• Management Science and Financial Engineering
• /
• 제18권2호
• /
• pp.1-4
• /
• 2012

We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.

• 경영과학
• /
• 제31권3호
• /
• pp.1-12
• /
• 2014

This study suggests the two types DEA models such as DEA CCR model and Super Efficiency model to evaluate the value of a company and to apply them for the investments. 14 kinds of real data of companies such as EV/EBITDA, EPS growth rate, PCR, PER, dividend yield, PBR, stock price/net current asset, debt ratio, current ratio, ROE, operating margin, inventory turnover, accounts receivable turnover, and sales growth ratio were used as input variables of DEA models. 12 year data from December 30, 2000 up to December 30, 2012 were collected, and the data with negative, missing and 0 values were removed reflecting the characteristics of the DEA. In order to verify the effectiveness of the models, we compared the historical variability and rate of return of both models those of the market. Study results are as follows. First, two DEA models are more stable than market in terms of rate of return because the historical variability of both models are less than that of market. Second, Super Efficiency model is more stable than CCR model. Lastly, the cumulative rate of return of Super Efficiency model (434%) is greater than that of the CCR model (420%) and that of the market (269%).

• Industrial Engineering and Management Systems
• /
• 제9권2호
• /
• pp.121-130
• /
• 2010

In today's uncertain economic environment, economic risk is inherent in making large investments on manufacturing facilities. It is, therefore, practically meaningful to divide investment over multiple periods, reducing the risk of investment. Then, the cash-flow over the entire planning horizon would comprise positive inflow and negative outflow. In this case, in general, evaluation by internal rate of return (IRR) is not feasible, because multiple IRRs are involved. This paper deals with a problem of evaluating profitability, as well as risk, of investment alternatives made in multiple times of investment over the entire horizon. Typically, an additional investment is required after the initial one, for expanding manufacturing capacity or other reasons. The paper pays attention to a unit cash-flow over two periods, decomposing the total cash-flow into a series of unit cash-flow patterns. It is easy to evaluate profitability of a unit cash-flow by using IRR. The total cash-flow can be decomposed into the series of two types of unit cash-flows: an investment type one (negative-positive) and the borrowing type one (positive-negative). This paper, therefore, proposes a method in which only the borrowing type unit cash-flow is eliminated in the series by converting total cash-flow using capital interest rate. Then, a unique IRR can be obtained and the profitability is evaluated. Thus, the paper extends the method of IRR so that it may help decision making in complicated cash-flow pattern observed in practice.

• Asian Journal of Business Environment
• /
• 제11권4호
• /
• pp.17-29
• /
• 2021

Purpose: The aim of this study is to explore the dynamic linkage between conditional stock market volatility and macroeconomic uncertainty of Bangladesh. Research design, data, and methodology: This study uses monthly data covering the time period from January 2005 to December 2018. A comprehensive set of macroeconomic variables, namely industrial production index (IP), consumer price index (CPI), broad money supply (M2), 91-day treasury bill rate (TB), treasury bond yield (GB), exchange rate (EX), inflow of foreign remittance (RT) and stock market index of DSEX are used for analysis. Symmetric and asymmetric univariate GARCH family of models and multivariate VAR model, along with block exogeneity and impulse response functions, are implemented on conditional volatility series to discover the possible interactions and causal relations between macroeconomic forces and stock return. Results: The analysis of the study exhibits time-varying volatility and volatility persistence in all the variables of interest. Moreover, the asymmetric effect is found significant in the stock return and most of the growth series of macroeconomic fundamentals. Results from the multivariate VAR model indicate that only short-term interest rate significantly influence the stock market volatility, while conditional stock return volatility is significant in explaining the volatility of industrial production, inflation, and treasury bill rate. Conclusion: The findings suggest an increasing interdependence between the money market and equity market as well as the macroeconomic fundamentals of Bangladesh.

