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Analysis of Respiratory Motion Artifacts in PET Imaging Using Respiratory Gated PET Combined with 4D-CT (4D-CT와 결합한 호흡게이트 PET을 이용한 PET영상의 호흡 인공산물 분석)

  • Cho, Byung-Chul;Park, Sung-Ho;Park, Hee-Chul;Bae, Hoon-Sik;Hwang, Hee-Sung;Shin, Hee-Soon
    • The Korean Journal of Nuclear Medicine
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    • v.39 no.3
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    • pp.174-181
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    • 2005
  • Purpose: Reduction of respiratory motion artifacts in PET images was studied using respiratory-gated PET (RGPET) with moving phantom. Especially a method of generating simulated helical CT images from 4D-CT datasets was developed and applied to a respiratory specific RGPET images for more accurate attenuation correction. Materials and Methods: Using a motion phantom with periodicity of 6 seconds and linear motion amplitude of 26 mm, PET/CT (Discovery ST: GEMS) scans with and without respiratory gating were obtained for one syringe and two vials with each volume of 3, 10, and 30 ml respectively. RPM (Real-Time Position Management, Varian) was used for tracking motion during PET/CT scanning. Ten datasets of RGPET and 4D-CT corresponding to every 10% phase intervals were acquired. from the positions, sizes, and uptake values of each subject on the resultant phase specific PET and CT datasets, the correlations between motion artifacts in PET and CT images and the size of motion relative to the size of subject were analyzed. Results: The center positions of three vials in RGPET and 4D-CT agree well with the actual position within the estimated error. However, volumes of subjects in non-gated PET images increase proportional to relative motion size and were overestimated as much as 250% when the motion amplitude was increased two times larger than the size of the subject. On the contrary, the corresponding maximal uptake value was reduced to about 50%. Conclusion: RGPET is demonstrated to remove respiratory motion artifacts in PET imaging, and moreover, more precise image fusion and more accurate attenuation correction is possible by combining with 4D-CT.

Effects of Feed Protein Quality on the Protein Metabolism of Growing Pigs - Using a Simulation Model - (성장기 돼지의 단백질대사에 사료단백질의 질이 미치는 영향 -수치모델을 사용하여-)

  • 이옥희
    • Journal of the Korean Society of Food Science and Nutrition
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    • v.26 no.4
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    • pp.704-713
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    • 1997
  • This study was conducted to describe qualitatively the protein metabolism of pigs during growth depending on the feed protein quality and to describe quantitatively amino acids requirements, using a simulation model. The used model has a non-linear structure. In the used model, the protein utilization system of a pig, which is in the non-steady-state, is described with 15 flux equations and 11 differential equations and is composed with two compartments. Protein deposition(g/day) of pigs on the 30th, 60th, 90th, and 120th day of feeding duration with three-quality protein, beginning with body weight 20kg, were calculated according to the empirical model, PAF(the product of amino acid functions) of Menke, and was used as object function for the simulation. The mean of relative difference between the simulated protein deposition and PAF calculated values, lied in a range of 8.8%. The simulated protein deposition showed different behavior according to feed protein quality. In the high-quality protein, it showed paraboloidal form with extending growth simulation up to 150eh day. So the maximum of protein deposition was acquired on the 105th day of simulate growth time and then it decreased fast. In the low-quality protein, this form of protein deposition in the course of simulated growth did not appear until 150th day. The simulated protein mass also showed a difference in accordance with feed protein quality. The difference was small on the 30th day of simulated growth, but with duration of the simulated growth it was larger. On the 150th day the simulated protein deposition of high quality protein was 1.5 times higher as compared to the low-quality protein. The simulated protein synthesis and break-down rates(g/day) in the whole body showed a parallel behavior in the course of growth, according to feed protein quality. It was found that the improvement of feed protein quality increased protein deposition in the whole body through a increase of both protein synthesis and breakdown during growth. Also protein deposition efficiency, which was calculated from simulated protein deposition and protein synthesis, showed a difference in dependence on the protein qualify of feed protein. The protein deposition efficiency was higher in pigs fed with high quality protein, especially at the simulation time 30th day. But this phenomena disappeared with growth, so on the 150th day of growth, the protein deposition of the high feed protein quality was lowest among the three different quality of feed protein. The simulated total requirement of the 10 essential amino acids for the growth of pigs was 28.1(g/100g protein), similar to NRC. The requirement of lysine was 4.2(g/100g protein).

