• 아태비즈니스연구
• /
• 제11권4호
• /
• pp.255-269
• /
• 2020

Purpose - This paper analyzes the market efficiency focusing on the long memory properties of the domestic futures market. By decomposing futures prices into yield and volatility and looking at the long memory properties of the time series, this study aims to understand the futures market pricing and change behavior and risks, specifically and in detail. Design/methodology/approach - This study analyzes KOSPI 200 futures, KOSDAQ 150 futures, 3 and 10-year government bond futures, US dollar futures, yen futures, and euro futures, which are among the most actively traded on the Korea Exchange. To analyze the long memory and market efficiency, we used the Variance Ratio, Rescaled-Range(R/S), Geweke and Porter-Hudak(GPH) tests as semi- parametric methods, and ARFIMA-FIGARCH model as the parametric method. Findings - It was found that all seven futures supported the efficiency market hypothesis because the property of long memory turned out not to exist in their yield curves. On the other hand, in futures volatility, all 7 futures showed long memory properties in the analysis, which means that if new information is generated in the domestic futures market and the market volatility once expanded due to the impact, it does not decrease or shrink for a long period of time, but continues to affect the volatility. Research implications or Originality - The results of this paper suggest that it can be useful information for predicting changes and risks of volatility in the domestic futures market. In particular, it was found that the long memory properties would be further strengthened in the currency futures and bond rate futures markets after the global financial crisis if the regime changes of the domestic financial market are taken into account in the analysis.

• 수산경영론집
• /
• 제41권1호
• /
• pp.73-91
• /
• 2010

The objective of this study is to examine the hedging effectiveness of shrimp futures market. Hedging effectiveness is measured by OLS model based on rolling windows. Analysis data are obtained from Kansai Commodities Exchange in Osaka and are weekly data of frozen shrimp futures and cash prices in the time period from July 9, 2003, to May 9, 2007. The empirical results are summarized as follows:First, the correlation coefficients between the nearby futures price changes and the cash(16/20) price changes are very low and have range from 0.141 to 0.208 values. Second, the minimum variance hedge ratios($\hat{\beta}$) are all statistically different from 0 at the 5% level and range from 0.0477 to 0.5039 values excluding Indian shrimps(26/30). Ex post hedging effectiveness, as measured by the coefficient of determination, $R^2$, is relatively very low and range from a low of 0.4% for west-south Indian shrimps(26/30) to a high 4.3% for Vietnamese shrimps(16/20). Third, ex ante hedging effectiveness, as measured by out-of-sample hedging period, is also very low and range from a low of -4.4% for west-south Indian shrimps(21/25) to a high of 3.4% for Vietnamese shrimps(16/20). This indicates that the shrimp futures market doesn't behave as risk management instrument of shrimp spot.

• Journal of Korea Trade
• /
• 제27권5호
• /
• pp.167-198
• /
• 2023

Purpose - This paper aims to compare and analyze the co-movements and information spillover effects between the international commodity futures markets and the South Korean stock markets during the COVID-19 and the 2008 financial crises. Design/methodology - The DCC-GARCH model is used in the co-movements analysis. In contrast, the BEKK-GARCH model is used to evaluate information spillover effects. The statistical data used is from January 1, 2005, to December 31, 2022. It comprises the Korea Composite Stock Price Index data and daily international commodity futures prices of natural gas, West Texas Intermediate crude oil, gold, silver, copper, nickel, soybean, and wheat. Findings - The results of the co-movement analysis were as follows: First, it was shown that the co-movements between the international commodity futures markets and the South Korean stock markets were temporarily strengthened when the COVID-19 and 2008 financial crises occurred. Second, the South Korean stock markets were shown to have high correlations with the copper, nickel, and crude oil futures markets. The results of the information spillover effects analysis are as follows: First, before the 2008 financial crisis, four commodity futures markets (natural gas, gold, copper, and wheat) were shown to be in two-way leading relationships with the South Korean stock markets. In contrast, seven commodity futures markets, except for the natural gas futures market, were shown to be in two-way leading relationships with the South Korean stock markets after the financial crisis. Second, before the COVID-19 crisis, most international commodity futures markets, excluding natural gas and crude oil future markets, were shown to have led the South Korean stock markets in one direction. Third, it was revealed that after the COVID-19 crisis, the connections between the South Korean stock markets and the international commodity futures markets, except for natural gas, crude oil, and gold, were completely severed. Originality/value - Useful information for portfolio strategy establishment can be provided to investors through the results of this study. In addition, it is judged that financial policy authorities can utilize the results as data for efficient regulation of the financial market and policy establishment.

