• Journal of Intelligence and Information Systems
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• v.23 no.2
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• pp.107-122
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• 2017

Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

• Asia pacific journal of information systems
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• v.18 no.3
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• pp.123-145
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• 2008

Recently, as the information communication technology develops, the discussion regarding the ubiquitous environment is occurring in diverse perspectives. Ubiquitous environment is an environment that could transfer data through networks regardless of the physical space, virtual space, time or location. In order to realize the ubiquitous environment, the Pervasive Sensing technology that enables the recognition of users' data without the border between physical and virtual space is required. In addition, the latest and diversified technologies such as Context-Awareness technology are necessary to construct the context around the user by sharing the data accessed through the Pervasive Sensing technology and linkage technology that is to prevent information loss through the wired, wireless networking and database. Especially, Pervasive Sensing technology is taken as an essential technology that enables user oriented services by recognizing the needs of the users even before the users inquire. There are lots of characteristics of ubiquitous environment through the technologies mentioned above such as ubiquity, abundance of data, mutuality, high information density, individualization and customization. Among them, information density directs the accessible amount and quality of the information and it is stored in bulk with ensured quality through Pervasive Sensing technology. Using this, in the companies, the personalized contents(or information) providing became possible for a target customer. Most of all, there are an increasing number of researches with respect to recommender systems that provide what customers need even when the customers do not explicitly ask something for their needs. Recommender systems are well renowned for its affirmative effect that enlarges the selling opportunities and reduces the searching cost of customers since it finds and provides information according to the customers' traits and preference in advance, in a commerce environment. Recommender systems have proved its usability through several methodologies and experiments conducted upon many different fields from the mid-1990s. Most of the researches related with the recommender systems until now take the products or information of internet or mobile context as its object, but there is not enough research concerned with recommending adequate store to customers in a ubiquitous environment. It is possible to track customers' behaviors in a ubiquitous environment, the same way it is implemented in an online market space even when customers are purchasing in an offline marketplace. Unlike existing internet space, in ubiquitous environment, the interest toward the stores is increasing that provides information according to the traffic line of the customers. In other words, the same product can be purchased in several different stores and the preferred store can be different from the customers by personal preference such as traffic line between stores, location, atmosphere, quality, and price. Krulwich(1997) has developed Lifestyle Finder which recommends a product and a store by using the demographical information and purchasing information generated in the internet commerce. Also, Fano(1998) has created a Shopper's Eye which is an information proving system. The information regarding the closest store from the customers' present location is shown when the customer has sent a to-buy list, Sadeh(2003) developed MyCampus that recommends appropriate information and a store in accordance with the schedule saved in a customers' mobile. Moreover, Keegan and O'Hare(2004) came up with EasiShop that provides the suitable tore information including price, after service, and accessibility after analyzing the to-buy list and the current location of customers. However, Krulwich(1997) does not indicate the characteristics of physical space based on the online commerce context and Keegan and O'Hare(2004) only provides information about store related to a product, while Fano(1998) does not fully consider the relationship between the preference toward the stores and the store itself. The most recent research by Sedah(2003), experimented on campus by suggesting recommender systems that reflect situation and preference information besides the characteristics of the physical space. Yet, there is a potential problem since the researches are based on location and preference information of customers which is connected to the invasion of privacy. The primary beginning point of controversy is an invasion of privacy and individual information in a ubiquitous environment according to researches conducted by Al-Muhtadi(2002), Beresford and Stajano(2003), and Ren(2006). Additionally, individuals want to be left anonymous to protect their own personal information, mentioned in Srivastava(2000). Therefore, in this paper, we suggest a methodology to recommend stores in U-market on the basis of ubiquitous environment not using personal information in order to protect individual information and privacy. The main idea behind our suggested methodology is based on Feature Matrices model (FM model, Shahabi and Banaei-Kashani, 2003) that uses clusters of customers' similar transaction data, which is similar to the Collaborative Filtering. However unlike Collaborative Filtering, this methodology overcomes the problems of personal information and privacy since it is not aware of the customer, exactly who they are, The methodology is compared with single trait model(vector model) such as visitor logs, while looking at the actual improvements of the recommendation when the context information is used. It is not easy to find real U-market data, so we experimented with factual data from a real department store with context information. The recommendation procedure of U-market proposed in this paper is divided into four major phases. First phase is collecting and preprocessing data for analysis of shopping patterns of customers. The traits of shopping patterns are expressed as feature matrices of N dimension. On second phase, the similar shopping patterns are grouped into clusters and the representative pattern of each cluster is derived. The distance between shopping patterns is calculated by Projected Pure Euclidean Distance (Shahabi and Banaei-Kashani, 2003). Third phase finds a representative pattern that is similar to a target customer, and at the same time, the shopping information of the customer is traced and saved dynamically. Fourth, the next store is recommended based on the physical distance between stores of representative patterns and the present location of target customer. In this research, we have evaluated the accuracy of recommendation method based on a factual data derived from a department store. There are technological difficulties of tracking on a real-time basis so we extracted purchasing related information and we added on context information on each transaction. As a result, recommendation based on FM model that applies purchasing and context information is more stable and accurate compared to that of vector model. Additionally, we could find more precise recommendation result as more shopping information is accumulated. Realistically, because of the limitation of ubiquitous environment realization, we were not able to reflect on all different kinds of context but more explicit analysis is expected to be attainable in the future after practical system is embodied.

