• The Korean Journal of Applied Statistics
• /
• v.29 no.1
• /
• pp.85-98
• /
• 2016

This study makes an empirical comparison of various realized volatilities (RVs) in terms of overnight returns. In financial asset markets, during overnight or holidays, no or few trading data are available causing a difficulty in computing RVs for a whole span of a day. A review will be made on several RVs reflecting overnight return variations. The comparison is made for forecast accuracies of several RVs for some financial assets: the US S&P500 index, the US NASDAQ index, the KOSPI (Korean Stock Price Index), and the foreign exchange rate of the Korea won relative to the US dollar. The RV of a day is compared with the square of the next day log-return, which is a proxy for the integrated volatility of the day. The comparison is made by investigating the Mean Absolute Error (MAE) and the Root Mean Square Error (RMSE). Statistical inference of MAE and RMSE is made by applying the model confidence set (MCS) approach and the Diebold-Mariano test. For the three index data, a specific RV emerges as the best one, which addresses overnight return variations by inflating daytime RV.

• The KIPS Transactions:PartD
• /
• v.9D no.4
• /
• pp.555-560
• /
• 2002

Subsequence matching, which consists of index searching and post-processing steps, is an operation that finds those subsequences whose changing patterns are similar to that of a given query sequence from a time-series database. This paper discusses optimization of post-processing for subsequence matching. The common problem occurred in post-processing of previous methods is to compare the candidate subsequence with the query sequence for discarding false alarms whenever each candidate subsequence appears during index searching. This makes a sequence containing candidate subsequences to be accessed multiple times from disk, and also have a candidate subsequence to be compared with the query sequence multiple times. These redundancies cause the performance of subsequence matching to degrade seriously. In this paper, we propose a new optimal method for resolving the problem. The proposed method stores ail the candidate subsequences returned by index searching into a binary search tree, and performs post-processing in a batch fashion after finishing the index searching. By this method, we are able to completely eliminate the redundancies mentioned above. For verifying the performance improvement effect of the proposed method, we perform extensive experiments using a real-life stock data set. The results reveal that the proposed method achieves 55 times to 156 times speedup over the previous methods.

• Economic and Environmental Geology
• /
• v.19 no.spc
• /
• pp.175-191
• /
• 1986

The Geodo granodiorite intruded into the Joseon Supergroup is fine-grained at the marginal part, and medium-grained and more leucocratic at the central part. The Quartz monzonite porphyry intruded inte Precambrian granite and Geodo granodiorite has abundant plagioclase phenocryst. The Imog granite intruded into the Yulri Group and the Joseon Supergroup is mediumgrained biotite granite with partly pinkish feldspar phenocryst. The K/Ar ages obtained from the biotite of the Geodo granodiorite and Imog granite are Early ($111{\pm}1{\sim}107{\pm}1$ Ma) and Late ($93{\pm}1{\sim}92{\pm}1$ Ma) Cretaceous, respectively. The K/Ar sericite age of the quartz-sericite zone of the lower Jangsan quartzite occuring in the western area gave much younger age (about 170 Ma) than that of the Jangsan quartzite, that might be reset due to the regional metamorphism of the Daebo orogeny. The granitic rocks of the area are felsic to mafic, metaluminous to peraluminous, calc-alkalic (alkali-lime index${\fallingdotseq}$ 57) and I-type (magnetite-series) based on the chemical data_ And they appear to have been fractionated at the order of Geodo granodiorite, Quartz monzonite porphyry and Imog granite. In terms of mineralogy, geochemistry and K/Ar biotite age, a rock suite of monzodiorite, quartz monzodiorite and quartz monzonite-granodiorite in the Geodo stock was fractionally differentiated from a magmatic body from its margin to inward.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.12
• /
• pp.1185-1194
• /
• 2020

This study aims to test Voluntary Disclosure, Quality of Financial Reporting and Information Asymmetry as Moderation Variables. The Voluntary Disclosure variable is calculated using the Index Disclosure. This research uses quantitative methods and uses partial least square with EViews data analysis. The research sample consisted of 225 manufacturing companies listed on the Indonesian stock exchange for the period 2016-2018. The results of the study state that voluntary disclosure has a positive and significant effect on the quality of financial reporting through asymmetric information. The relationship between voluntary disclosure and asymmetric information has a negative effect on the quality of financial reporting, states that the disclosure of voluntary reports to companies can prevent information asymmetry, as well as the relationship of voluntary disclosure to information asymmetry states that companies that make voluntary disclosure will increase the interest of investors and other stakeholders. The quality of financial reporting states that if there is information asymmetry, the quality of financial reporting will also decline. The low value of relevance will affect the level of large or small information gaps between management and investors. The quality of financial reporting with increased relevance means that asymmetric information will have a negative impact on financial reporting.

• Journal of Korea Society of Digital Industry and Information Management
• /
• v.6 no.3
• /
• pp.211-219
• /
• 2010

This paper designs the dynamic symbol automatic trading system in Korean option market. This system is based on Multichart program which is convenient and efficient system trading tool. But the Multichart has an important restriction which has only one constant symbol per chart. This restriction causes very useful strategies impossible. The proposed design uses global variables, signal chart selection and position order exchange. So an automatic trading system with dynamic symbol works on Multichart program. To verify the proposed system, BS(Buythensell)-SB(Sellthenbuy) strategies are tested which uses the change of open-interest of stock index futures within a day. These strategies buy both call and put option in ATM at start candle and liquidate all at 12 o'clock and then sell both call and put option in ATM at 12 o'clock and also liquidate all at 14:40. From 23 March 2009 to 31 May 2010, 301-trading days, is adopted for experiment. As a result, the average daily profit rate of this simple strategies riches 1.09%. This profit rate is up to eight times of commision price which is 0.15 % per option trade. If the method which raises the profitable rate of wining trade or lower commission than 0.15% is found, these strategies make fascinated lossless trading system which is based on the proposed dynamic symbol automatic trading system.