• 한국디자인학회:학술대회논문집
• /
• 한국디자인학회 2001년도 Bulletin of The 5th Asian Design Conference International Symposium on Design Science
• /
• pp.21.2-21
• /
• 2001

• 한국정보통신학회:학술대회논문집
• /
• 한국정보통신학회 2021년도 추계학술대회
• /
• pp.584-585
• /
• 2021

태양광, 풍력 등 신재생 에너지 생산이 다양해지면서 생산과 소비를 동시에 할 수 있는 마이크로그리드 시스템이 소개되었지만 국내에서는 아직까지 자동화된 전력거래 기술 도입이 필요하고 생산 및 중계인의 보호할 장치가 필요하다. 일반적으로 여름에는 태양광을 통한 전력 가격 하락이 예상되어 생산자 보호가 필요하다. 본 논문에서는 마이크로그리드 환경에서 블록체인(Blockchain)을 활용한 사용자 간 투명하고 안전한 선물 전력거래 시스템을 제안한다. 선물이란 간단히 말해서 고정된 가격과 미리 정해진 선물 가격에 구매자가 전력을 사는 의무를 가지거나 판매자가 전력을 팔아야 하는 의무를 갖게 되는 계약이다. 본 시스템은 블록체인 네트워크 내에서 신뢰할 수 있는 실행코드인 스마트 컨트랙트(Smart Contract)를 이용하여 사용자의 개입 없이 자동화된 동작으로 선물 가격을 검색하고 전력 거래를 체결하는 선물 거래 알고리즘을 제안한다. 만일 전력 생산자가 생산계획 시에 최대 생산 시기(하지)의 가격이 하락할 가능성이 있다고 생각이 되면 선물시장에서 선물을 먼저 팔아 놓고 최대 생산 시기(하지)에 선물을 되사서 이익을 내어 현물시장에서의 손실을 보전할 수 있다. 또 중계업자는 판매계약 체결 시에 전력 가격이 상승될 우려가 있으면 선물시장에서 먼저 선물을 매입하고 판매계약 이행 시 선물을 청산하여 이익을 실현시켜 현물시장에서의 손실을 보전할 수 있게 된다.

• 유통과학연구
• /
• 제15권11호
• /
• pp.73-82
• /
• 2017

Purpose - This paper aims to investigate a profit maximizing incentive of foreign traders in distributing the KOSPI 200 Futures. Such an incentive may induce unsophisticated retail traders to suffer loss from speculative trading. Since Korean government increased the entry barriers of the market to protect unsophisticated traders, the market size has been decreasing while the proportion of the contract held by foreign traders has been increasing. These on going changes make the market imperfectly competitive, where a profit maximization incentives of foreign traders are expected to grow. In this paper, we attempt to find any evidence of such behavior, thereby providing implications regarding market policy and market efficiency. Research design, data, and methodology - According to Kyle(1985), an informed trader exploits his/her monopoly power optimally in a dynamic context so that he/she makes positive profit, where he/she could conceal his/her trading utilizing noise trading as camouflage. We apply the KOSPI 200 Futures market to the Kyle's model: foreign traders who take into account the effect of his/her trading to maximize expected profits as an informed trader, retail investors as noise traders, and financial institutions as market makers. To find any evidence of monopolistic behavior, we test the variants of trading volume and price data of the KOSPI 200 Futures over the period of 2009 and 2017. Results - First, we find that the price of the KOSPI 200 Futures are more volatile than the price of underlying asset. Second, we find that monopolistic foreign trader's trading order flows are consistent with exploiting his/her monopoly power to maximize profit. Finally, we find that retail investors' trading order flows are inversely consistent with maximizing profit, that is, uninformed retail investors suffer loss continuously in speculative trading against informed traders. Conclusions - Our results show that the quantity of strategic order flows may have a large effect on the price, therefore, resulting the market inefficiency. The results also imply that, in implementing regulations, the depth of the market must be considered to maintain market liquidity, and suggesting interesting research topics regarding the market structure.

• 국제학술발표논문집
• /
• The 10th International Conference on Construction Engineering and Project Management
• /
• pp.1160-1167
• /
• 2024

Achieving sustainable futures requires the construction industry to employ digitalization processes, appropriate procurement methods and innovative technologies. However, sustainable technologies in the built environment are often ignored and under-used by clients and users of buildings and facilities, meaning the benefits of sustainable technologies can be missed. This paper provides reflections of one such technology as experienced by the author: a digital toilet installed in a hotel. Through an autoethnographic approach, the paper mobilises socio-technical systems thinking to examine and analyze the digital technology in-situ to identify factors leading to a negative experience from the authors' perspective. The socio-technical systems analysis identifies several issues to explain its' non-functioning status: these revolving around people; goals; culture; technology; processes/procedures and buildings/infrastructure. The analysis provides a framework for both retrospective review and upgrading of existing technologies and an assistive tool to assist in the planning, design and installation of new sustainable technologies in the future. A discussion explores the issues further in respect to construction project industries and their role in addressing the issues identified. It is contended that achieving sustainable futures requires both predictive analysis of new technologies in the built environment and retrospective review and adaptation of technologies already in our built environment.

