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The Profit Analysis of Straddle Sell by Entry-Time and Delta at System Trading (시스템 트레이딩에서 진입시점과 델타에 따른 스트래들 매도의 성능 분석)

  • Ko, Young Hoon;Kim, Yoon Sang
    • Journal of Korea Society of Digital Industry and Information Management
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    • v.6 no.1
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    • pp.151-157
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    • 2010
  • This paper proposes the Pyramid strategy which is based on the straddle sell. The Pyamid strategy has multi-entry features with starting date and delta parameters. And It is hedged against a loss by mutual trades and dynamic ripples. This paper analyzes the profit and MDD(maximum draw down) of the Pyramid strategy on system trading. The portfolio tool is used for the experiment which is one of the Multicharts' package. The Multicharts is a good trading system of recent years. For the experiment, three call options and three put options are used at october in 2009. Two parameters are used which are the starting date from first October to twentieth October in 2009 and delta from eight percent to fifty percent. As a result, the profit of composite option is about 3 million won. If the strategy starts before the beginning of option month, investors feel uncomfortable because of a large MDD. If a delta belows 20%, it shows high profit and the ratio of profit and MDD builds up a low value. However a low delta makes frequent trades and results in a loss unless increasing entry levels which mean more amount of investment. This work provides a safer trade system than native option trades. It is important how much levels of multi-entry are acceptable. And an amount of investment with appropriate levels of multi-entry is a subject of a future study.

A Three-dimensional Magnetic Field Mapping System for Deflection Yoke of Cathode-Ray Tube

  • Park, K.H.;Yoon, M.;Kim, D.E.;Lee, S.M.;Joo, H.D.;Lee, S.D.;Yang, W.Y.
    • Journal of Information Display
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    • v.3 no.4
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    • pp.19-22
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    • 2002
  • In this paper, we introduce an efficient three-dimensional magnetic field mapping system for a Deflection Yoke (DY) in Cathode-Ray Tube (CRT). A three-axis Hall probe mounted in a small cylindrical bar and three-stepping motors placed in a non-magnetic frame were utilized for the mapping. Prior to the mapping starts, the inner contour of DY was measured by a laser sensor to make a look-up table for inner shape of DY. Three-axis magnetic fields are then digitized by a three-dimensional Hall probe. The results of the mapping can be transformed into various output formats such as multi pole harmonics of magnetic fields. Field shape in one, two and three- dimensional spaces can also be displayed. In this paper, we present the features of this mapping device and some analysis results.

A Study on the Application of Micro Hydro Power Generator at the Water Treatment Plant (정수장 마이크로 소수력 발전기 적용에 대한 연구)

  • Kim, Jong-Gyeum;Park, Young-Jeen;Kim, Il-Jung
    • Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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    • v.28 no.9
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    • pp.67-72
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    • 2014
  • Inflow or outflow from the water treatment plant and the sewage water has potential energy. If this potential energy can be converted into electrical energy by water turbine generator, it can help to save energy because of the high capacity utilization. So recently, micro hydro power plant is reviewed in the water treatment facility. If generation capacity is low, induction generator is primarily used. If output capacity is low, generated power is supplied to the inside load. Induction generator can cause voltage drop by the inrush current at a start-up and requires reactive power for magnetization. In this study, we analyzed the flow of power and voltage variation against inrush current that occurs when the induction generator starts under the terms that loads of linear and non-linear of the water purification plant are used. Analysis results are that the voltage drop is within an allowable range and the power factor is slightly reduced by the need of reactive power.

