• 응용통계연구
• /
• 제28권6호
• /
• pp.1245-1255
• /
• 2015

본 논문에서는 한국 유가증권시장의 시가총액 상위 8개사 주가 수익률 절대값(absolute return)을 이용하여, 분포의 적합도 검정(goodness of fit test) 및 기업들 간의 독립성 검정(independence test)을 실시하였다. 검정 결과 개별 주가 수익률은 압축된 지수분포(compressed exponential distribution)를 이루는 것으로 나타났다. 이 때 파라미터는 1 < ${\beta}$ < 2 인 경우가 ${\beta}=1$(지수분포), ${\beta}=2$(정규분포)보다 우세한 것으로 확인되었다. 한편 독립성 검정에서는 대부분의 기업들이 관련성을 지니고 있는 것으로 나타났다.

• 한국정보시스템학회지:정보시스템연구
• /
• 제26권3호
• /
• pp.63-90
• /
• 2017

Purpose This study proposes a novel system trading model using case-based reasoning (CBR) based on absolute similarity threshold. The proposed model is designed to optimize the absolute similarity threshold, feature selection, and instance selection of CBR by using genetic algorithm (GA). With these mechanisms, it enables us to yield higher returns from stock market trading. Design/Methodology/Approach The proposed CBR model uses the absolute similarity threshold varying from 0 to 1, which serves as a criterion for selecting appropriate neighbors in the nearest neighbor (NN) algorithm. Since it determines the nearest neighbors on an absolute basis, it fails to select the appropriate neighbors from time to time. In system trading, it is interpreted as the signal of 'hold'. That is, the system trading model proposed in this study makes trading decisions such as 'buy' or 'sell' only if the model produces a clear signal for stock market prediction. Also, in order to improve the prediction accuracy and the rate of return, the proposed model adopts optimal feature selection and instance selection, which are known to be very effective in enhancing the performance of CBR. To validate the usefulness of the proposed model, we applied it to the index trading of KOSPI200 from 2009 to 2016. Findings Experimental results showed that the proposed model with optimal feature or instance selection could yield higher returns compared to the benchmark as well as the various comparison models (including logistic regression, multiple discriminant analysis, artificial neural network, support vector machine, and traditional CBR). In particular, the proposed model with optimal instance selection showed the best rate of return among all the models. This implies that the application of CBR with the absolute similarity threshold as well as the optimal instance selection may be effective in system trading from the perspective of returns.

• 한국군사과학기술학회지
• /
• 제15권3호
• /
• pp.250-256
• /
• 2012

Unmanned ground vehicles may be operated by remote control unit through the wireless communication or autonomously. However, the autonomous technology is still challenging and not perfectly developed. For some reason or other, the wireless communication is not always available. If wireless communication is abruptly disconnected, the UGV will be nothing but a lump of junk. What was worse, the UGV can be captured by enemy. This paper suggests a method, autonomous return technology with which the UGV can autonomously go back to a safer position along the reverse path. The suggested autonomous return technology for UGV is based on multi-correlated information based DB creation and matching. While SUGV moves by remote-control, the multi-correlated information based DB is created with the multi-sensor information; the absolute position of the trajectory is stored in DB if GPS is available and the hybrid MAP based on the fusion of VISION and LADAR is stored with the corresponding relative position if GPS is unavailable. In multi-correlated information based autonomous return, SUGV returns autonomously based on DB; SUGV returns along the trajectory based on GPS-based absolute position if GPS is available. Otherwise, the current position of SUGV is first estimated by the relative position using multi-sensor fusion followed by the matching between the query and DB. Then, the return path is created in MAP and SUGV returns automatically based on the MAP. Experimental results on the pre-built trajectory show the possibility of the successful autonomous return.