• The Korean Journal of Air & Space Law and Policy
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• v.32 no.1
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• pp.3-51
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• 2017

From a historical point of view, while the Warsaw Convention was passed in 1924 to regulate the unified judicial responsibility in the global air transportation industry, protection of airline consumers was somewhat lacking in protecting air carriers. In principle, the air carrier does not bear any obligation or liability when the aircraft is not operated normally due to natural disasters such as typhoon or heavy snowfall. However, in recent years, in developed countries such as the US and Europe, there has been a movement in which regulates the air carriers' obligation to protect their passengers even if there is no misconduct or negligence. Furthermore, the legislation of such advanced countries imposes an obligation on the airlines to compensate the loss separately from damages in case the abnormal operation of the aircraft is not caused by force majeure but caused by their negligence. Under this historical and international context, Korea is also modifying the system of aviation consumer protection by referring to other foreign legislation. However, when compared with foreign countries, our norm has a few drawbacks. First, the airline's protection or care obligations are mixed with the legal liability for damages in the provision, which seems to be due to the lack of understanding of the airline's passenger protection obligation. The liability for damages, which is governed by the International Convention or the Commercial Act, shall be determined by judging the cause of the airline's liability in respect of the damage of the individual passenger in the course of the air transportation. However, the duty to care and the burden for compensation shall be granted to all passengers who feel uncomfortable with the abnormal operation regardless of the cause of the accident. Also, our compensation system for denied boarding due to oversale is too low compared to the case of foreign countries, and setting the compensation amount range differently based on the time for the re-routing is somewhat unclear. Regarding checked-baggage claim, it will be necessary to refund the fee only from the fact that the baggage is delayed without asking whether there is any damage occurred from the delayed baggage. This is the content of the duty to care, which is different from the current Commercial Act or the international convention, in which responsibility is different depending on whether the airline takes all the necessary measures in order to prevent delaying of the baggage. The content of force majeure, which is a requirement for exemption from the obligation to care passengers on the airplane, shall be reconsidered. Maintenance for safe navigation is not considered to be included in force majeure, and connection to airplanes, airport conditions are disputable. According to the EC Regulation, if the cause of the abnormal operation of the airline is force majeure, the airline's compensation obligation is exempted but the duty to care of airline company is still meaningful. Furthermore, even if the main role of aviation consumer protection is on an airline, it is the responsibility of government agencies to supervise the fulfillment of such protection obligations. Therefore, it is necessary for the Korean government to actively take measures such as enforcing incentives for airlines that faithfully fulfill their obligation to care and imposed penalties on the contrary.

• Progress in Medical Physics
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• v.22 no.3
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• pp.140-147
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• 2011

