 흡장량은 소성 후에 증가하였다. Orthorhombic Pt/$MoO_3$은 Hexagonal Pt/$MoO_3$보다 항상 수소 흡장량이 증가하였다. 상대적으로 Hexagonal Pt/$MoO_3$에서 수소 흡장량이 감소하는 이유는 Hexagonal 결정격자 내에 존재하는 $NH_4^+$ 이온에 기인하는 것으로 판단된다. 결정격자 내부로의 수소 침투시 암모니움 이온이 수소내부 기공에 장애물 역할을 하므로, 수소 흡장량이 감소하는 것으로 판단된다.

• Journal of Korean Society of Forest Science
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• v.103 no.4
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• pp.630-638
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• 2014

This paper explores the economic spillover effects of forest therapy projects of Korea Forest Service, using the 2011 Input-Output Tables of Bank of Korea. We consider total expenditures on the construction of 20 forest therapy bases and Baekdudaegan Forest Therapy Base, and operation of 3 forest therapy bases. During the 8 years of 2010-2017, we find that these forest therapy projects generate 698 billion wons of production, 456 billion wons of value-added, and 8,176 new jobs.

• The Journal of Asian Finance, Economics and Business
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• v.4 no.4
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• pp.27-37
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• 2017

This study examines the behaviour of staple food price using Multivariate BEKK-GARCH Model. Understanding of staple food price behaviour is important for determining the unpredictability of staple food market and also for policy making. In this paper, we focus on the commodity prices of sugar, rice, soybean and wheat to examine the volatility behaviour of those commodities. The empirical results show that the own-volatility spillover are relatively significant for all food prices. The own-volatility spillover effect for sugar price is relatively large compared with the volatility spillover of other staple food commodities. The findings also highlight that the price volatility of wheat increases during food crisis more than it does when the condition is stable. Also, the own-volatility of rice and wheat in the period of the food crisis is significant and higher compared to the period before food crisis indicates that the past own-volatility effects during food crisis are relatively more difficult to predict because of the uncertainty and high price volatility. Policy recommendations that can be proposed based on the findings are: (1) a better trade agreement in food commodity trade, (2) lower the dependence on wheat importation in Indonesia, and (3) reliable system to minimize food price volatility risks.

• KDI Journal of Economic Policy
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• v.34 no.1
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• pp.87-133
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• 2012

This paper consists of two parts. The first part introduces a simple endogenous growth model. It is based on Romer(1990), but extends the original model by incorporating individual workers skill heterogeneity. Based on the heterogeneity, the model has a labor allocation mechanism between skilled (research) and unskilled (production) sectors. Different from Romer(1990), the labor allocation is determined by both demand and supply conditions of the economy. The endogenous growth model presented in this paper shows how the shape of the distribution of human capital affects on the labor allocation, hence on the employment structure, wage profile and economic growth. The model can be extended to an open economy. With the heterogeneity, the extended model explains distributional effect as well as growth effect of the economic openness. The second part provides empirical evidence in support of the extension part of the model presented in the first part. Based on the endogenous growth framework as proposed by Romer(1990) and Rivera-Batiz and Romer(1991), the model explains how economic openness affects labor allocation between skilled and unskilled sectors. According to the model, economic openness can affect labor allocation through two channels; knowledge spillover and specialization. First, the openness promotes knowledge spillover and hence increases the productivity of workers in the skilled sectors. This makes the economy employs more workers in the skilled sector. On the other hand, the openness causes global specialization which leads more employment in the skilled sector for the developed countries but at the same time, leads less employment in the skilled sector for the developing countries since the developing countries have comparative advantages in the unskilled sector. The empirical results obtained using cross country panel data in this paper support these two effects of knowledge spillover and specialization.

• Journal of Labour Economics
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• v.34 no.1
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• pp.33-69
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• 2011

This study analyses a productivity effect by E&T and R&D activities via estimation of E&T stock, R&D stock, and patent stock in a corporate level. Particularly, the analysis reflects the effects of skilled training after estimating E&T stock from E&T flow. When a spillover effect of E&T is analyzed, a methodology using technical proximity concept becomes a new experiment. Also classifying long and short term effects from the usage of Dynamic Panel Data Analysis becomes a new trial, too. The results of study appear that the productivity effects from E&T investments are relatively lager than R&D investments. Through spillover effects and long-term effects E&T and R&D activities have a strong influence on the corporate's productivity.

• Journal of Technology Innovation
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• v.22 no.3
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• pp.1-35
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• 2014

This study analyzed convergence status among input technologies used in technology development with Technology I-O analysis. It was another version of industry input-output analysis which is used in technology planning. This case is an analysis of association between technology an product. The subjects of analysis were 401 tasks that applied to '2012 Convergence Technology Development Project for Small and Medium Businesses' promoted by Korea Technology & Information Promotion Agency for Small and Medium Enterprises. The process of analysis is as followed. First step, we made a matrix table as an input of technology input-output analysis. Input was defined by technology and output was defined by the product. Input technology was defined in a 3-digit code under National Science Technology Classification and output products were defined in a 5-digit under National Standard Industry Code. Second, the Spillover ratio among technologies were calculated and was used to make a picture of technology linkage. As a result of analysis, technology spillover of embedded S/W was the highest in IT convergence, mold product in ET convergence, and functional cosmetics development technology in BT convergence. In general, IT convergence had many element technologies with high technology spillover, and ET had a small number of element technologies with high technology spillover. Therefore, investment effect of element technology is expected to be large if investment on element technologies with high technology spillover is important for vitalizing convergence.