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Development of Correction Formulas for KMA AAOS Soil Moisture Observation Data (기상청 농업기상관측망 토양수분 관측자료 보정식 개발)

  • Choi, Sung-Won;Park, Juhan;Kang, Minseok;Kim, Jongho;Sohn, Seungwon;Cho, Sungsik;Chun, Hyenchung;Jung, Ki-Yuol
    • Korean Journal of Agricultural and Forest Meteorology
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    • v.24 no.1
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    • pp.13-34
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    • 2022
  • Soil moisture data have been collected at 11 agrometeorological stations operated by The Korea Meteorological Administration (KMA). This study aimed to verify the accuracy of soil moisture data of KMA and develop a correction formula to be applied to improve their quality. The soil of the observation field was sampled to analyze its physical properties that affect soil water content. Soil texture was classified to be sandy loam and loamy sand at most sites. The bulk density of the soil samples was about 1.5 g/cm3 on average. The content of silt and clay was also closely related to bulk density and water holding capacity. The EnviroSCAN model, which was used as a reference sensor, was calibrated using the self-manufactured "reference soil moisture observation system". Comparison between the calibrated reference sensor and the field sensor of KMA was conducted at least three times at each of the 11 sites. Overall, the trend of fluctuations over time in the measured values of the two sensors appeared similar. Still, there were sites where the latter had relatively lower soil moisture values than the former. A linear correction formula was derived for each site and depth using the range and average of the observed data for the given period. This correction formula resulted in an improvement in agreement between sensor values at the Suwon site. In addition, the detailed approach was developed to estimate the correction value for the period in which a correction formula was not calculated. In summary, the correction of soil moisture data at a regular time interval, e.g., twice a year, would be recommended for all observation sites to improve the quality of soil moisture observation data.

An empirical study on the impact of academic competitions on innovation and entrepreneurship among Chinese university students (학술 경연대회가 중국 대학생들의 혁신과 기업가 정신에 미치는 영향에 대한 실증적 연구)

  • Jinling Wang;Ning Wang
    • Journal of the International Relations & Interdisciplinary Education
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    • v.3 no.1
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    • pp.51-75
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    • 2023
  • Relying on disciplinary competitions to enhance college students' innovation and entrepreneurship is one of the specific paths to explore the reform of innovation and entrepreneurship education in colleges and universities. This paper conducts an empirical study on the practice of disciplinary competitions among Chinese university students, the problems of innovation and entrepreneurship education in Chinese universities and the impact of disciplinary competitions on innovation and entrepreneurship among Chinese university students, using university students in Chinese universities as the respondents. The data collected online and offline were analysed using SPSS26 statistical software. The results of the analysis show that Chinese university students show a high level of interest in innovation and entrepreneurship competitions and that there are some differences in the level of interest in innovation and entrepreneurship competitions among university students of different academic levels. More than half of Chinese university students have participated in innovation and entrepreneurship competitions and the initiative of participating in innovation and entrepreneurship competitions varies by grade. The biggest problem facing innovation and entrepreneurship education in schools is the lack of professional innovation and entrepreneurship teachers, followed by the lack of guidance on innovation and entrepreneurship-related policies, and the unreasonable reward system, which makes teachers and students less motivated to innovate and entrepreneurship. Through one-dimensional linear regression analysis, it is found that the degree of attention to innovation and entrepreneurship among college students affects college students' entrepreneurial awareness and entrepreneurial practice; the degree of initiative of college students' innovation and entrepreneurship competition affects college students' entrepreneurial effect; and the degree of initiative of college students' innovation and entrepreneurship competition affects college students' entrepreneurial practice.