• The Journal of Information Technology
• /
• v.1 no.2
• /
• pp.181-193
• /
• 1998

The measure of public information flow developed here is the number of order frequency. In the first part of the analysis, I document the general pattern of public information, with an emphasis on the intraday arrival of information. Overall, I find that public information arrival is nonconstant Consistent with earlier studies, I find that information arrival exhibits an inverted U-shape pattern across intraday trading. Over the average trading day, the flow of public information increases throughout the morning hours and then falls over the period, between 3:00 P.M. and 3:05. The second part of my analysis focuse is the relation between the public information variable and measure of intraday order frequency, specifically insignificant effect. According to time flow in the intraday trading, although the number of insignificant effect is increasing moderately, the result is remarkable in light of the aggreate nature of the public information and order frequency variable employed. The foreigner's investor group changes homogenously.

• Proceedings of the Korean Society of Agricultural Engineers Conference
• /
• 2002.10a
• /
• pp.425-428
• /
• 2002

This study has been carried out to analized of long term changes of water quality with regard to main pollutant sources in agricultural reservoirs on the basis of data during 1996-2001. The major source was domestic wastewater(DWW) and water pollution by non-point sources(NPS) is increasing as time goes. It was determined that Seasonly average values of DWW were pH $7.6{\sim}8.7$, COD $7.0{\sim}9.4$, T-N $0.74{\sim}2.07$, T-P $0.05{\sim}0.62$, Live-stock wastewater(LWW) were pH $7.5{\sim}8.9$, COD $5.5{\sim}9.8$, T-N $0.57{\sim}1.91$, T-P $0.04{\sim}0.13$, NPS were pH $7.1{\sim}8.3$, COD $3.1{\sim}5.2$, T-N $0.29{\sim}1.44$, T-P $0.02{\sim}0.07$. Fluctuation of DWW and LWW were very wide and variable long term patterns of them were similar. Trophic states by Carlson Index of DWW and LWW was classified as eutrophic to hypretrophic from chl-a, T-P concentration.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.3
• /
• pp.41-51
• /
• 2020

A series of corporate failures and financial crises have raised attention to organizational governance issues, especially for financial institutions. In the banking system, corporate governance further plays a unique role because of the uniqueness of the banking organizations. Therefore, this study aims to examine the effect of corporate governance disclosure on bank performance by building a corporate governance disclosure index (CGDI) for 10 Islamic banks operating in Iran, Saudi Arabia and Malaysia. The data used in this study are secondary data taken from annual reports and sourced from the official websites of each banks include Iran Exchange, Stock Market Quotes and Financial News, and Bursa Malaysia. This study uses content analysis of the annual bank report within five years (2014-2018). The results show that Islamic banks comply with 72.4% of the attributes discussed in the CGDI. The most frequently reported and disclosed elements are board structure and audit committee. The regression results provide evidence that Islamic banks with a higher level of corporate governance disclosure reported high operating performance measured by ROA. In contrast to the expectation, the financial performance of ROE and Tobins'q are not significantly related to the disclosure of sharia bank governance.

• Korean Journal of Fisheries and Aquatic Sciences
• /
• v.48 no.5
• /
• pp.760-767
• /
• 2015

First annulus formation and age determination of otoliths were examined for chub mackerel Scomber japonicus collected in Korean waters over the one year from January to December in 2009. Translucent zone was regarded as an annual mark. Age interpretation criteria was based on the data of the number of translucent zone, capture date, and edge type of the otolith, assuming the nominal birthday to be 1 January. Monthly changes in mean marginal index indicated that translucent zone was formed once a year, mainly in June. The otolith of 0-ring group was detected comparing the progression by month of the smaller fish length, appearing to be a single first opaque zone. The average distance from the core to the first translucent zone was ~1.77 mm, provided as supplementary information to increase ageing accuracy. The ageing criteria for chub mackerel was made to determine correct year-class with the purpose of effective stock assessment. This method using nominal birthdate and edge type analysis could estimate age of fish closer to the true age than purely counting the number of translucent zone on a whole otolith.

• Journal of Information Technology Applications and Management
• /
• v.21 no.1
• /
• pp.177-184
• /
• 2014

This research analyzes the effects of factors on the demands for outbound to the countries such as Japan, China, the United States of America, Thailand, Philippines, Hong Kong, Singapore and Australia, the countries preferred by many Koreans. The factors for this research are (1) economic variables such as Korea Composite Stock Price Index (KOSPI), which could have influences on outbound tourism and exchange rate and (2) unpredictable events such as diseases, financial crisis and terrors. Regression analysis was used to identify relationship based on the monthly data from January 2001 to December 2010. The results of the analysis show that both exchange rate and KOSPI have impacts on the demands for outbound travel. In the case of travels to the United States of America and Philippines, Korean tourists usually have particular purposes such as studying, visiting relatives, playing golf or honeymoon, thus they are less influenced by the exchange rate. Moreover, Korean tourists tend not to visit particular locations for some time when shock reaction happens. As the demands for outbound travels are different from country to country accompanied by economic variables and shock variables, differentiated measure to should be considered to come close to the target numbers of tourists by switching as well as creating the demands. For further study we plan to build outbound tourism forecasting models using Artificial Neural Networks.