The purpose of this study was to estimate internal motion using molecular sieve for quantitative improvement of lung tumor and to localize lung tumor in the small animal PET image by evaluated data. Internal motion has been demonstrated in small animal lung region by molecular sieve contained radioactive substance. Molecular sieve for internal lung motion target was contained approximately 37 kBq Cu-64. The small animal PET images were obtained from Siemens Inveon scanner using external trigger system (BioVet). SD-Rat PET images were obtained at 60 min post injection of FDG 37 MBq/0.2 mL via tail vein for 20 min. Each line of response in the list-mode data was converted to sinogram gated frames (2~16 bin) by trigger signal obtained from BioVet. The sinogram data was reconstructed using OSEM 2D with 4 iterations. PET images were evaluated with count, SNR, FWHM from ROI drawn in the target region for quantitative tumor analysis. The size of molecular sieve motion target was $1.59{\times}2.50mm$. The reference motion target FWHM of vertical and horizontal was 2.91 mm and 1.43 mm, respectively. The vertical FWHM of static, 4 bin and 8 bin was 3.90 mm, 3.74 mm, and 3.16 mm, respectively. The horizontal FWHM of static, 4 bin and 8 bin was 2.21 mm, 2.06 mm, and 1.60 mm, respectively. Count of static, 4 bin, 8 bin, 12 bin and 16 bin was 4.10, 4.83, 5.59, 5.38, and 5.31, respectively. The SNR of static, 4 bin, 8 bin, 12 bin and 16 bin was 4.18, 4.05, 4.22, 3.89, and 3.58, respectively. The FWHM were improved in accordance with gate number increase. The count and SNR were not proportionately improve with gate number, but shown the highest value in specific bin number. We measured the optimal gate number what minimize the SNR loss and gain improved count when imaging lung tumor in small animal. The internal motion estimation provide localized tumor image and will be a useful method for organ motion prediction modeling without external motion monitoring system.

• The Korean Journal of Nuclear Medicine
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• v.38 no.3
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• pp.259-267
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• 2004

Purpose: NEMA NU2-2001 was proposed as a new standard for performance evaluation of whole body PET scanners. in this study, system performance of Siemens CTI ECAT EXACT 47 PET scanner including spatial resolution, sensitivity, scatter fraction, and count rate performance in 2D and 3D mode was evaluated using this new standard method. Methods: ECAT EXACT 47 is a BGO crystal based PET scanner and covers an axial field of view (FOV) of 16.2 cm. Retractable septa allow 2D and 3D data acquisition. All the PET data were acquired according to the NEMA NU2-2001 protocols (coincidence window: 12 ns, energy window: $250{\sim}650$ keV). For the spatial resolution measurement, F-18 point source was placed at the center of the axial FOV((a) x=0, and y=1, (b)x=0, and y=10, (c)x=70, and y=0cm) and a position one fourth of the axial FOV from the center ((a) x=0, and y=1, (b)x=0, and y=10, (c)x=10, and y=0cm). In this case, x and y are transaxial horizontal and vertical, and z is the scanner's axial direction. Images were reconstructed using FBP with ramp filter without any post processing. To measure the system sensitivity, NEMA sensitivity phantom filled with F-18 solution and surrounded by $1{\sim}5$ aluminum sleeves were scanned at the center of transaxial FOV and 10 cm offset from the center. Attenuation free values of sensitivity wire estimated by extrapolating data to the zero wall thickness. NEMA scatter phantom with length of 70 cm was filled with F-18 or C-11solution (2D: 2,900 MBq, 3D: 407 MBq), and coincidence count rates wire measured for 7 half-lives to obtain noise equivalent count rate (MECR) and scatter fraction. We confirmed that dead time loss of the last flame were below 1%. Scatter fraction was estimated by averaging the true to background (staffer+random) ratios of last 3 frames in which the fractions of random rate art negligibly small. Results: Axial and transverse resolutions at 1cm offset from the center were 0.62 and 0.66 cm (FBP in 2D and 3D), and 0.67 and 0.69 cm (FBP in 2D and 3D). Axial, transverse radial, and transverse tangential resolutions at 10cm offset from the center were 0.72 and 0.68 cm (FBP in 2D and 3D), 0.63 and 0.66 cm (FBP in 2D and 3D), and 0.72 and 0.66 cm (FBP in 2D and 3D). Sensitivity values were 708.6 (2D), 2931.3 (3D) counts/sec/MBq at the center and 728.7 (2D, 3398.2 (3D) counts/sec/MBq at 10 cm offset from the center. Scatter fractions were 0.19 (2D) and 0.49 (3D). Peak true count rate and NECR were 64.0 kcps at 40.1 kBq/mL and 49.6 kcps at 40.1 kBq/mL in 2D and 53.7 kcps at 4.76 kBq/mL and 26.4 kcps at 4.47 kBq/mL in 3D. Conclusion: Information about the performance of CTI ECAT EXACT 47 PET scanner reported in this study will be useful for the quantitative analysis of data and determination of optimal image acquisition protocols using this widely used scanner for clinical and research purposes.