Heavy concrete shielding properties for carbon therapy

  • Jin-Long Wang;Jiade J Lu;Da-Jun Ding;Wen-Hua Jiang;Ya-Dong Li;Rui Qiu;Hui Zhang;Xiao-Zhong Wang;Huo-Sheng Ruan;Yan-Bing Teng;Xiao-Guang Wu;Yun Zheng;Zi-Hao Zhao;Kai-Zhong Liao;Huan-Cheng Mai;Xiao-Dong Wang;Ke Peng;Wei Wang;Zhan Tang;Zhao-Yan Yu;Zhen Wu;Hong-Hu Song;Shuo-Yang Wei;Sen-Lin Mao;Jun Xu;Jing Tao;Min-Qiang Zhang;Xi-Qiang Xue;Ming Wang
    • Nuclear Engineering and Technology
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    • v.55 no.6
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    • pp.2335-2347
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    • 2023
  • As medical facilities are usually built at urban areas, special concrete aggregates and evaluation methods are needed to optimize the design of concrete walls by balancing density, thickness, material composition, cost, and other factors. Carbon treatment rooms require a high radiation shielding requirement, as the neutron yield from carbon therapy is much higher than the neutron yield of protons. In this case study, the maximum carbon energy is 430 MeV/u and the maximum current is 0.27 nA from a hybrid particle therapy system. Hospital or facility construction should consider this requirement to design a special heavy concrete. In this work, magnetite is adopted as the major aggregate. Density is determined mainly by the major aggregate content of magnetite, and a heavy concrete test block was constructed for structural tests. The compressive strength is 35.7 MPa. The density ranges from 3.65 g/cm3 to 4.14 g/cm3, and the iron mass content ranges from 53.78% to 60.38% from the 12 cored sample measurements. It was found that there is a linear relationship between density and iron content, and mixing impurities should be the major reason leading to the nonuniform element and density distribution. The effect of this nonuniformity on radiation shielding properties for a carbon treatment room is investigated by three groups of Monte Carlo simulations. Higher density dominates to reduce shielding thickness. However, a higher content of high-Z elements will weaken the shielding strength, especially at a lower dose rate threshold and vice versa. The weakened side effect of a high iron content on the shielding property is obvious at 2.5 µSv=h. Therefore, we should not blindly pursue high Z content in engineering. If the thickness is constrained to 2 m, then the density can be reduced to 3.3 g/cm3, which will save cost by reducing the magnetite composition with 50.44% iron content. If a higher density of 3.9 g/cm3 with 57.65% iron content is selected for construction, then the thickness of the wall can be reduced to 174.2 cm, which will save space for equipment installation.

Experimental investigation of the photoneutron production out of the high-energy photon fields at linear accelerator (고에너지 방사선치료 시 치료변수에 따른 광중성자 선량 변화 연구)

  • Kim, Yeon Su;Yoon, In Ha;Bae, Sun Myeong;Kang, Tae Young;Baek, Geum Mun;Kim, Sung Hwan;Nam, Uk Won;Lee, Jae Jin;Park, Yeong Sik
    • The Journal of Korean Society for Radiation Therapy
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    • v.26 no.2
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    • pp.257-264
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    • 2014
  • Purpose : Photoneutron dose in high-energy photon radiotherapy at linear accelerator increase the risk for secondary cancer. The purpose of this investigation is to evaluate the dose variation of photoneutron with different treatment method, flattening filter, dose rate and gantry angle in radiation therapy with high-energy photon beam ($E{\geq}8MeV$). Materials and Methods : TrueBeam $ST{\time}TM$(Ver1.5, Varian, USA) and Korea Tissue Equivalent Proportional Counter (KTEPC) were used to detect the photoneutron dose out of the high-energy photon field. Complex Patient plans using Eclipse planning system (Version 10.0, Varian, USA) was used to experiment with different treatment technique(IMRT, VMAT), condition of flattening filter and three different dose rate. Scattered photoneutron dose was measured at eight different gantry angles with open field (Field size : $5{\time}5cm$). Results : The mean values of the detected photoneutron dose from IMRT and VMAT were $449.7{\mu}Sv$, $2940.7{\mu}Sv$. The mean values of the detected photoneutron dose with Flattening Filter(FF) and Flattening Filter Free(FFF) were measured as $2940.7{\mu}Sv$, $232.0{\mu}Sv$. The mean values of the photoneutron dose for each test plan (case 1, case 2 and case 3) with FFF at the three different dose rate (400, 1200, 2400 MU/min) were $3242.5{\mu}Sv$, $3189.4{\mu}Sv$, $3191.2{\mu}Sv$ with case 1, $3493.2{\mu}Sv$, $3482.6{\mu}Sv$, $3477.2{\mu}Sv$ with case 2 and $4592.2{\mu}Sv$, $4580.0{\mu}Sv$, $4542.3{\mu}Sv$ with case 3, respectively. The mean values of the photoneutron dose at eight different gantry angles ($0^{\circ}$, $45^{\circ}$, $90^{\circ}$, $135^{\circ}$, $180^{\circ}$, $225^{\circ}$, $270^{\circ}$, $315^{\circ}$) were measured as $3.2{\mu}Sv$, $4.3{\mu}Sv$, $5.3{\mu}Sv$, $11.3{\mu}Sv$, $14.7{\mu}Sv$, $11.2{\mu}Sv$, $3.7{\mu}Sv$, $3.0{\mu}Sv$ at 10MV and as $373.7{\mu}Sv$, $369.6{\mu}Sv$, $384.4{\mu}Sv$, $423.6{\mu}Sv$, $447.1{\mu}Sv$, $448.0{\mu}Sv$, $384.5{\mu}Sv$, $377.3{\mu}Sv$ at 15MV. Conclusion : As a result, it is possible to reduce photoneutron dose using FFF mode and VMAT method with TrueBeam $ST{\time}TM$. The risk for secondary cancer of the patients will be decreased with continuous evaluation of the photoneutron dose.

