• 제목/요약/키워드: limit index

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A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures

  • Lee, Yongjae;Kim, Woo Chang
    • Management Science and Financial Engineering
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    • 제19권1호
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    • pp.37-41
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    • 2013
  • This study presents an application of stochastic model for limit order book (LOB) dynamics to Korean Stock Index Futures (KOSPI 200 Futures). Since KOSPI 200 futures market is widely known as one of the most liquid markets in the world, direct application of an existing model is hardly possible. Therefore, we modified an existing model to successfully model and predict the dynamics of extremely liquid KOSPI 200 futures market.

An Empirical Central Limit Theorem for the Kaplan-Meier Integral Process on [0,$\infty$)

  • Bae, Jong-Sig
    • Journal of the Korean Statistical Society
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    • 제26권2호
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    • pp.231-243
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    • 1997
  • In this paper we investigate weak convergence of the intergral processes whose index set is the non-compact infinite time interval. Our first goal is to develop the empirical central limit theorem as random elements of [0, .infty.) for an integral process which is constructed from iid variables. In developing the weak convergence as random elements of D[0, .infty.), we will use a result of Ossiander(4) whose proof heavily depends on the total boundedness of the index set. Our next goal is to establish the empirical central limit theorem for the Kaplan-Meier integral process as random elements of D[0, .infty.). In achieving the the goal, we will use the above iid result, a representation of State(6) on the Kaplan-Meier integral, and a lemma on the uniform order of convergence. The first result, in some sense, generalizes the result of empirical central limit therem of Pollard(5) where the process is regarded as random elements of D[-.infty., .infty.] and the sample paths of limiting Gaussian process may jump. The second result generalizes the first result to random censorship model. The later also generalizes one dimensional central limit theorem of Stute(6) to a process version. These results may be used in the nonparametric statistical inference.

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아산만지역 충적점토의 토질특성에 관한 연구(II) (Studies on the Engineering Characteristics of Alluvial Clayey Deposits in the Bay Area of Asan (II))

  • 유능환;유연택
    • 한국농공학회지
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    • 제30권2호
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    • pp.55-66
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    • 1988
  • This study was conducted to investigate the various engineering properties and correlationshops among the soil constants of alluvial clayey deposits distributed in the bay of Asan and their results are summarized as follows : 1. Grain size distribution of soil was consisted of 12 % of clay, 46-73 % of silt, 2-23 % of sand, and as for the consistency characteristics, 26-36 % of liquid limit, 18-21 % of plastic limit and 6-16 % of plastic index, and so the soil belonging to as a lower plastic nonorganic clay, it's specific gravity was 2,66-2.70, and the location on the plastic chart was approximately above the A-line. Z The natural moisture content and unit weight were 30-43 % and 1.76-1.87 g I cm$_3$, respectively, and according to increment of natural moisture content, the unit weight was decreased, and the initial void ratio and degree of saturation were shown of 0,87-1119 and 92- 100 %, most of saturated. 3. Cone resistance value which was shown 2.4 - 6.5 kg / $cm^2$ was a little lower and it was increased with the depth of layer and shown the formular $q_c=0.7_z+1.32$. 4. Unconfined compression strength was about 0.18-0.43kg /$cm^2$, cu, 0.1-0.22kg / $\psi$, $2-6^{\circ}$ under uu-test condition of triaxial, and CCU, 0.08-0.3 kg/cm , $\psi$, $12-18^{\circ}$ under the condition of cu-test. 5. Pre-consolidation load of characteristics of consolidation was 0.4-0.8 kg / $cm^2$, compression index, about 0.17-0.33. 6. Liquid limit and plastic index were incresased with the increment of clay content but most of alluvial clay was appeared as a normal through non-activity clay soil shown more natural moisture content than liquid limit, and their relationship as follows : LL=0.38( cy+54.8), PI=0.836(LL -17.8), PI =0.468(LL -0.48) 7. The initial void ratio presented correlationship of positive among clay content, natural moisture content and liquid limit, and that of reverse with unit weight, and their results as follws : $e_o=0.024(w_n+0.2)$, $e_o=e_o=0.0003c_y+0.0005 LL+0.0151 W_n+\frac{3.58}{r-t}-1.52$ 8. It was shown that the compression index has correlationship of postive among the clay content, liquid limit, plastic index, natural moisture content and initial void ratio, and their relationships as follows ; $c_c=0.44(e_o-0.47)$, $c_c=0.001$