• Korean Journal of Food Science and Technology
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• v.40 no.4
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• pp.436-442
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• 2008

Hydroxyproline and Pro-Hyp dipeptide are the digestive products of collagen hydrolysate called collagen peptide. Some suggested that collagen peptides could improve aged or damaged skins, however, the effects of collagen peptides on the skin have not been known. In this study, we investigated the effects of digestive products of collagen peptides, hydroxyproline and Pro-Hyp dipeptide on skin quality using the UV-damaged dorsal skin of hairless mouse as a model system. Female SKH hairless mice were pre-irradiated with UV for 7 weeks, and then hydroxyproline, Pro-Hyp dipeptide were orally administered for 7 weeks with UV irradiation. Wrinkle formation (by replica image), skin elasticity, barrier status (by TEWL, transepidermal water loss), epidermis thickness, and biophysical changes in the stratum comeum (by hematoxylin & eosin staining) were examined. With the oral peptide treatment, effects such as skin barrier maintenance, anti-skin thickening, and recovery of the stratum corneum were observed. These results indicate that oral intake of collagen peptides may have beneficial effects on damaged skin cells.

• Journal of Korean Medicine Rehabilitation
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• v.19 no.1
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• pp.135-143
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• 2009

Objectives : Low back pain(LBP) is a common disabling disease in clinical practice and loss of working hours due to this condition is huge. The aim of this study was to determine if there was an association between fat deposit of paraspinal muscles as observed on MRI scans in patients presenting with unilateral LBP. Methods : 24 patients who visiting our hospital with a clinical presentation of unilateral LBP were recruited to the study. Patients were between 20 and 30 years and had a history of unilateral LBP within 12 months. After MRI scaning, the images were saved in DICOM file format for Picture Archiving and Communication System(PACS). The percentage of fat infiltrated area was measured using a pseudocoloring technique. Data were analyzed comparing the fat deposits of the muscles on the symptomatic and asymptomatic sides. Paired t-test was used to find the difference between the measurements of fat tissue in individual patients. Results : The amount of fat in the symptomatic side was $7.6{\pm}4.51%$, asymptomatic side was $6.7{\pm}4.29%$. There were increases, statistically significant, in the fat changes of the paraspinal muscles at the L4-5 disc level(P <0.05). Also, men were likely than women to have more fat deposit in symptomatic side(men $8.5{\pm}5.1%$, women $6.5{\pm}3.6%$). Conclusions : The amount of fat in the symptomatic side shows significantly increased than asymptomatic side in the paraspinal muscles at the L4-5 disc level. It suggested that fat infiltration in the muscles associated with LBP. Further studies will be needed to confirm the relationship between the muscle fatty changes and LBP in the large sample size. In addition, the correlation of pain severity with fat infiltration needs to be addressed.

• The Journal of Fisheries Business Administration
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• v.37 no.1 s.70
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• pp.25-44
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• 2006