A Review Examining the Dating, Analysis of the Painting Style, Identification of the Painter, and Investigation of the Documentary Records of Samsaebulhoedo at Yongjusa Temple (용주사(龍珠寺) <삼세불회도(三世佛會圖)> 연구의 연대 추정과 양식 분석, 작가 비정, 문헌 해석의 검토)

  • Kang, Kwanshik
    • MISULJARYO - National Museum of Korea Art Journal
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    • v.97
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    • pp.14-54
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    • 2020
  • The overall study of Samsaebulhoedo (painting of the Assembly of Buddhas of Three Ages) at Yongjusa Temple has focused on dating it, analyzing the painting style, identifying its painter, and scrutinizing the related documents. However, its greater coherence could be achieved through additional support from empirical evidence and logical consistency. Recent studies on Samsaebulhoedo at Yongjusa Temple that postulate that the painting could have been produced by a monk-painter in the late nineteenth century and that an original version produced in 1790 could have been retouched by a painter in the 1920s using a Western painting style lack such empirical proof and logic. Although King Jeongjo's son was not yet installed as crown prince, the Samsaebulhoedo at Yongjusa Temple contained a conventional written prayer wishing for a long life for the king, queen, and crown prince: "May his majesty the King live long / May her majesty the Queen live long / May his highness the Crown Prince live long" (主上殿下壽萬歲, 王妃殿下壽萬歲, 世子邸下壽萬歲). Later, this phrase was erased using cinnabar and revised to include unusual content in an exceptional order: "May his majesty the King live long / May his highness the King's Affectionate Mother (Jagung) live long / May her majesty the Queen live long / May his highness the Crown Prince live long" (主上殿下壽萬歲, 慈宮邸下壽萬歲, 王妃殿下壽萬歲, 世子邸下壽萬歲). A comprehensive comparison of the formats and contents in written prayers found on late Joseon Buddhist paintings and a careful analysis of royal liturgy during the reign of King Jeongjo reveal Samsaebulhoedo at Yongjusa Temple to be an original version produced at the time of the founding of Yongjusa Temple in 1790. According to a comparative analysis of formats, iconography, styles, aesthetic sensibilities, and techniques found in Buddhist paintings and paintings by Joseon court painters from the eighteenth and nineteenth centuries, Samsaebulhoedo at Yongjusa Temple bears features characteristic of paintings produced around 1790, which corresponds to the result of analysis on the written prayer. Buddhist paintings created up to the early eighteenth century show deities with their sizes determined by their religious status and a two-dimensional conceptual composition based on the traditional perspective of depicting close objects in the lower section and distant objects above. This Samsaebulhoedo, however, systematically places the Buddhist deities within a threedimensional space constructed by applying a linear perspective. Through the extensive employment of chiaroscuro as found in Western painting, it expresses white highlights and shadows, evoking a feeling that the magnificent world of the Buddhas of the Three Ages actually unfolds in front of viewers. Since the inner order of a linear perspective and the outer illusion of chiaroscuro shading are intimately related to each other, it is difficult to believe that the white highlights were a later addition. Moreover, the creative convergence of highly-developed Western painting style and techniques that is on display in this Samsaebulhoedo could only have been achieved by late-Joseon court painters working during the reign of King Jeongjo, including Kim Hongdo, Yi Myeong-gi, and Kim Deuksin. Deungun, the head monk of Yongjusa Temple, wrote Yongjusa sajeok (History of Yongjusa Temple) by compiling the historical records on the temple that had been transmitted since its founding. In Yongjusa sajeok, Deungun recorded that Kim Hongdo painted Samsaebulhoedo as if it were a historical fact. The Joseon royal court's official records, Ilseongnok (Daily Records of the Royal Court and Important Officials) and Suwonbu jiryeong deungnok (Suwon Construction Records), indicate that Kim Hongdo, Yi Myeong-gi, and Kim Deuksin all served as a supervisor (gamdong) for the production of Buddhist paintings. Since within Joseon's hierarchical administrative system it was considered improper to allow court painters of government position to create Buddhist paintings which had previously been produced by monk-painters, they were appointed as gamdong in name only to avoid a political liability. In reality, court painters were ordered to create Buddhist paintings. During their reigns, King Yeongjo and King Jeongjo summoned the literati painters Jo Yeongseok and Kang Sehwang to serve as gamdong for the production of royal portraits and requested that they paint these portraits as well. Thus, the boundary between the concept of supervision and that of painting occasionally blurred. Supervision did not completely preclude painting, and a gamdong could also serve as a painter. In this light, the historical records in Yongjusa sajeok are not inconsistent with those in Ilseongnok, Suwonbu jiryeong deungnok, and a prayer written by Hwang Deok-sun, which was found inside the canopy in Daeungjeon Hall at Yongjusa Temple. These records provided the same content in different forms as required for their purposes and according to the context. This approach to the Samsaebulhoedo at Yongjusa Temple will lead to a more coherent explanation of dating the painting, analyzing its style, identifying its painter, and interpreting the relevant documents based on empirical grounds and logical consistency.