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Preliminary Evaluation of the Activity Concentration Limits for Consumer Goods Containing NORM

  • Jang, Mee;Chung, Kun Ho;Ji, Young Yong;Lim, Jong Myung;Kang, Mun Ja;Choi, Guen Sik
    • Journal of Radiation Protection and Research
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    • 제41권2호
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    • pp.101-104
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    • 2016
  • Background: To protect the public from natural radioactive materials, the 'Act on safety control of radioactive rays around living environment" was established in Korea. There is an annual effective dose limit of 1 mSv for products, but the activity concentration limit for products is not established yet. Materials and Methods: To suggest the activity concentration limits for consumer goods containing NORM, in this research, we assumed the "small room model" surrounding the ICRP reference phantom to simulate the consumer goods in contact with the human bodies. Using the Monte Carlo code MCNPX, we evaluate the effective dose rate for the ICRP reference phantom in a small room with dimension of phantom size and derived the activity concentration limit for consumer goods. Results and Discussion: The consumer goods have about 1600, 1200 and $19000Bq{\cdot}kg^{-1}$ for $^{226}Ra$, $^{232}Th$ and $^{40}K$, and the activity concentration limits are about six times comparing with the values of building materials. We applied the index to real samples, though we did not consider radioactivity of $^{40}K$, indexes of the some samples are more than 6. However, this index concept using small room model is very conservative, for the consumer goods over than index 6, it is necessary to reevaluate the absorbed dose considering real usage scenario and material characteristics. Conclusion: In this research, we derived activity concentration limits for consumer goods in contact with bodies and the results can be used as preliminary screening tool for consumer goods as index concept.

PSC Beam교의 실측실험을 반영한 한계상태설계법 기반 교량 평가법 적용 분석 (Analysis on Application of Limit State Design Method for Bridge Evaluation Considering PSC Beam Bridge Experiment Results)

  • 김경현;유민선;백인열;신수봉
    • 한국구조물진단유지관리공학회 논문집
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    • 제25권6호
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    • pp.235-244
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    • 2021
  • 본 연구에서는 한계상태설계법에 기반한 교량 평가법을 개발하기 위하여, 공용 중인 교량의 실측실험을 반영하여 적용성을 분석하였다. 예제 PSC Beam 실 교량의 부재 실험 결과로부터 부재의 시험강도를 구하였으며, 재료 시험값으로부터 추정된 통계특성을 적용하여 산정된 저항강도와 시험강도를 비교하였다. 부재의 시험강도와 재료의 변동성을 고려한 저항강도는 동등한 수준으로 계산되어 실측실험의 적합성이 검증되었다. 차량재하시험으로부터 응답보정계수와 동적충격계수를 계산하였으며, 실측실험 결과를 반영한 내하율을 적용하여 현행 교량 평가법과 한계상태설계법 기반으로 산정된 내하율을 비교하였다. 재료 시험값의 통계특성으로부터 추정된 부재 저항강도의 통계특성을 적용하여 실 교량의 신뢰도지수를 계산하였다. 설계기준 개발에 적용한 저항강도 통계특성으로 구한 신뢰도지수보다 실측실험의 통계특성을 적용하는 경우 더 큰 값의 신뢰도지수를 얻었다.

Effect of microorganism on engineering properties of cohesive soils

  • Yasodian, Sheela Evangeline;Dutta, Rakesh Kumar;Mathew, Lea;Anima, T.M.;Seena, S.B.
    • Geomechanics and Engineering
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    • 제4권2호
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    • pp.135-150
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    • 2012
  • This paper presents the study of the effect of microorganism Bacillus pasteurii on the properties such as Atterbergs' limit and unconfined compressive strength of cohesive soils. The results of this study reveal that the liquid limit and plasticity index for all clay soils decreased and the unconfined compressive strength increased. Decrease in plasticity index is very high for Kuttanad clay followed by bentonite and laterite. The unconfined compressive strength increased for all the soils. The increase was high for Kuttanad soil and low for laterite soil. After 24 h of treatment the improvement in the soil properties is comparatively less. Besides the specific bacteria selected Bacillus pasteurii, other microorganisms may also be taking part in calcite precipitation thereby causing soil cementation. But the naturally present microorganisms alone cannot work on the calcite precipitation.

