• 응용통계연구
• /
• 제29권3호
• /
• pp.505-512
• /
• 2016

본 연구에서는 금융시계열의 일간 변동성 측정을 위해 가중 융합 방법을 제안하고 있다. 고빈도(high frequency)자료에 기반을 둔 조정된 실현변동성을 계산하고 이를 참 값으로 간주하여 제안된 가중 융합 변동성에서 최적 가중치를 결정하는 과정을 서술하였다. 국내 KOSPI200자료의 1분 단위 고빈도 주가로부터 조정된 실현변동성을 구한 후 최적의 가중 융합 변동성을 제안해 보았다.

• 응용통계연구
• /
• 제28권6호
• /
• pp.1163-1170
• /
• 2015

본 연구에서는 금융시계열 변동성 측정을 위한 다양한 방법들을 소개하고 비교분석 하였다. 최근 들어 활발한 연구가 이루어지고 있는 고빈도(high frequency) 자료에 기초한 변동성 측정방법을 국내 주가에 적용시켜 1분 단위 고빈도 주가로부터 일별 변동성을 계산하였다. 또한, 모형 기반 방법인 GARCH와 자료 기반 방법인 역사적 변동성(historical volatility)을 융합하여 새로운 변동성 측정법을 제안하였다.

• 한국건축시공학회:학술대회논문집
• /
• 한국건축시공학회 2010년도 춘계 학술논문 발표대회 1부
• /
• pp.53-56
• /
• 2010

In this study, we conducted an impact assessment of the amount of volatile organic solvents addition on hybrid water-proofing system of urethane waterproof coating material and modified asphalt sheet. Also, we conducted a comparative assessment of whether modified asphalt sheet is dissolved or not and oil leakage by dissolution in order to perform a comparative analysis of characteristics of the impact on modified asphalt sheet according to the volatility of volatile organic solvents included in urethane waterproof coating material. The test was carried out by adding the same amount of organic solvents into each experimental group which is subject to volatility and non-volatility of organic solvents, respectively. The results of the test showed that in both experimental groups modified asphalt sheet was dissolved when adding over 10 percent of organic solvents regardless of volatility, and oil leakage observed only in the experimental group subject to volatility.

• 대한수학회지
• /
• 제57권5호
• /
• pp.1167-1186
• /
• 2020

This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) process with full correlation structure imposed among the state variables. This full correlation structure possesses the limitation to have fully analytical pricing formula for hybrid models of variance swaps, due to the non-affinity property embedded in the model itself. We address this issue by obtaining an efficient semi-closed form pricing formula of variance swaps for an approximation of the hybrid model via the derivation of characteristic functions. Subsequently, we implement numerical experiments to evaluate the accuracy of our pricing formula. Our findings confirm that the impact of the correlation between the underlying and the interest rate is significant for pricing discretely-sampled variance swaps.

• International journal of advanced smart convergence
• /
• 제12권4호
• /
• pp.75-87
• /
• 2023

We designed to employ an Artificial Intelligence learning model to predict real estate prices and determine the reasons behind their changes, with the goal of using the results as a guide for policy. Numerous studies have already been conducted in an effort to develop a real estate price prediction model. The price prediction power of conventional time series analysis techniques (such as the widely-used ARIMA and VAR models for univariate time series analysis) and the more recently-discussed LSTM techniques is compared and analyzed in this study in order to forecast real estate prices. There is currently a period of rising volatility in the real estate market as a result of both internal and external factors. Predicting the movement of real estate values during times of heightened volatility is more challenging than it is during times of persistent general trends. According to the real estate market cycle, this study focuses on the three times of extreme volatility. It was established that the LSTM, VAR, and ARIMA models have strong predictive capacity by successfully forecasting the trading price index during a period of unusually high volatility. We explores potential synergies between the hybrid artificial intelligence learning model and the conventional statistical prediction model.

• 대한수학회지
• /
• 제59권6호
• /
• pp.1153-1170
• /
• 2022

In this paper, we investigate the portfolio optimization problem under the SVCEV model, which is a hybrid model of constant elasticity of variance (CEV) and stochastic volatility, by taking into account of minimum-entropy robustness. The Hamilton-Jacobi-Bellman (HJB) equation is derived and the first two orders of optimal strategies are obtained by utilizing an asymptotic approximation approach. We also derive the first two orders of practical optimal strategies by knowing that the underlying Ornstein-Uhlenbeck process is not observable. Finally, we conduct numerical experiments and sensitivity analysis on the leading optimal strategy and the first correction term with respect to various values of the model parameters.

