• Journal of Distribution Science
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• v.13 no.5
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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 Society for Marine Environment & Energy
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• v.14 no.2
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• pp.138-145
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• 2011

In this paper time series wave data are simulated by the Monte Calo method using random numbers to generate random phases of the wave signal. The simulated wave signasl are used to study the characteristics of freak waves. Various sea states are represented by combinations of the significant wave height $H_s$ defined in the spectrum method and the significant wave steepness $S_s$. For a fixed value of $S_s$, the probability of the occurrence of the freak wave is decreased as $H_s$ increases. For a fixed value of $H_s$ the probability of the occurrence of the freak wave increases as $S_s$ increases. The average value of the maximum wave height increase as $S_s$ increases, but the average height of freak wave remains the same and the value approaches two times of $H_s$. For the fixed value of $S_s$, average kurtosis of wave elevation increases as $H_s$ increases, but for a fixed $H_s$, the average kurtosis decreases as $S_s$ increases. The average of abnormality index(AI) is around 2.11 irregardless of $H_s$ and $S_s$. The maximum value of AI lies between 2.5 - 3.0. Therefore it is conjectured that AI maximum due to linear focusing is 3.0.

• Korean Journal of Remote Sensing
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• v.31 no.2
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• pp.77-83
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• 2015

Leaf water content is one of important indicators that shows states of vegetation. It is important to monitor vegetation water content using remote sensing for forest management. In this study, we investigated the degree of water stress in Korean peninsula with Normalized Difference Water Index (NDWI) to study the water content of vegetation canopy. We calculated the NDWI using SPOT/VEGETATION S10 channel data over forest from 1999 to 2013. We calculated Simple Moving Average (SMA) to remove temporal noises of NDWI in time series, and used standardized anomaly to investigate temporal changes. We classified the NDWI anomalies into three scales (low, moderate, and high) in order to monitor intuitively. We also investigated suitability of the NDWI as an evaluation criterion about water stress of vegetation canopy by comparing and verifying forest fires damaged area over 150 ha. Consequently, huge forest fire occurred 24 times during the study period. Also, negative anomalies appeared in every forest fire location and their neighboring areas. In particular, we found huge forest fires where NDWI anomalies were in 'high' scale.

• Journal of Korean Society of Transportation
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• v.35 no.6
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• pp.511-524
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• 2017

This study aims to evaluate the availability of ABM (Active-Based Model), FEATHERS, as a policy evaluation tool. To achieve the goal, scenario analysis on flexible working policy was conducted to measure its impact on activity-travel behavior. As a consequence, there seems no significant change in worker's daily life, other than mitigating traffic congestion due to decreasing commuting travel in the rush hour. The result of VKT (vehicle kilometers traveled) shows an opposite pattern according to given household/individual constraints. The scenario analysis on telecommuting indicates a decreasing trend in both travel frequency and distance because of the diminished number of commuting trips. As the activity space of telecommuters is shifted to a residential area, there are more short-distance trips by using non-motorized transport, which leads to decrease in VKT (using a private vehicle). Thus, the sensitivity of VKT by population groups varies due to transport mode shift (between personal and another mode) and growing non-work trips (using a private mode). This study found few things. First, it is necessary to evaluate the details of policy impact by population groups since it can be varied depending on household/individual characteristics. Second, the case study shows a promising performance of ABM as policy measurement that provides reality in policy evaluation. Third, ABM allows us to do more accurate analysis (i.e. time-series analysis by population groups) of policy assessment than those of FSM (Four-Step Model). Lastly, a further effort in data collection, literature review, and expert survey should be made to enhance the accuracy and confidence of future research.

• Journal of Society of Preventive Korean Medicine
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• v.21 no.2
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• pp.1-13
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• 2017