Reliability analysis of circular tunnel with consideration of the strength limit state

  • Ghasemi, Seyed Hooman;Nowak, Andrzej S.
    • Geomechanics and Engineering
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    • 제15권3호
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    • pp.879-888
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    • 2018
  • Probability-based design codes have been developed to sufficiently confirm the safety level of structures. One of the most acceptable probability-based approaches is Load Resistance Factor Design (LRFD), which measures the safety level of the structures in terms of the reliability index. The main contribution of this paper is to calibrate the load and resistance factors of the design code for tunnels. The load and resistance factors are calculated using the available statistical models and probability-based procedures. The major steps include selection of representative structures, consideration of the limit state functions, calculation of reliability for the selected structures, selection of the target reliability index and calculation of load factors and resistance factors. The load and resistance models are reviewed. Statistical models of resistance (load carrying capacity) are summarized for strength limit state in bending, shear and compression. The reliability indices are calculated for several segments of a selected circular tunnel designed according to the tunnel manual report (Tunnel Manual). The novelty of this paper is the selection of the target reliability. In doing so, the uniform spectrum of reliability indices is proposed based on the probability paper. The final recommendation is proposed based on the closeness to the target reliability index.

도로교설계기준(한계상태설계법)의 콘크리트부재 설계를 위한 재료계수 결정법 및 신뢰도 분석 (New Approaches for Calibrating Material Factors of Reinforced Concrete Members in Korean Highway Bridge Design Code (Limit State Design) and Reliability Analysis)

  • 이해성;송상원;김지현
    • 대한토목학회논문집
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    • 제39권1호
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    • pp.13-24
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    • 2019
  • 이 연구에서는 국내 도로교 한계상태설계법에서 콘크리트부재의 설계를 위하여 적용하고 있는 재료계수의 문제점을 제기하고, 잘 정립된 최적화 과정에 의한 재료계수를 제안하였다. 신뢰도분석을 통하여 현 설계기준의 하중계수와 제안 재료계수가 목표신뢰도지수 보다 높은 신뢰도수준을 확보하고 있음을 보이고, 역신뢰도해석을 통하여 목표신뢰도지수를 잘 근사할 수 있는 하중계수를 제시하였다. 유로코드에서 제시하고 있는 기본 개념에 근거하여 신뢰도기반 하중-재료계수 결정법을 정식화하였다. 제안된 접근법이 신뢰도개념에 의하여 유도되었지만, 이 접근법에 의하여 계산된 하중-재료 계수가 목표신뢰도지수를 정확히 만족시키지 못하는 요인으로서 재료와 부재간에 존재하는 불확실성의 차이를 지적하고, 이러한 차이를 고려하지 않는 유로코드의 개념적 문제점을 제기하였다.

궤도구조 변경에 따른 열차 진동 추정식 제안 (Suggestion for Train Vibration Equations based on Change in Track System)

  • 김응록;박연수;강성후;박선준;김흥기
    • 한국철도학회논문집
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    • 제5권1호
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    • pp.48-54
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    • 2002
  • This research estimated decreased vibration level as quantitative according to change of track system on Seoul Subway Line No. 1 from existing ballasted track system(Pandrol type clip) to concrete track system(Youbgdan type isolation rubber clip). Following change to concrete system, vibration level at tunnel floor decreased between 4-8dB(V). Vibration equations suggested in this paper consider the velocity of train and can estimate quantitative vibration response. These are divided by ultimate limit state($\beta$=0), serviceability limit state($\beta$=1.28) and safety state($\beta$=3), respectively. The reliability index, $\beta$=0, means 50% data line obtained by least squares best-fit line. The reliability index $\beta$=1.28 and 3 represent boundaries below 90% and 99.9% respectively.