• East Asian mathematical journal
• /
• 제40권1호
• /
• pp.63-74
• /
• 2024

Timer options are financial instruments proposed by Société Générale Corporate and Investment Banking in 2007. Unlike vanilla options, where the expiry date is fixed, the expiry date of timer options is determined by the investor's choice, which is in linked to a variance budget. In this study, we derive a pricing formula for hybrid options that combine timer options, digital options, and power options, considering an environment where volatility of an underlying asset follows a fast-mean-reverting process. Additionally, we aim to validate the pricing accuracy of these analytical formulas by comparing them with the results obtained from Monte Carlo simulations. Finally, we conduct numerical studies on these options to analyze the impact of stochastic volatility on option's price with respect to various model parameters.

• 한국컴퓨터정보학회논문지
• /
• 제28권2호
• /
• pp.201-207
• /
• 2023

본 논문에서는 Multi-Step Time Series의 세 가지 전략을 비교 분석하기 위해 LGBM, MLP, LSTM, GRU를 사용하여 농산물 중장기 가격 예측에 대한 최적의 모형을 제안한다. 제안 모형은 다각도로 전략을 선택하여 모델과 전략간 최적의 조합을 찾도록 설계되었다. 기존 농산물 가격 예측 연구에서는 전통 계량경제 모델인 ARIMA를 비롯하여 LSTM 계열 모델이 주로 사용된 반면 Multi-Step Time Series 관련 농산물 가격 예측 연구는 매우 제한적이다. 본 연구에서는 농산물 가격의 변동성 정도에 따라 두 개의 기간으로 나누어 실험을 진행하였으며, Direct, Hybrid, Multiple Outputs 등 세 전략의 중장기 가격 예측 결과 Hybrid 접근법이 상대적으로 우수한 성능을 보였다.본 연구 결과는 중장기 일별 가격 예측을 고도화할 수 있는 효과적인 대안을 제시한다는 측면에서 학술적, 실무적 의의를 갖는다.

• Korean Chemical Engineering Research
• /
• 제56권1호
• /
• pp.29-41
• /
• 2018

공비점이 존재하거나 상대휘발도 차이가 적은 2성분 혼합물은 단일 증류탑으로 분리하기 어렵다. 이때 혼합물에서 분리가 어려운 영역을 투과증발막을 사용하여 분리하면 효율적인 공정을 설계할 수 있다. 본 연구에서는 물-유기용매 혼합물을 분리하기 위한 증류-투과증발막 혼성공정을 제시하고, 물-초산 혼합물과 물-에탄올 혼합물의 분리공정을 각각 모사하였다. 증류탑 상부 흐름이 친수성 막을 통과하여 물을 높은 순도로 분리하는 공정을 모사하였다. 실험과 문헌에서 얻은 친수성 막의 투과도를 토대로 막 모델을 만들어 막 면적을 계산하였다. 제시한 공정의 최적화를 위해, 목적함수를 연간 총 비용으로 정하고 주요 설계 변수들을 최적화 변수로 하여 최적화 문제를 구성하였다. 또한, 혼성공정의 각 최적화 변수의 변화에 따른 목적함수 값의 변화 추세를 나타내고 최적화 변수를 최적점에 가까운 값으로 쉽게 추측할 수 있는 방법을 제안하였다.

• 대한기계학회:학술대회논문집
• /
• 대한기계학회 2008년도 추계학술대회B
• /
• pp.2001-2006
• /
• 2008

The most concerning issue of these days is the energy crisis by increasing threat of dependency on foreign oil and its volatility itself. In the situations, the PHEV is drawing attention for the next generation's car which could give a chance to decrease the dependency on foreign oil. As well as, the Korean electric power infrastructure is a strategic national asset that is under utilized most of the time. With the proper changes in the operational paradigm, it could generate and deliver necessary energy to charge the PHEVs which could penetrate the market within few years. In doing so, it would reduce greenhouse gas emissions, improve the economics of the electricity industry, and reduce the energy dependency. This paper investigate the technical potential and impacts of using the existing idle capacity of the electric infrastructure in conjunction with the emerging PHEVs technology to meet the majority of daily energy needs of the Korean LDV fleet.