• Proceedings of the Korea Database Society Conference
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• 1999.06a
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• pp.175-186
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• 1999

Detecting the features of significant patterns from their own historical data is so much crucial to good performance specially in time-series forecasting. Recently, a new data filtering method (or multi-scale decomposition) such as wavelet analysis is considered more useful for handling the time-series that contain strong quasi-cyclical components than other methods. The reason is that wavelet analysis theoretically makes much better local information according to different time intervals from the filtered data. Wavelets can process information effectively at different scales. This implies inherent support fer multiresolution analysis, which correlates with time series that exhibit self-similar behavior across different time scales. The specific local properties of wavelets can for example be particularly useful to describe signals with sharp spiky, discontinuous or fractal structure in financial markets based on chaos theory and also allows the removal of noise-dependent high frequencies, while conserving the signal bearing high frequency terms of the signal. To date, the existing studies related to wavelet analysis are increasingly being applied to many different fields. In this study, we focus on several wavelet thresholding criteria or techniques to support multi-signal decomposition methods for financial time series forecasting and apply to forecast Korean Won / U.S. Dollar currency market as a case study. One of the most important problems that has to be solved with the application of the filtering is the correct choice of the filter types and the filter parameters. If the threshold is too small or too large then the wavelet shrinkage estimator will tend to overfit or underfit the data. It is often selected arbitrarily or by adopting a certain theoretical or statistical criteria. Recently, new and versatile techniques have been introduced related to that problem. Our study is to analyze thresholding or filtering methods based on wavelet analysis that use multi-signal decomposition algorithms within the neural network architectures specially in complex financial markets. Secondly, through the comparison with different filtering techniques' results we introduce the present different filtering criteria of wavelet analysis to support the neural network learning optimization and analyze the critical issues related to the optimal filter design problems in wavelet analysis. That is, those issues include finding the optimal filter parameter to extract significant input features for the forecasting model. Finally, from existing theory or experimental viewpoint concerning the criteria of wavelets thresholding parameters we propose the design of the optimal wavelet for representing a given signal useful in forecasting models, specially a well known neural network models.

• Proceedings of the Korea Inteligent Information System Society Conference
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• 1999.03a
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• pp.175-186
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• 1999

Detecting the features of significant patterns from their own historical data is so much crucial to good performance specially in time-series forecasting. Recently, a new data filtering method (or multi-scale decomposition) such as wavelet analysis is considered more useful for handling the time-series that contain strong quasi-cyclical components than other methods. The reason is that wavelet analysis theoretically makes much better local information according to different time intervals from the filtered data. Wavelets can process information effectively at different scales. This implies inherent support for multiresolution analysis, which correlates with time series that exhibit self-similar behavior across different time scales. The specific local properties of wavelets can for example be particularly useful to describe signals with sharp spiky, discontinuous or fractal structure in financial markets based on chaos theory and also allows the removal of noise-dependent high frequencies, while conserving the signal bearing high frequency terms of the signal. To data, the existing studies related to wavelet analysis are increasingly being applied to many different fields. In this study, we focus on several wavelet thresholding criteria or techniques to support multi-signal decomposition methods for financial time series forecasting and apply to forecast Korean Won / U.S. Dollar currency market as a case study. One of the most important problems that has to be solved with the application of the filtering is the correct choice of the filter types and the filter parameters. If the threshold is too small or too large then the wavelet shrinkage estimator will tend to overfit or underfit the data. It is often selected arbitrarily or by adopting a certain theoretical or statistical criteria. Recently, new and versatile techniques have been introduced related to that problem. Our study is to analyze thresholding or filtering methods based on wavelet analysis that use multi-signal decomposition algorithms within the neural network architectures specially in complex financial markets. Secondly, through the comparison with different filtering techniques results we introduce the present different filtering criteria of wavelet analysis to support the neural network learning optimization and analyze the critical issues related to the optimal filter design problems in wavelet analysis. That is, those issues include finding the optimal filter parameter to extract significant input features for the forecasting model. Finally, from existing theory or experimental viewpoint concerning the criteria of wavelets thresholding parameters we propose the design of the optimal wavelet for representing a given signal useful in forecasting models, specially a well known neural network models.

• The Korean Journal of Financial Management
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• v.25 no.3
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• pp.111-130
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• 2008

This paper compares long term equilibrium relation of KOSPI 200 which is underling stock and its futures by using general method fractional cointegration instead of existing integer cointegration. Existence of integer cointegration between two price time series gives much wider information about long term equilibrium relation. These details grasp long term equilibrium relation of two price time series as well as reverting velocity to equilibrium by observing difference coefficient of error term when it renounces from equilibrium relation. The result of this study reveals existence of long term equilibrium relation between KOSPI200 and futures which follow fractional cointegration. Difference coefficient, d, of 'two price time series error term' satisfies 0 < d < 1/2 beside bandwidth parameter, m(173). It means two price time series follow stationary long memory process. This also means impulse effects to balance price of two price time series decrease gently within hyperbolic rate decay. It indicates reverting speed of error term is very low when it bolts from equilibrium. It implies to market maker, who is willing to make excess return with arbitrage trading and hedging risk using underling stock, how invest strategy should be changed. It also insinuates that information transition between KOSPI 200 Index market and futures market does not working efficiently.