• 전기전자학회논문지
• /
• 제23권3호
• /
• pp.1038-1045
• /
• 2019

본 논문에서는 데이터 전송 속도를 제한하는 채널의 대역폭 문제를 해결하기 위한 방법으로 널리 사용되는 고속 듀오바이너리(duobinary) 송수신단 설계기술 동향을 서술한다. 고속 전송 환경에서는 전송 신호의 주파수가 채널의 대역폭보다 커지게 되어 신호의 손실이 극심해지는 문제가 생긴다. 듀오바이너리 신호는 같은 전송속도를 가지는 Non-Return-to-Zero 신호와 비교했을 때 수식적으로 더 낮은 주파수 대역폭을 가진다. 따라서 고주파 신호일수록 손실정도가 커지는 실제 데이터 채널 환경에서 듀오바이너리 신호기법을 사용함으로써 신호 손실을 효과적으로 줄일 수 있다. 이러한 듀오바이너리 신호기법의 수학적 분석과 더불어 듀오바이너리 신호기법을 고속 송수신단 설계에 적용한 여러 방법들에 대해 탐구한다.

• 한국물환경학회지
• /
• 제22권5호
• /
• pp.905-912
• /
• 2006

In this paper, simulation methods of the system dynamics model developed by Das et al. (1997) for activated-sludge wastewater treatment plants are illustrated in an attempt to determine the operating rules and the policies related to capacity expansion of an activated-sludge wastewater treatment plant. For existing conditions, the analyses were performed by varying activated-sludge return rate to observe changes in effluent water quality and treatment efficiency. The effluent water quality is also analyzed for various average daily inflow conditions and activated-sludge return rates. As a result, without expanding the aeration tank, maximum average daily inflow that can satisfy the effluent water quality standard of BOD $0.02kg/m^3$ was determined as $2,840m^3/hr$, subject to 100% of activated-sludge return rate while other factors remain constant. When the activated-sludge return rate is less than 100%, expansion of the aeration tank is necessary and minimum sizes of the aeration tank to satisfy the effluent water quality standard were determined for various activated-sludge return rates. In addition, the total operating and maintenance as well as unit treatment cost regression equations for activated-sludge wastewater treatment plants are suggested by using the cost data that are obtained from Water and Wastewater Division, Ministry of Environment. The regression analyses showed that the economies of scale phenomena exist in the operating and maintenance costs of activated-sludge wastewater treatment plants.

• 대한족부족관절학회지
• /
• 제23권2호
• /
• pp.52-57
• /
• 2019

Purpose: An ingrown nail is common in military trainees who are exposed to highly demanding activities. Although the matrixectomy procedure has been the main treatment modality, several drawbacks may follow after the procedure, such as infection, periostitis, and continued pain that causes a delayed return to duty. This study examined the outcomes of a simple partial nail extraction with the hypothesis that this procedure may bring an earlier return to duty, lower the perioperative complications, and produce a comparable recurrence rate. Materials and Methods: The medical records of patients who had surgical treatment for an ingrown nail in the authors' institution between April 2016 and December 2017 were reviewed retrospectively. Under the inclusion and exclusion criteria, 28 patients with a simple partial nail extraction (group A) and 29 patients with a partial nail extraction with matrixectomy (group B) were investigated. As the clinical outcome, the visual analogue scale (VAS) and satisfaction score, time to return to duty, complications, and recurrence rate were checked and compared between the groups. Results: The VAS scores of group B were significantly higher during the first (p<0.001) and second (p=0.026) follow-up week than group A. The time to return to duty was shorter in group A (7.8 days) than group B (10.1 days), and this difference was significant (p<0.001). Group B had five patients with complications, whereas group A had none (p=0.028). No differences in the recurrence rate (p=0.197) and patient satisfaction (p=0.764) were found between the groups. Conclusion: In this study, simple partial nail extraction in military trainees resulted in lower postoperative pain, lower complication rates, and earlier return to duty than the procedure with matrixectomy. Military trainees are temporarily exposed to highly demanding activities. Thus, a satisfactory outcome would be expected with simple partial nail extraction without performing a radical procedure, such as a matrixectomy.

• 한국원자력학회:학술대회논문집
• /
• 한국원자력학회 1995년도 추계학술발표회논문집(2)
• /
• pp.544-549
• /
• 1995

An analysis for Steam Line Break (SLB) events which result in a return-to-power conditions after reactor trip was performed for a postulated Yonggwang Nuclear Power Plant Unit 3 cycle 8. Analysis methodology for post-trip return-to-power SLB is quite different from that of a no return-to-power SLB and is more complicated. Therefore, it is necessary to develop an methodology to analyze the response of the NSSS parameter and the fuel performance for the post-trip return-to-power SLB events. In this analysis, the cases with and without offsite power were simulated by crediting 3-D reactivity feedback effect due to local heatup around stuck CEA and compared with the cases without 3-D reactivity feedback with respect to fuel performance, departure from nucleate boiling ratio (DNBR) and linear heat generation rate (LHGR).