Objectives : This paper serves to explore current trends of systems biology in Traditional Chinese Medicine (TCM) and examine how it may influence the Traditional Korean medicine. Methods : Literature review method was collectively used to classify Introduction to systems biology, diagnosis and syndrome classification of systems biology in TCM perspective, physiotherapy including acupuncture, herbs and formula functions, TCM systems biology, and directions of academic development. Results : The term 'Systems biology' is coined as a combination of systems science and biology. It is a field of study that tries to understand living organism by establishing a theory based on an ideal model that analyzes and predicts the desired output with understanding of interrelationships and dynamics between variables. Systems biology has an integrated and multi-dimensional nature that observes the interaction among the elements constructing the network. The current state of systems biology in TCM is categorized into 4 parts: diagnosis and syndrome, physical therapy, herbs and formulas and academic development of TCM systems biology and its technology. Diagnosis and syndrome field is focusing on developing TCM into personalized medicine by clarifying Kidney yin deficiency patterns and metabolic differences among five patterns of diabetes and analyzing plasma metabolism and biomarkers of coronary heart disease patients. In the field of physical therapy such as acupuncture and moxibustion, researchers discovered the effect of stimulating acupoint ST40 on gene expression and the effects of acupuncture on treating functional dyspepsia and acute ischemic stroke. Herbs and formulas were analyzed with TCM network pharmacology. The therapeutic mechanisms of Si Wu Tang and its series formulas are explained by identifying potential active substances, targets and mechanism of action, including metabolic pathways of amino acid and fatty acid. For the academic development of TCM systems biology and its technology, it is necessary to integrate massive database, integrate pharmacokinetics and pharmacodynamics, as well as systems biology. It is also essential to establish a platform to maximize herbal treatment through accumulation of research data and diseases-specific, or drug-specific network combined with clinical experiences, and identify functions and roles of molecules in herbs and conduct animal-based studies within TCM frame. So far, few literature reviews exist for systems biology in traditional Korean medicine and they merely re-examine known efficacies of simple substances, herbs and formulas. For the future, it is necessary to identify specific mechanisms of working agents and targets to maximize the effects of traditional medicine modalities. Conclusions : Systems biology is widely accepted and studied in TCM and already advanced into a field known as 'TCM systems biology', which calls for the study of incorporating TCM and systems biology. It is time for traditional Korean medicine to acknowledge the importance of systems biology and present scientific basis of traditional medicine and establish the principles of diagnosis, prevention and treatment of diseases. By doing so, traditional Korean medicine would be innovated and further developed into a personalized medicine.

• Proceedings of the Korean Society of Toxicology Conference
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• 2006.11a
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• pp.65-74
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• 2006

Modem drug discovery requires rapid pharmacokinetic evaluation of chemically diverse compounds for early candidate selection. This demands the development of analytical methods that offer high-throughput of samples. Naturally, liquid chromatography / tandem mass spectrometry (LC-MS/MS) is choice of the analytical method because of its superior sensitivity and selectivity. As a result of the short analysis time(typically 3-5min) by LC-MS/MS, sample preparation has become the rate- determining step in the whole analytical cycle. Consequently tremendous efforts are being made to speed up and automate this step. In a typical automated 96-well SPE(solid-phase extraction) procedure, plasma samples are transferred to the 96-well SPE plate, internal standard and aqueous buffer solutions are added and then vacuum is applied using the robotic liquid handling system. It takes only 20-90 min to process 96 samples by automated SPE and the analyst is physically occupied for only approximately 10 min. Recently, the ultra-high flow rate liquid chromatography (turbulent-flow chromatography)has sparked a huge interest for rapid and direct quantitation of drugs in plasma. There is no sample preparation except for sample aliquotting, internal standard addition and centrifugation. This type of analysis is achieved by using a small diameter column with a large particle size(30-5O ${\mu}$m) and a high flow rate, typically between 3-5 ml/min. Silica-based monolithic HPLC columns contain a novel chromatographic support in which the traditional particulate packing has been replaced with a single, continuous network (monolith) of pcrous silica. The main advantage of such a network is decreased backpressure due to macropores (2 ${\mu}$m) throughout the network. This allows high flow rates, and hence fast analyses that are unattainable with traditional particulate columns. The reduction of particle diameter in HPLC results in increased column efficiency. use of small particles (<2 urn), however, requires p.essu.es beyond the traditional 6,000 psi of conventional pumping devices. Instrumental development in recent years has resulted in pumping devices capable of handling the requirements of columns packed with small particles. The staggered parallel HPLC system consists of four fully independent binary HPLC pumps, a modified auto sampler, and a series of switching and selector valves all controlled by a single computer program. The system improves sample throughput without sacrificing chromatographic separation or data quality. Sample throughput can be increased nearly four-fold without requiring significant changes in current analytical procedures. The process of Bioanalytical Method Validation is required by the FDA to assess and verify the performance of a chronlatographic method prior to its application in sample analysis. The validation should address the selectivity, linearity, accuracy, precision and stability of the method. This presentation will provide all overview of the work required to accomplish a full validation and show how a chromatographic method is suitable for toxirokinetic sample analysis. A liquid chromatography/tandem mass spectrometry (LC-MS/MS) method developed to quantitate drug levels in dog plasma will be used as an example of tile process.