• Communications for Statistical Applications and Methods
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• v.17 no.2
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• pp.293-308
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• 2010

In this paper, we examine the forecasting KOSPI 200 realized volatility by volatility measurements. The empirical investigation for KOSPI 200 daily returns is done during the period from 3 January 2003 to 29 June 2007. Since Korea Exchange(KRX) will launch VKOSPI futures contract in 2010, forecasting VKOSPI can be an important issue. So we analyze which volatility measurements forecast VKOSPI better. To test this hypothesis, we use 5-minute interval returns to measure realized volatilities. Also, we propose a new methodology that reflects the synchronized bidding and simultaneously takes it account the difference between overnight volatility and intra-daily volatility. The t-test and F-test show that our new realized volatility is not only different from the realized volatility by a conventional method at less than 0.01% significance level, also more stable in summary statistics. We use the correlation analysis, regression analysis, cross validation test to investigate the forecast performance. The empirical result shows that the realized volatility we propose is better than other volatilities, including historical volatility, implied volatility, and convention realized volatility, for forecasting VKOSPI. Also, the regression analysis on the predictive abilities for realized volatility, which is measured by our new methodology and conventional one, shows that VKOSPI is an efficient estimator compared to historical volatility and CRR implied volatility.

• The Journal of the Acoustical Society of Korea
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• v.28 no.1
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• pp.77-83
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• 2009

This paper proposes a new noise-biased compensation of minimum statistics(MS) method using a nonlinear function and a priori speech absence probability(SAP) for speech enhancement in non-stationary noisy environments. The minimum statistics(MS) method is well known technique for noise power estimation in non-stationary noisy environments. It tends to bias the noise estimate below that of true noise level. The proposed method is combined with an adaptive parameter based on a sigmoid function and a priori speech absence probability (SAP) for biased compensation. Specifically. we apply the adaptive parameter according to the a posteriori SNR. In addition, when the a priori SAP equals unity, the adaptive biased compensation factor separately increases ${\delta}_{max}$ each frequency bin, and vice versa. We evaluate the estimation of noise power capability in highly non-stationary and various noise environments, the improvement in the segmental signal-to-noise ratio (SNR), and the Itakura-Saito Distortion Measure (ISDM) integrated into a spectral subtraction (SS). The results shows that our proposed method is superior to the conventional MS approach.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.22 no.6
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• pp.1210-1230
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• 1997

In this paper, we suggest an architecture of DS/CDMA tranceiver composed of one pilot channel used as reference and multiple traffic channels. The pilot channel-an unmodulated PN code-is used as the reference signal for synchronization of PN code and data demondulation. The coherent demodulation architecture is also exploited for the reverse link as well as for the forward link. Here are the characteristics of the suggested DS/CDMA system. First, we suggest an interlaced quadrature spreading(IQS) method. In this method, the PN coe for I-phase 1st channel is used for Q-phase 2nd channels and the PN code for Q-phase 1st channel is used for I-phase 2nd channel, and so on-which is quite different from the eisting spreading schemes of DS/CDMA systems, such as IS-95 digital CDMA cellular or W-CDMA for PCS. By doing IQS spreading, we can drastically reduce the zero crossing rate of the RF signals. Second, we introduce an adaptive threshold setting for the synchronization of PN code, an initial acquistion method that uses a single PN code generator and reduces the acquistion time by a half compared the existing ones, and exploit the state machines to reduce the reacquistion time Third, various kinds of functions, such as automatic frequency control(AFC), automatic level control(ALC), bit-error-rate(BER) estimator, and spectral shaping for reducing the adjacent channel interference, are introduced to improve the system performance. Fourth, we designed and implemented the DS/CDMA MODEM to be used for variable transmission rate applications-from 16Kbps to 1.024Mbps. We developed and confirmed the DS/CDMA MODEM architecture through mathematical analysis and various kind of simulations. The ASIC design was done using VHDL coding and synthesis. To cope with several different kinds of applications, we developed transmitter and receiver ASICs separately. While a single transmitter or receiver ASC contains three channels (one for the pilot and the others for the traffic channels), by combining several transmitter ASICs, we can expand the number of channels up to 64. The ASICs are now under use for implementing a line-of-sight (LOS) radio equipment.