• 산업경영시스템학회지
• /
• 제36권4호
• /
• pp.123-129
• /
• 2013

The aim of this study is to design an intelligent pattern-based real-time trading system (PRTS) using rough set analysis of technical indicators, dynamic time warping (DTW), and genetic algorithm in stock futures market. Rough set is well known as a data-mining tool for extracting trading rules from huge data sets such as real-time data sets, and a technical indicator is used for the construction of the data sets. To measure similarity of patterns, DTW is used over a given period. Through an empirical study, we identify the ideal performances that were profitable in various market conditions.

• 한국콘텐츠학회논문지
• /
• 제21권1호
• /
• pp.129-138
• /
• 2021

본 연구는 사용자 중심 디자인 과정을 디자인 픽션 방법에 적용하여 사용자 친화적인 디자인픽션 방법론을 제안한 연구이다. 디자인 픽션은 미래에 대한 비평적 담론 위에 구상한 예측 시나리오를 디자인의 관점에서 물리적으로 구현하는 방법이다. 이러한 디자인 픽션은 HCI와 인터랙션 디자인 분야에서 미학적 혹은 실험적 접근으로써 많은 관심을 받고 있는 방법이지만 아직 학계에서 완전히 정립되지 않은 생소한 디자인 방법론이다. 특히, 사용자와의 접점을 모색하며 당면 문제를 해결하는 사용자 중심의 관점에서는 다루어지지 않고 있다. 현재의 문제를 기반으로 미래를 예측하며 디자인 관점에서 시나리오를 정립하는 선행디자인이 날로 중요해짐에 따라 본 연구는 그러한 선행디자인을 실험적으로 제시하는 디자인 픽션 방법이 사용자 중심의 관점에서 다루어지는 것이 필요하다고 보았다. 이에 따라, 본 연구에서는 사용자 중심 디자인 프로세스 중 사용자의 행동이나 인지에 직관적이고 직접적인 영향을 주고자 고안된 어포던스 개념을 기존 디자인 픽션의 과정에 접목하였다. 주제와 어포던스 개념을 구체적으로 디자인에 응용하고자 고안된 Design with Intent Toolkit을 시각디자인 전공 3학년 학생들에게 활용하였고, 이를 디자인 픽션의 과정으로 발전시켜 다양한 시각적 결과물을 완성하였다. 이러한 과정을 통해 본 연구는 기존의 비평적, 실험적 영역으로 국한되었던 디자인픽션 방법론외 대안으로 사용자 친화적인 디자인 픽션 방법론을 새롭게 제안하고자 한다.

• 디자인학연구
• /
• 제13권4호
• /
• pp.85-93
• /
• 2000

세계화(Globalization)라는 국경 없는 글러벌 시장에서 디자인은 새로운 경쟁력의 원천이 되고 있다. 1970년대까지만 해도 기업의 경쟁력은 기술이었으며 디자인의 역할은 스타일링이나 그래픽적 요소에 대한 것으로 인식되었었다. 그러나 1980년대 이후 디자인은 더욱 기업의 경쟁력을 키우는 중요한 수단으로 인식되었고 세계적인 기업들은 더 이상 제품의 외관이나 색채를 결정하는 일이 아니라 제품의 성능은 물론 품격을 만들어 내는 막강한 경쟁력이라는 것을 인식하게 되었다. 세계적인 다국적기업 필립스의 경우도 디자인 정책의 변화는 이같은 추이를 반영하고 있다. 1970년대까지 디자인 책임자의 권한은 제한적일 수밖에 없었다. 그러나 1980년대 이후 필립스의 경쟁력 우위를 위한 전략에 주력하였고 미국의 디자이너이자 경영자인 로버트 블레이크(Robert Blaich)를 영입하여 디자인의 역할을 넓히고 조직을 개편하였으며 글로벌화를 추진하였다. 또한 1990년대의 디자인 책임자 스테파노 마르자노(Stefano Marzano)는 하이디자인(High Design)의 개념을 만들고 고객 지향적이면서 상업적인 성공을 할 수 있는 미래전략(Strategic Futures)을 강구하였다. 1996년까지 3년에 걸쳐 개발된 미래의 비젼(Vision of the Future)은 미래 10년을 예측하고 정보화 시대에 대비한 혁신적 제품디자인으로서 디자인을 통한 기업의 목표달성과 새로운 가치 창조를 할 수 있었다.