• Journal of Korea Water Resources Association
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• v.47 no.3
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• pp.297-306
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• 2014

In this study, EFDC (Environmental Fluid Dynamics Code) model was used to simulate the salinity distribution for sea water inflow and rainfall runoff. The flowrate was given to the boundary conditions, which can be calculated by areal-specific flowrate method from the measured flowrate of the representative outfall. The boundary condition of the water elevation can be obtained from the hourly tidal elevation. The flowrate from the outfall can be calculated using the condition of the 245 mm raifall. The simulation results showed that at Sites 1~2 and the Mangsan island (Site 4) the salinity becomes 0 ppt after the rainfall. However, the salinity is 30 ppt when there is no rainfall. Time series of the salinity changes were compared with the measured data from January 1 to December 31, 2010 at the four sites (Site 2~5) of Yongwon channel. Lower salinities are shown at the inner sites of Yongwon channel (Site 1~4) and the sites of Songjeong river (Site 7~8). The intensive investigation near the Mangsan island showed that the changes of salinity were 21.9~28.8 ppt after the rainfall of 17 mm and those of the salinity were 2.33~8.05 ppt after the cumulative rainfall of 160.5 mm. This means that the sea water circulation is blocked in Yongwon channel, and the salinity becomes lower rapidly after the heavy rain.

• Korean Journal of Agricultural and Forest Meteorology
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• v.9 no.4
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• pp.217-227
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• 2007

The western cherry fruit fly, Rhagoletis indifferens Curran (Diptera:Tephritidae), is the most important pest of cultivated cherries in the Pacific Northwest area of the United States, being widely distributed throughout Oregon, Washington, Montana, Utah, Idaho, Colorado and parts of Nevada. The control of R. indifferens has been based on calendar sprays after its first emergence because of their zero tolerance for quarantine. Therefore, a good prediction model is needed for the spray timing. This study was conducted to obtain the empirical population dynamic information of R. indifferens after overwintering in the major cherry growing area of the Pacific Northwest of the United States, where the information is critically needed to develop and validate the prediction model of the fruit fly. Adult fly populations were monitored by using yellow sticky and emergence traps. Larvae growth and density in fruits were observed by fruit sampling and the pupal growth and density were monitored by pupal collection traps. The first adult was emerged around mid May and a large number of adults were caught in early June. A fruit had more than one larva from mid June to early July. A large number of pupae were caught in early July. The pupae were collected in various period of time to determine the effect of pupation timing and the soil moisture content during the winter. A series of population density data collected in each of the developmental stage were analyzed and organized to provide more reliable validation information for the population dynamic models.

• Journal of Korea Port Economic Association
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• v.26 no.1
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• pp.222-233
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• 2010

This paper aims at predicting the BDI from Jan. to Dec. 2010 using such econometric techniues of the univariate time series as stochastic ARIMA-type models and Hodrick-Prescott filtering technique. The multivariate cause-effect econometric model is not employed for not assuring a higher degree of forecasting accuracy than the univariate variable model. Such a cause-effect econometric model also fails in adjusting itself for the post-sample. This article introduces the two ARIMA models and five Intervention-ARIMA models. The monthly data cover the period January 2000 through December 2009. The out-of-sample forecasting performance is compared between the ARIMA-type models and the random walk model. Forecasting performance is measured by three summary statistics: root mean squared error (RMSE), mean absolute error (MAE) and mean error (ME). The RMSE and MAE indicate that the ARIMA-type models outperform the random walk model And the mean errors for all models are small in magnitude relative to the MAE's, indicating that all models don't have a tendency of overpredicting or underpredicting systematically in forecasting. The pessimistic ex-ante forecasts are expected to be 2,820 at the end of 2010 compared with the optimistic forecasts of 4,230.

• Journal of Korean Society for Geospatial Information Science
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• v.23 no.2
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• pp.3-9
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• 2015

Since changes in land use in urban space cause traffic volume and it is closely related to traffic accidents. Therefore, an analysis on the causes of traffic accidents is judged to be an essential factor to establish the measure to reduce traffic accidents. In this regard, the analysis was conducted on the clustering by using the nearest neighbor indexes with regard to the occurrence frequencies of commercial and residential zone based on traffic accident data of the past five years (2009-2013) with the target of local small-medium sized city, Jinju-si. The analysis results, obtained in this study, are as follows: the occurrence frequency of traffic accidents was the highest in spring and the lowest in winter respectively. The clustering of traffic accident occurrence at nighttime was stronger than at daytime. In addition, terms of the analysis on the clustering of traffic accident according to land use, changes according to the seasons was not significant in commercial areas, while clustering density in winter tended to become significantly lower in residential areas. The analysis results of traffic accident types showed that the side-right angle collision of cars was the highest in frequency occurrence, and widespread in both commercial areas and residential areas. These results can provide us with important information to identify the occurrence pattern of traffic accidents in the structure of urban space, and it is expected that they will be appropriately utilized to establish measures to reduce traffic accidents.