• Journal of the Semiconductor & Display Technology
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• v.14 no.4
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• pp.30-37
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• 2015

This research aims to develop Look Ahead position interpolation algorithm for small size CNC machine controlled by PC based controller. Look Ahead scheme can process a bundle of CNC's linear interpolation commands simultaneously, which reduces acceleration and deceleration time within single linear interpolation command. The algorithm is derived as simple analytical form which can be adapted to PC based CNC system by C language programming. The performance of the algorithm was verified by tail stock machining G codes experimentally. The average traverse speed of the CNC machine was increased by 27.5% and the total traverse time also reduced by 27.2% with the Look Ahead scheme.

• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.189-208
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• 2006

In this paper we are concerned with estimation of tail related risk measures for heteroscedastic financial time series and VaR limits that VaR tells us nothing about the potential size of the loss given. So we use GARCH-EVT model describing the tail of the conditional distribution for heteroscedastic financial series and adopt Expected Shortfall to overcome VaR limits. The main results can be summarized as follows. First, the distribution of stock return series is not normal but fat tail and heteroscedastic. When we calculate VaR under normal distribution we can ignore the heavy tails of the innovations or the stochastic nature of the volatility. Second, GARCH-EVT model is vindicated by the very satisfying overall performance in various backtesting experiments. Third, we founded the expected shortfall as an alternative risk measures.

• Korean Journal of Fisheries and Aquatic Sciences
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• v.37 no.6
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• pp.478-484
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• 2004

On 11 June 1991, eggs from the brood stock of small yellow croaker (Larimichthys polyactis) were artificially fertilized using the standard dry method and were hatched. Each of the fertilized eggs (1.1-1.2 mm in diameter) had an oil globule and was transparent and buoyant. The fertilized eggs hatched in a range of water temperatures $(17.5-20.3^{\circ}C)$ 44 hrs after fertilization. The total lengths of the newly hatched larvae were 3.1-3.3 mm, and these hatchlings had 31 myotomes (10+21). Melanophores and yellow-brown chromatophores were concentrated on the head, at the ventral part of the yolk, and in the middle of the tail. Four days after hatching, the larvae completely absorbed the yolk and became flexions of 5.1-5.5 mm in total length. Fifteen days after hatching, one spine (the anterior tip of the maxillary) appeared in the upper jaw and three spines developed at the upper parts of the eyes and on the posterior part of the head. At this stage, the larvae were approximately 8.3 mm long. Thirty-nine days after hatching, juveniles (1.9-3.4 mm in total length) had a pointed tail fin. By 66 days after hatching, the juvenile fish (about 4.0-6.5 mm in total length) were similar to adult fish in body shape. The larvae of L. polyactis could be distinguished from those of L. croacea by two distinct characteristics: the large number of vertebrae (28-29), and a relatively small bony ridge on the occipital region of the head.

• Journal of the Korean Data and Information Science Society
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• v.26 no.6
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• pp.1479-1494
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• 2015

Since the Markowitz's mean-variance framework for portfolio analysis, the topic of portfolio optimization has been an important topic in finance. Traditional approaches focus on maximizing the expected return of the portfolio while minimizing its variance, assuming that risky asset returns are normally distributed. The normality assumption however has widely been criticized as actual stock price distributions exhibit much heavier tails as well as asymmetry. To this extent, in this paper we employ the genetic algorithm to find the optimal portfolio under the Value-at-Risk (VaR) constraint, where the tail of risky assets are modeled with the generalized Pareto distribution (GPD), the standard distribution for exceedances in extreme value theory. An empirical study using Korean stock prices shows that the performance of the proposed method is efficient and better than alternative methods.

• Journal of Korean Society for Quality Management
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• v.51 no.2
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• pp.171-184
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• 2023

Purpose: First, this paper suggests an alternative approach to find optimal portfolio (stocks, bonds and ESG stocks) under the maximizing utility of investors. Second, we include ESG stocks in our optimal portfolio, and compare improvement of welfares in the case with and without ESG stocks in portfolio. Methods: Our main method of analysis follows Brennan et al(2002), designed under the continuous time framework. We assume that the dynamics of stock price follow the Geometric Brownian Motion (GBM) while the short rate have the Vasicek model. For the utility function of investors, we use the Power Utility Function, which commonly used in financial studies. The optimal portfolio and welfares are derived in the partial equilibrium. The parameters are estimated by using Kalman filter and ordinary least square method. Results: During the overall analysis period, the portfolio including ESG, did not show clear welfare improvement. In 2017, it has slightly exceeded this benchmark 1, showing the possibility of improvement, but the ESG stocks we selected have not strongly shown statistically significant welfare improvement results. This paper showed that the factors affecting optimal asset allocation and welfare improvement were different each other. We also found that the proportion of optimal asset allocation was affected by factors such as asset return, volatility, and inverse correlation between stocks and bonds, similar to traditional financial theory. Conclusion: The portfolio with ESG investment did not show significant results in welfare improvement is due to that 1) the KRX ESG Leaders 150 selected in our study is an index based on ESG integrated scores, which are designed to affect stability rather than profitability. And 2) Korea has a short history of ESG investment. During the limited analysis period, the performance of stock-related assets was inferior to bond assets at the time of the interest rate drop.