• 지식경영연구
• /
• 제22권1호
• /
• pp.21-37
• /
• 2021

본 연구의 목적은 일반적으로 공유되어 있지 않은 Multi Strategy 관련 금융투자 지식을 사례 연구를 통해 탐색하고 이를 국내 헤지 펀드 시장에 공유하는데 있다. 현재 국내에서 본격적인 사모 헤지펀드 시대가 열리면서 많은 펀드들이 만들어지고 있지만 전략의 다양성에 있어 부족한 것이 현실이다(이준서, 2016). 초기 단순한 Equity Long/Short 전략으로 시작되어 메자닌, 대체투자 등 여러 전략들이 활용되고 있지만 Multi Strategy를 활용한 펀드는 제한적인 상황이다. 본 연구에서는 증권사 Prop Trading에서 적극적으로 활용되고 있는 Multi Strategy 기법을 이용해 Absolute Return을 달성하는 과정과 결과에 대한 사례 분석을 바탕으로 헤지펀드 운용전략에 대한 실증적인 활용 방안을 제시하고자 한다. 본 연구의 결과를 통해 헤지펀드 시장에서 Multi Strategy를 활용해 Absolutr Return을 추구하고자 하는 연구자 및 실무에서 운용하는 펀드매니저가 지식을 탐색하고 공유해서 금융 경쟁력 강화를 도모하는데 기여하고자 한다.

• 산업경영시스템학회지
• /
• 제45권4호
• /
• pp.167-173
• /
• 2022

Investors must adopt profitable investment opportunities to maximize their wealth. Almost all investment, finance, engineering economics textbooks explain that net present value (NPV) measures the profitability (or value) of investment opportunities in absolute size, and internal rate of return (IRR) measures the profitability of investment opportunities in relative proportions. However, NPV is a measure of the relative size of the return on investment opportunity to do-nothing alternative. Moreover, IRR can occur in multiple investment opportunities and may not exist. To make matters worse, IRR and NPV also have conflicting problems in accept-or-reject decisions. In this study, the reason why NPV and IRR cannot accurately measure the profitability of investment opportunities is identified, and fundamental characteristics that investment opportunity profitability measures should have are presented.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권9호
• /
• pp.39-49
• /
• 2020

This study empirically examines herd behavior for fast moving consumer goods (FMCG) sector stocks under varied market return conditions and the period during the global financial crisis and its aftermath. We examine the sample of stocks trading on the Nifty FMCG Index of the Indian equity market from January 2008 up to December 2018 using the dispersion measure of cross sectional absolute deviation and examine its relationship with the market return to explore herd phenomenon. Quantile regression estimate is used and the results of the study validate rational asset pricing models as the sector does not display herding. In contrast, anti-herd behavior at lower and median quantile values is observed. A possible reason can be the non-cyclical nature of the industry where investors rely more on the fundamentals rather than crowd chasing. We also findthe absence of herd phenomenon during the market asymmetries of bull and bear phases, extreme movements, the period of the global financial crisis, and afterward. We further examine herding under the impact of the information technology (IT) industry and conclude that significant return movements in IT sector impact dispersions in the FMCG industry. Also, there is a co-varying risk between the two sectors confirming the spillover in an integrated market.

• 유통과학연구
• /
• 제20권9호
• /
• pp.73-81
• /
• 2022

Purpose: This study aimed to examine whether key audit matters (KAMs) readability influences investor reaction. Research design, data, and methodology: The signaling theory was applied to explain the behavior of investors when they receive useful information for their decisions. Data were collected from 1,866 firm-year observations from Thai listed companies in both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (MAI) for the fiscal years of 2016-2019. The study was based on secondary data, which were collected from the SET Market Analysis and Reporting Tool (SETSMART) database and the Stock Exchange of Thailand's website (www.set.or.th). A statistical regression method was used with panel data analysis to evaluate possible associations between KAMs readability and investor reaction. The study relied on popular readability measures (Fog Index). Moreover, investor reaction was measured by absolute cumulative abnormal return and abnormal trading volume. Results: It was found that the KAMs readability has positive significance on both absolute cumulative abnormal return and abnormal trading volume. Conclusion: This study showed a significant contribution to the implication of KAMs in an emerging economy. The results reveal that more readable KAMs disclosure distributed new insights and useful information to investors and led to reducing the information gap between auditors and investors.