A Study of Factors Associated with Software Developers Job Turnover (데이터마이닝을 활용한 소프트웨어 개발인력의 업무 지속수행의도 결정요인 분석)

  • Jeon, In-Ho;Park, Sun W.;Park, Yoon-Joo
    • Journal of Intelligence and Information Systems
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    • v.21 no.2
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    • pp.191-204
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    • 2015
  • According to the '2013 Performance Assessment Report on the Financial Program' from the National Assembly Budget Office, the unfilled recruitment ratio of Software(SW) Developers in South Korea was 25% in the 2012 fiscal year. Moreover, the unfilled recruitment ratio of highly-qualified SW developers reaches almost 80%. This phenomenon is intensified in small and medium enterprises consisting of less than 300 employees. Young job-seekers in South Korea are increasingly avoiding becoming a SW developer and even the current SW developers want to change careers, which hinders the national development of IT industries. The Korean government has recently realized the problem and implemented policies to foster young SW developers. Due to this effort, it has become easier to find young SW developers at the beginning-level. However, it is still hard to recruit highly-qualified SW developers for many IT companies. This is because in order to become a SW developing expert, having a long term experiences are important. Thus, improving job continuity intentions of current SW developers is more important than fostering new SW developers. Therefore, this study surveyed the job continuity intentions of SW developers and analyzed the factors associated with them. As a method, we carried out a survey from September 2014 to October 2014, which was targeted on 130 SW developers who were working in IT industries in South Korea. We gathered the demographic information and characteristics of the respondents, work environments of a SW industry, and social positions for SW developers. Afterward, a regression analysis and a decision tree method were performed to analyze the data. These two methods are widely used data mining techniques, which have explanation ability and are mutually complementary. We first performed a linear regression method to find the important factors assaociated with a job continuity intension of SW developers. The result showed that an 'expected age' to work as a SW developer were the most significant factor associated with the job continuity intention. We supposed that the major cause of this phenomenon is the structural problem of IT industries in South Korea, which requires SW developers to change the work field from developing area to management as they are promoted. Also, a 'motivation' to become a SW developer and a 'personality (introverted tendency)' of a SW developer are highly importantly factors associated with the job continuity intention. Next, the decision tree method was performed to extract the characteristics of highly motivated developers and the low motivated ones. We used well-known C4.5 algorithm for decision tree analysis. The results showed that 'motivation', 'personality', and 'expected age' were also important factors influencing the job continuity intentions, which was similar to the results of the regression analysis. In addition to that, the 'ability to learn' new technology was a crucial factor for the decision rules of job continuity. In other words, a person with high ability to learn new technology tends to work as a SW developer for a longer period of time. The decision rule also showed that a 'social position' of SW developers and a 'prospect' of SW industry were minor factors influencing job continuity intensions. On the other hand, 'type of an employment (regular position/ non-regular position)' and 'type of company (ordering company/ service providing company)' did not affect the job continuity intension in both methods. In this research, we demonstrated the job continuity intentions of SW developers, who were actually working at IT companies in South Korea, and we analyzed the factors associated with them. These results can be used for human resource management in many IT companies when recruiting or fostering highly-qualified SW experts. It can also help to build SW developer fostering policy and to solve the problem of unfilled recruitment of SW Developers in South Korea.

