• 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%.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.13 no.4
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• pp.1690-1698
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• 2012

As alcohol use is one of the most important risk factors for injuries, this study was intended to clarify and evaluate any relationship between drinking patterns and the incidence rates/specific characteristics of injuries in adult populations, using a widely accepted tool, the Alcohol Use Disorders Identification Test (chronic alcohol drinking behaviors measurement, hereinafter the AUDIT) developed by the World Health Organization to help to assess the behaviors in a more accurate and reliable manner. This study used the data collected from the 2009 Korea National Health and Nutrition Examination Survey (KNHANES), in which 7,511 of 7,893 adult participants aged ${\geq}19$ years answered the questions about injuries, and excluding 104 non-respondents, 6,258 of participants in the questionnaire survey of drinking patterns were finally analyzed. The incidence rates and specific characteristics of injuries as classified by the AUDIT categories (i.e., body regions, types and mechanisms) were assessed and estimated in terms of their relative risk using t-test, ANOVA, and logistic regression. SPSS 19.0 statistical package software was employed for statistical analyses. These analyses indicate that the incidence rates of overall injuries were significantly higher in male respondents than in female respondents. The risks of alcohol use related injuries were 8.3 times higher in male respondents than in female ones. Regarding educational background, high school graduates showed the highest rates in the AUDIT with significant difference from the other groups. The married group and the group of respondents having monthly income estimated at KRW 2.01 to 3 million also showed the highest rates in the AUDIT compared to the other groups, indicating statistically significant difference. Significantly increased in problematic drinkers and those with alcohol dependence, the incidence rate of injuries body regions was 0.0371 in the head/neck, and with respect to the AUDIT and the mechanisms of external causes of injuries, transport accidents ranked first, followed by slippage, others, crash and fall. In regard to the classified types of injuries, it was statistically significant in others (e.g., laceration, contusion, addiction, or penetrating wound). In conclusion, the mechanisms of external causes of injuries as well as injuries attributed to alcohol use are very important, and a strategy is required to reduce such the injuries in the manner of decreasing the frequency of drinking after motivation by professional counsellors.