• 한국수자원학회논문집
• /
• 제37권3호
• /
• pp.249-255
• /
• 2004

농업용수 회귀율을 조사하기 위하여 2003년 관개기 동안 많은 실측을 수행하였다. 본 연구지역은 경상남도 창녕군에 위치한 대암양수장 유역일원이다. 관개용수를 공급하기위하여 건설된 대암 양수장 유역 내 논에 대하여 물수지분석을 실시하였다. 본 연구지역에서의 일 강우량 자료를 수집하였으며, 또한 관개율, 배수율, 침투 및 증발산을 실측하였다. 관개량과 배수량은 기록형수위계(GTDL-L10)를 설치하여 관계기 동안 지속적으로 관측하였다 침투 및 증발산은 직경 3mm PVC 감수심계 및 직경 200mm PVC 침투계를 이용하여 측정하였다. 총관개량 및 총 지표배수량은 654.7mm와281.2mm로 나타났으며, 총 침투량과 총증발산량은 각각 36.0mm 및 160.0mm였고, 일평균 증발산량은 4.3mm/d 였다. 신속회귀율과 지연회귀율은 각각 43.0% 및 5.5%로 전체회귀율은 48.5 %로 나타났다. 따라서, 본 시험지구에서 공급된 관개용수량이 설계기준보다 훨씬 많은 양의 관개용수를 공급하고 있음을 알 수 있었다. 이는 적정한 용수관리원칙 보다는 지역주민들의 요구에 의한 과다공급으로 인한 부적적한 용수관리에 기인하는 것으로, 추후에 농업용수설계기준을 현실에 맞게 변경해야함을 의미한다.

• KDI Journal of Economic Policy
• /
• 제27권1호
• /
• pp.81-122
• /
• 2005

본고의 목적은 우리나라 기업의 연구개발투자의 특성을 파악하고 연구개발투자의 경제적 효과로 연구개발투자 수익률을 추정하는 것이다. 이를 위하여 695개 기업에 대한 8년간의 관측치가 존재하는 5,560개 표본으로 구성된 패널 데이터를 구축하였다. 패널 데이터를 이용하여 먼저 기업 연구개발투자의 특성을 파악하고자 하였다. 우리나라 기업의 연구개발투자의 특성은 선행 연구결과에서 정립된 이른바 정형화된 사실에서 벗어나지 않음을 확인할 수 있었다. 특히 강조할 점은 연구개발투자의 생산성 효과와 연구개발투자 자체의 생산성을 구별하여야 한다는 것이다. 즉, 연구개발투자를 많이 하는 기업이 생산성이 높은 것은 사실이지만 연구개발투자와 생산성 증가의 관련성은 높지 않으며, 연구개발투자에 있어서도 다른 실물투자와 마찬가지로 수익체증보다는 오히려 수익체감의 법칙이 작용한다는 점이다. Klette 모형을 이용하여 연구개발투자 수익률 및 지식스톡의 진부화율을 추정하였다. 실증분석결과에 의하면 이들 기업의 연구개발투자의 사적 수익률은 산업 전체로는 평균값 기준 7.7% 또는 중간값 기준 16.4% 수준으로, 제조업에 한정하면 평균값 기준 10.4% 또는 중간값 기준 16.4% 수준으로 추정되었다. 한편, 지식스톡의 진부화율은 산업 전체로는 32.9%로, 산업별로는 최하 11.6%(금속)에서 최대 49.5%(서비스) 범위로 추정되었다. 제조업 기업의 연구개발투자 수익률은 실질이자율의 두 배 정도로 추정할 수 있다. 자본시장이 효율적으로 작동한다면, 연구개발투자의 수익률은 자본의 기회비용에 추가하여 연구개발의 지대(rent)로 구성된다고 할 수 있다. 연구개발투자를 지속적으로 수행하는 우리나라 기업은 대체로 자본의 기회비용 이상의 초과 수익을 향유하고 있다는 결론이 가능하다.