• Industrial Engineering and Management Systems
• /
• 제15권1호
• /
• pp.63-76
• /
• 2016

Multiperiod portfolio selection problem attracts more and more attentions because it is in accordance with the practical investment decision-making problem. However, the existing literature on this field is almost undertaken by regarding security returns as random variables in the framework of probability theory. Different from these works, we assume that security returns are uncertain variables which may be given by the experts, and take absolute deviation as a risk measure in the framework of uncertainty theory. In this paper, a new multiperiod mean absolute deviation uncertain portfolio selection models is presented by taking transaction costs, borrowing constraints and threshold constraints into account, which an optimal investment policy can be generated to help investors not only achieve an optimal return, but also have a good risk control. Threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Based on uncertain theories, the model is converted to a dynamic optimization problem. Because of the transaction costs, the model is a dynamic optimization problem with path dependence. To solve the new model in general cases, the forward dynamic programming method is presented. In addition, a numerical example is also presented to illustrate the modeling idea and the effectiveness of the designed algorithm.

• The Journal of Asian Finance, Economics and Business
• /
• 제5권4호
• /
• pp.101-105
• /
• 2018

Price discount is one of the commonly used promotion strategies to increase sales and revenue. If a discount is perceived before the purchase (i.e., pre-purchase discount), consumers are likely to perceive it as a potential gain. If it is noticed after making a regular-priced purchase (i.e., post-purchase discount), consumers may develop negative emotions and attitudes. Based on the rising transparency and omnipresence of price and discount information through web and mobile platforms, we attempt to tackle an understudied topic on the negative effect of post-purchase price discount. Specifically, post-purchase discount information may increase consumers' perception of monetary loss, which may affect consumers' decision to return the product, potentially increasing the operating costs borne by retailers. Based on a close scrutinization of the current market environment and previous academic literature, we suggest a novel conceptual framework to understand consumers' perception, attitude, and behavior (perception of loss, willingness to return) upon perceiving various formats of discount promotion (absolute value vs. percentage discount) posterior to the purchase of a product. We also look at the effect of price level (low-priced vs. high-priced). For marketing practitioners, we intend to suggest optimal promotion formats that can alleviate consumers' negative perceptions and prevent additional operation costs.

• 한국콘텐츠학회논문지
• /
• 제12권9호
• /
• pp.202-210
• /
• 2012

민법은 유언의 자유를 인정하여 피상속인으로 하여금 자기의 재산을 자기의 의사대로 처분할 수 있는 자유를 인정하면서도, 유언자유의 원칙을 무제한적으로 관철할 경우 발생할 수 있는 여러 가지 폐단을 방지하고자 유류분제도를 규정함으로써 피상속인에 의한 재산처분의 절대적 자유를 제한하고 있다. 이처럼 유언자유의 원칙과 법정상속 간에 존재하는 모순을 해결하고자 도입된 제도가 바로 유류분제도이다. 유류분제도가 유언자유의 원칙과 법정상속제도의 절충안이라고 일컬어지고 있는 것도 이러한 이유에서이다. 근래 선고된 대법원 2012. 5. 24 선고 2010다50809 판결은 유류분반환청구권의 행사방법, 유류분권 내지 유류분반환청구권의 양도, 공동상속인이 아닌 제3자에 대한 유류분반환청구권의 행사 등 주요 법적 쟁점들을 망라하고 있다는 점에서, 학리적(學理的)으로 매우 중요한 의미를 갖는다. 이에 본고(本稿)에서는 이 판결을 소재로하여 유류분반환청구권의 행사에 관한 법적 쟁점들을 검토하였다.