Determinations of Initial Control Parameters According to the Application of Control System for Feed Water Pump Turbine into a Nuclear Power Plant (원자력발전소 주급수펌프구동용 증기터빈 제어시스템 현장 적용에 따른 초기 제어상수 결정)

  • Choi, In-Kyu;Woo, Joo-Hee
    • Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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    • v.23 no.4
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    • pp.72-78
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    • 2009
  • This paper describes one of the ways how to decide the initial control parameters after the analog type control system is changed to digital control system. If the old control parameters were already known, the initial control parameters for initial operation could be decided easily. But sometimes, it is very difficult for the control system developer to decide initial parameters before plant machine starts up. In that case, if there is a big difference between initial parameters and optimal parameters, the whole plant itself can be in very dangerous conditions. Here is a very simple experimental method which can be very easy but useful to engineers.

A Study on Training Ensembles of Neural Networks - A Case of Stock Price Prediction (신경망 학습앙상블에 관한 연구 - 주가예측을 중심으로 -)

  • 이영찬;곽수환
    • Journal of Intelligence and Information Systems
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    • v.5 no.1
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    • pp.95-101
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    • 1999
  • In this paper, a comparison between different methods to combine predictions from neural networks will be given. These methods are bagging, bumping, and balancing. Those are based on the analysis of the ensemble generalization error into an ambiguity term and a term incorporating generalization performances of individual networks. Neural Networks and AI machine learning models are prone to overfitting. A strategy to prevent a neural network from overfitting, is to stop training in early stage of the learning process. The complete data set is spilt up into a training set and a validation set. Training is stopped when the error on the validation set starts increasing. The stability of the networks is highly dependent on the division in training and validation set, and also on the random initial weights and the chosen minimization procedure. This causes early stopped networks to be rather unstable: a small change in the data or different initial conditions can produce large changes in the prediction. Therefore, it is advisable to apply the same procedure several times starting from different initial weights. This technique is often referred to as training ensembles of neural networks. In this paper, we presented a comparison of three statistical methods to prevent overfitting of neural network.

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A Study on the Ignition Characteristics at Constant Volume Combustion Chamber of LPG (LPG 정적연소실내 점화특성에 관한 연구)

  • 박경석
    • Transactions of the Korean Society of Automotive Engineers
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    • v.12 no.3
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    • pp.75-82
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    • 2004
  • The allowable exhaust standard has been intensified as a part of the countermeasure to decrease air pollution in the world. As the cars with an alternative fuel starts to get into the spotlight, the cars with low emission has been introduced and exhaust gas regulation forced in this country. These days, LPG vehicles, which infrastructure of fuel was already built up, and CNG vehicles are recognized for alternative fuel cars in this country. In this study, the constant volume combustion chamber was manufactured and used for experiments to obtain the ignition characteristics of LPG fuel and the optimal ignition energy. The experiment measured the combustion characteristics, in regard to the change of combustion variable, and the change of ignition energy. During the combustion of fuel, the maximum temperature inside the combustion chamber is higher when the initial pressure is higher. The burning velocity also seems to have the same characteristic as the temperature. However, the heat flux did not change much with the theoretical correct mixture but the various initial temperature of the combustion chamber. The heat flux got faster and ignition energy bigger as the dwell time of the ignition system expanded. When the dwell time get longer, the ignition energy also increased then fixed. The ignition energy increased as the initial pressure inside the combustion chamber higher. The heat flux got faster as the dwell time expanded.

Effect of Ignition Delay Time Gap on the Linked Pyrotechnic Thrusters (파이로추력기의 점화시간차 영향)

  • Kim, Ki-Un;Jeon, In-Soo;Ahn, Sung-Woo
    • Journal of the Korea Institute of Military Science and Technology
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    • v.14 no.1
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    • pp.154-159
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    • 2011
  • The effect of the ignition delay time gap is newly studied. The operational characteristics of the linked two pyrotechnic thrusters are affected by the time gap. Although two thrusters are simultaneously ignited, the time at which the pressure starts to rise in each thruster may not be synchronized. The characteristic of the system with the time gap is compared with that of the fully synchronized system without any time gap. Depending upon the magnitude of the time gap, the pressure-time profile and the ballistic performance are different. When two pyrotechnic thrusters have a time gap, the peak pressure of one thruster(in which the pressure is built up earlier) is increased and the other is decreased. As the time gap is increased, the peak pressure is converged into the maximum pressure. This maximum pressure can be obtained when only one thruster is activated. Because the maximum pressure is bounded, it is predicted that there isn't any catastrophic failures in the considered system. When the time gap is relatively small, the impulse of the combined force acting on the moving body is almost maintained. But the ballistic performance of the system with a large time gap should be carefully estimated because the reduction of the ballistic performance should not be easily neglected.