• Journal of the Korean Society for Precision Engineering
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• v.32 no.8
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• pp.693-698
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• 2015

Recently, the quality of products after the corresponding machining processes were scrutinized in the interest of maintaining a high product-quality standard. The structure and stability of machine tools are important for the prediction of product quality. A structural analysis needs to be carried out to achieve the stable design of machine tools before the initial design stage in the manufacturing process of a precision product. In this study, a structural analysis was carried out using a finite element analysis (FEA) simulation to obtain the design stability of the main parts of a grinding machine. The sizes and locations of both the maximum stress and deformation in consideration of the cutting force of the chuck, tail stock, and bearing of the grinding machine were analyzed. Finally the grinding machine was successfully developed.

• Journal of Korea Technical Association of The Pulp and Paper Industry
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• v.37 no.3
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• pp.1-8
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• 2005

Increase in the utilization rate of recycled paper and closing level of papermaking system increased the problem associated with stickies that include decrease in process runnability and product quality. It is required to establish a process for removing the micro stickies to solve the problems associated with stickies. In this study, the application of flotation process as a method to remove micro stickies was examined. Model micro stickies (MMS) were prepared using microcrystalline cellulose (MCC) and pressure sensitive adhesives (PSA), and the influence of three nonionic surfactants on the removal efficiency of MMS from flotation process was examined. Also the effect of surfactants on the deposition of micro stickies that remaining in the papermaking wet end onto wire was examined. Removal efficiency of MMS by flotation was increased when the proportion of nonionic surfactant with propylene oxide (PO) type hydrophilic tail was increased and stock pH was 7. It was suggested that this nonionic surfactant minimized the increase of surface energy of hydrophobic MMS. The MMS with high hydrophobicity remaining in the papermaking system, however, would cause more serious deposition problems on papermaking wet end. Therefore, it is of great importance to increase the removal efficiency of MMS in flotation process for the prevention of papermaking system contamination caused by stickies deposition.

• Journal of the Korean Data and Information Science Society
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• v.21 no.3
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• pp.419-425
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• 2010

Kernel machine learning is gaining a lot of popularities in analyzing large or high dimensional nonlinear data. We use this technique to estimate a GARCH model for predicting the conditional volatility of stock market returns. GARCH models are usually estimated using maximum likelihood (ML) procedures, assuming that the data are normally distributed. In this paper, we show that GARCH models can be estimated using kernel machine learning and that kernel machine has a higher predicting ability than ML methods and support vector machine, when estimating volatility of financial time series data with fat tail.

• The Journal of the Korea Contents Association
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• v.20 no.11
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• pp.281-291
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• 2020

This study used Gauss-Poisson jump diffusion process on standard assets to estimate the statutory reserves of Variable Annuity (VA) guarantees specified in Korean bylaw of insurance supervision and calculated guarantee fees and risks based on the model to see the effect of considering the jumps. Financial assets, except KOSPI 200, have fat-tailed return distributions, which is an indirect evidence of discontinuous jumps. In the case of a domestic stock index and foreign stock indexes(Korean Won), guarantee fees and risks decrease when jumps are considered in models of underlying assets. This is explained by decreases in standard deviations after the jump diffusion is considered. On the other hand, in the case of domestic bond indexes and a foreign bond index(Korean Won), guarantee fees and risks tend to increase when jumps are considered. Results from a foreign stock index(US Dollar) and a foreign bond index(US Dollar) were opposite to those from the same kinds of Korean Won indexes. We conclude that VA guarantee fees and risks may be under or over estimated when jumps are not considered in models of underlying assets.

• Management & Information Systems Review
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• v.39 no.2
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• pp.17-37
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• 2020

The purpose of this study is to investigate the global spillover effects through the existence of linear and nonlinear causal relationships between the US, European and BRIC financial markets after the period from the introduction of the Euro, the financial crisis and the subsequent EU debt crisis in 2007~2010. Although the global spillover effects of the financial crisis are well described, the nature of the volatility effects and the spread mechanisms between the US, Europe and BRIC stock markets have not been systematically examined. A stepwise filtering methodology was introduced to investigate the dynamic linear and nonlinear causality, which included a vector autoregressive regression model and a multivariate GARCH model. The sample in this paper includes the post-Euro period, and also includes the financial crisis and the Eurozone financial and sovereign crisis. The empirical results can have many implications for the efficiency of the BRIC stock market. These results not only affect the predictability of this market, but can also be useful in future research to quantify the process of financial integration in the market. The interdependence between the United States, Europe and the BRIC can reveal significant implications for financial market regulation, hedging and trading strategies. And the findings show that the BRIC has been integrated internationally since the sub-prime and financial crisis erupted in the United States, and the spillover effects have become more specific and remarkable. Furthermore, there is no consistent evidence supporting the decoupling phenomenon. Some nonlinear causality persists even after filtering during the investigation period. Although the tail distribution dependence and higher moments may be significant factors for the remaining interdependencies, this can be largely explained by the simple volatility spillover effects in nonlinear causality.