Under the provision of Article 63 of the Enforcement Regulation of the Act on Acquisition and Compensation of Land and Others for Public Project that is recently enacted and implemented (hereinafter referred to as the 'Lend Compensation Act') the compensation is required to make 'When the Actual Damage Amount' is confirmed for the damage in fishery affairs that is outside of the public project area. The compensation for fishery business on the indirect damage area has been excluded from the advance compensation subject to conflict with the existing laws on fishery business compensation with the controversy in method, procedure, time and others to confirm the actual damage amount, and it lacks the standard of calculation for detailed compensation on partial damages outside of business implementation area, which caused the ceaseless conflicts and straggles between the project implementation party and the victimized fishermen regarding the calculation method of damages, standard, compensation period and others. In particular, from the numerous problems in damage compensation in fishery on the indirect damage area, the most recent problem emerged is the issue on application method of damage period in calculating the damage compensation amount that the struggle has been deepened with the differences between the project implementation party and the victimized fishermen without the stipulation on the compensation, that caused the difficulties in carrying out the public project and other serious social problems. In this study, the reasonable application method for the damage period and the calculation plan of the damage amount for calculating the damages on fishery industry outside of the public project implementation zone that is not fully specified under the Land Compensation Act, and the indirect damage area is not influenced for the notification of project recognition, and the compensation to undertake with the damage in the fishery industry in project implementation area to have the nature of damage compensation, the right to engage in fishery industry has the perpetual nature of rights, the fishery damage compensation system of Japan also recognizes the perpetual right on fishery industry to calculate the compensation amount, and the compensation for damage amount has been exercised for the period of actual damage occurrence period regardless of remaining effective period for most of fishery permit and license for fishery compensation outside of the project implementation area following the recent various public projects as well as the development process of theory on fishery loss compensation that the calculation of damage amount on the fishery industry outside of the project implementation zone would be prudent to compensate by calculating the applicable damages during the period of actual damages, and by doing so, the 'just compensation' guaranteed under the Constitution may be materialized. Therefore, the calculation of the damages from the implementation of the public project shall consider the actual period of damages and the degree of damage from the public project to calculate by the income capitalization method, however, considering the equitable consideration with the compensation following the cancellation, it shall not exceed the compensation following the termination of the applicable fishery businesses. Furthermore, the calculation method of partial damage amount on the fishery business following the project implementation shall apply, depending on the period of damage occurrence, by (1) the case of calculating the future damage amount at the present time, and (2) calculating the damage from the past to the present time as well as the damage to be incurred later, by selecting the calculation method for damages following the damage occurrence type.

• KOREAN JOURNAL OF PACKAGING SCIENCE & TECHNOLOGY
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• v.24 no.2
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• pp.85-89
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• 2018

The effects of distribution temperature due to season all changes on quality and storability of baby leaf beet (Beta vulgaris L.) was examined in modified atmosphere (MA) packages. The beet leaf had been harvested at the 10 cm leaf length stage and packaged with an oxygen transmission rate (OTR) film of $1,300cc{\cdot}m^{-2}{\cdot}day^{-1}{\cdot}atm^{-1}$ and then held at 4 different distribution temperatures which were $-2^{\circ}C$, $4^{\circ}C$, $20^{\circ}C$, or $30^{\circ}C$ for 5 hrs and then stored for 18 days at $8^{\circ}C$. The loss of fresh weight of packged baby leaf beet was lowest at the $4^{\circ}C$ treatment, and below 0.6% in all distribution temperature treatments. The atmosphere composition in packages did not show any significant differences among treatments. The oxygen conc. was the highest at 18.0% after the $4^{\circ}C$ treatment, carbon dioxide conc. showed the maximum value of 4% at the $30^{\circ}C$ and $-2^{\circ}C$ treatments, and ethylene conc. was highest at the $10^{\circ}C$ treatment after 10 days in storage. The hardness was the highest at the $4^{\circ}C$ treatment on the final storage day. The $4^{\circ}C$ treatment showed the highest visual quality and the lowest off-odor and aerobic plate count. Therefore, it is necessary to establish a low-temperature distribution system which is controlled under $4^{\circ}C$, because the baby leaf beet's storability and microbial growth are effected even during a short time of 5 hrs during the distribution process.

• KOREAN JOURNAL OF CROP SCIENCE
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• v.40 no.2
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• pp.185-194
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• 1995

The prevention of excessive use of nitrogen fertilizer get an attention in Korea not only for minimizing $NO_3^-$ contamination of groundwater but also for establishment of environmental friendly sustainable agriculture. In order to find out the dynamics of $NO_3^-$ in barley rhizosphere and its suitability for nitrogen fertilization strategies and for environmental control, the accumulation of $NO_3^-$ in 3 layer, 0~30cm, 30~60cm, 60~90cm of soil profile has been detected in winter barley pro-duction system. It showed the recommended N fertilization rate for winter barley cause the $NO_3^-$ contamination of groundwater through $NO_3^-$ leaching during winter. The $NO_3^-$ content of 0~90cm soil depth have directly reflected the amount of basal N fertilization in the early spring, but not 0~30cm and 0~60cm soil depth. The contents of $NO_3^-$ measured to 0~30cm, 0~60cm soil depth were not significanly correlated with yield but the contents of $NO_3^-$ measured to 90cm soil depth was highly correlated with yield. Nitrogen fertilizer requirement could be estimated accurately by soil test and it provides field specific N rate recommendation for spring N application to winter barley. It was concluded that $N_{min}$ method could be applied to korean climatic and soil condition for optimal fertilizer application rate.