A Time Series Graph based Convolutional Neural Network Model for Effective Input Variable Pattern Learning : Application to the Prediction of Stock Market (효과적인 입력변수 패턴 학습을 위한 시계열 그래프 기반 합성곱 신경망 모형: 주식시장 예측에의 응용)

  • Lee, Mo-Se;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.24 no.1
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    • pp.167-181
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    • 2018
  • Over the past decade, deep learning has been in spotlight among various machine learning algorithms. In particular, CNN(Convolutional Neural Network), which is known as the effective solution for recognizing and classifying images or voices, has been popularly applied to classification and prediction problems. In this study, we investigate the way to apply CNN in business problem solving. Specifically, this study propose to apply CNN to stock market prediction, one of the most challenging tasks in the machine learning research. As mentioned, CNN has strength in interpreting images. Thus, the model proposed in this study adopts CNN as the binary classifier that predicts stock market direction (upward or downward) by using time series graphs as its inputs. That is, our proposal is to build a machine learning algorithm that mimics an experts called 'technical analysts' who examine the graph of past price movement, and predict future financial price movements. Our proposed model named 'CNN-FG(Convolutional Neural Network using Fluctuation Graph)' consists of five steps. In the first step, it divides the dataset into the intervals of 5 days. And then, it creates time series graphs for the divided dataset in step 2. The size of the image in which the graph is drawn is $40(pixels){\times}40(pixels)$, and the graph of each independent variable was drawn using different colors. In step 3, the model converts the images into the matrices. Each image is converted into the combination of three matrices in order to express the value of the color using R(red), G(green), and B(blue) scale. In the next step, it splits the dataset of the graph images into training and validation datasets. We used 80% of the total dataset as the training dataset, and the remaining 20% as the validation dataset. And then, CNN classifiers are trained using the images of training dataset in the final step. Regarding the parameters of CNN-FG, we adopted two convolution filters ($5{\times}5{\times}6$ and $5{\times}5{\times}9$) in the convolution layer. In the pooling layer, $2{\times}2$ max pooling filter was used. The numbers of the nodes in two hidden layers were set to, respectively, 900 and 32, and the number of the nodes in the output layer was set to 2(one is for the prediction of upward trend, and the other one is for downward trend). Activation functions for the convolution layer and the hidden layer were set to ReLU(Rectified Linear Unit), and one for the output layer set to Softmax function. To validate our model - CNN-FG, we applied it to the prediction of KOSPI200 for 2,026 days in eight years (from 2009 to 2016). To match the proportions of the two groups in the independent variable (i.e. tomorrow's stock market movement), we selected 1,950 samples by applying random sampling. Finally, we built the training dataset using 80% of the total dataset (1,560 samples), and the validation dataset using 20% (390 samples). The dependent variables of the experimental dataset included twelve technical indicators popularly been used in the previous studies. They include Stochastic %K, Stochastic %D, Momentum, ROC(rate of change), LW %R(Larry William's %R), A/D oscillator(accumulation/distribution oscillator), OSCP(price oscillator), CCI(commodity channel index), and so on. To confirm the superiority of CNN-FG, we compared its prediction accuracy with the ones of other classification models. Experimental results showed that CNN-FG outperforms LOGIT(logistic regression), ANN(artificial neural network), and SVM(support vector machine) with the statistical significance. These empirical results imply that converting time series business data into graphs and building CNN-based classification models using these graphs can be effective from the perspective of prediction accuracy. Thus, this paper sheds a light on how to apply deep learning techniques to the domain of business problem solving.

Performance Improvement on Short Volatility Strategy with Asymmetric Spillover Effect and SVM (비대칭적 전이효과와 SVM을 이용한 변동성 매도전략의 수익성 개선)

  • Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.26 no.1
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    • pp.119-133
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    • 2020
  • Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.