A Reflection on Korean MERS Crisis in 2015: Socio-Medical Approach (2015년 메르스 사태의 사회의료학적 조명)

  • Kim, MunCho
    • Journal of Science and Technology Studies
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    • v.16 no.1
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    • pp.5-22
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    • 2016
  • MERS(Middle East Respiratory Syndrome), an acute and infectious viral disease with high fatality sneaked in South Korea in May 2016. Although MERS is officially declared to be exterminated in Korea by the date of December 24, it aroused a great panic throughout the country and remained many tasks requiring sincere deliberations and innovative actions. This study starts to summarize all that had been happening during first 7 months since last May, reconsider the whole process in light of disaster paradigm, analyze the causes and tasks of such turmoil under the framework of social medicine. It is wrapped up with the visions and prospect of the social medicine, an interdisciplinary approach that takes into account the expert knowledge of academia, administrative knowledge of government, media knowledge from traditional/new media and lay knowledge of civil society.

Magnitude Modulation for VSAT's Low Back-Off Transmission

  • Gomes, Marco;Cercas, Francisco;Silva, Vitor;Tomlinson, Martin
    • Journal of Communications and Networks
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    • v.12 no.6
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    • pp.544-557
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    • 2010
  • This paper addresses the problem of controlling the envelope's power peak of single carrier modulated signals, band limited by root-raised cosine (RRC) pulse shaping filters, in order to reduce power amplifier back-off for very small aperture terminals ground stations. Magnitude modulation (MM) is presented as a very efficient solution to the peak-to-average power ratio problem. This paper gives a detailed description of the MM concept and its recent evolutions. It starts by extending the look-up-table (LUT) based approach of the MM concept to M-ary constellations with M ${\leq}$ 16. The constellation and RRC symmetries are explored, allowing considerable reduction on LUT computation complexity and storage requirements. An effective multistage polyphase (MPMM) approach for the MM concept is then proposed. As opposed to traditional LUT-MM solutions, MM coefficients are computed in real-time by a low complexity multirate filter system. The back-off from high-power amplifier saturation is almost eliminated (reduction is greater than 95%) with just a 2-stage MPMM system even for very demanding roll-off cases (e.g., ${\alpha}$ = 0,1). Also, the MPMM is independent of modulation in use, allowing its easy application to constellations with M > 16.

Economic Evaluation of ESS and Natural Gas Generator for Expansion of New and Renewable Generation (신재생발전 확대적용을 위한 ESS와 천연가스발전기의 경제성 평가)

  • JOO, YONGJIN;SHIN, JUGON;SEO, DONGKYUN;PARK, SEIK
    • Transactions of the Korean hydrogen and new energy society
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    • v.29 no.4
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    • pp.363-369
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    • 2018
  • This paper considers the alternative way to mitigate cost for REC instead of Photovoltaic (PV) panels with Energy Storage System (ESS). This study starts from an economic analysis of a 1 megawatt PV system without ESS. Several assumptions have been applied in consideration of the current domestic situation. Based on this result, the economic efficiency of PV with ESS improved. However, the reliance on government subsidies was very high. The alternative way to cover the fluctuation power from renewable energy was reviewed with economical and technical way. In case the natural gas engine applied to PV, the IRR and Levelized Cost of Electricity (LCOE) can be improved without ESS. And if small amount of additional REC, the IRR can be improved up to investment level.