• Journal of Digital Convergence
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• v.7 no.4
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• pp.11-19
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• 2009

Electronic methods are already used in money transfer and credit cards transactions and electronic money and checks, which can substitute cash and coins, are being discussed. Recently, the Acts of Electronic Draft have been enacted, in order to make the money in the market flow efficiently. Also electronic bill of lading has been adopted for the practical use of international shipments. However, despite of the effort from the academia and practice, investments to stocks, especially in the stock exchange, is not quite perfectly electronic. Japan enacted a relevant act in 2004 which make its stock market totally dematerialized. This writing summarizes some issues in interpretation that arise in the course of operation of the Stock Electronic Registration System at the present time of 6 months after it came into effect and its purpose, by doing so, is to prevent in advance the kind of problems in introducing the similar system to Korea.

• The Korean Journal of Financial Management
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• v.14 no.2
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• pp.313-333
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• 1997

'90년대 주식시장의 특징 가운데 하나는 주가차별화 현상이고, 국내경기에서 나타난 특징 가운데 하나는 경기의 양극화(兩極化) 현상과 산업별 차별화(差別化) 현상이다. 실물부문에서의 산업간 차별화 현상은 실물경기에 바탕을 두고 있는 주식시장에 많은 영향을 미칠 수 있는데 본고에서는 산업간 차별화현상이 주식시장의 업종별 차별화에 어느 정도 영향을 미치고 있는가를 분석하였다. 본 연구결과 경기의 대용변수인 '산업생산지수 변동률'이 주가지수 차별화에 별다른 영향을 주지 못하는 것으로 나타나 최근 주식시장과 경기와의 괴리감을 설명해 주고 있다. 반면, 나무제조업 및 종이제조업은 주당순이익(EPS)의 차이로 인하여 주가지수가 타산업의 주가지수와 차이를 보이고 있다. 이는 우리 주식시장에서 주당순이익(株當純利益)(EPS)의 변동이 업종별 주가차별화의 요인으로 작용한다고 볼 수 있다.

• The Korean Journal of Financial Studies
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• v.3 no.1
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• pp.213-231
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• 1996

In this study we conduct a specification test of at-the-money option volatility. Results show that the implied volatility estimate recovered from the Black-Scholes European option pricing model is nearly indistinguishable from the implied volatility estimate obtained from the Barone-Adesi and Whaley's American option pricing model. This study also investigates whether the use of Black-Scholes implied volatility estimates in American put pricing model significantly affect the prediction the prediction of American put option prices. Results show that, at long as the possibility of early exercise is carefully controlled in calculation of implied volatilities prediction of American put prices is not significantly distorted. This suggests that at-the-money option implied volatility estimates are robust across option pricing model.

• IE interfaces
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• v.25 no.2
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• pp.163-169
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• 2012

This paper proposes an efficient portfolio management methodology named sSPPM with consideration of risk and required return. sSPPM employs Markowitz's portfolio model to select securities and adopts ($s$, $S$) policy that is a well-known technique in the inventory control area to revise the current portfolio. Computational experiments using virtual stock prices generated by monte carlo simulation method as well as real stock ones of KOSPI for recent 4 years are conducted to show the excellence of the portfolio management under ($s$, $S$) policy framework. The result shows that sSPPM is remarkably superior to both 6 or 12 months based periodic portfolio revision method and market (KOSPI index).

• Electronics and Telecommunications Trends
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• v.22 no.6
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• pp.150-157
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• 2007

최근 $3{\sim}4$4년 동안 국내외적으로 RFID 기술에 대한 많은 연구와 시범 사업들이 진행되어 왔다. RFID 기술의 응용 중 하나로 RFID 태그를 유가증권에 장착하여 안전하고 신뢰성 있는 유가증권 시스템을 구축하려는 연구가 진행되기도 하였다. 그러나 RFID 기반 유가증권 보호 시스템의 선도적인 개념을 정리한 연구결과는 있었으나 전제 조건이 현재의 기술 수준과 비용 부담을 넘어서기 때문에 실제 적용하기에는 한계가 있다. 본고에서는 RFID 기반 유가증권 보호 시스템의 구성 요소를 중심으로 현재의 기술 개발 동향을 살펴보고, 각 구성 요소의 기술 수준과 보안 요구사항을 고려하여 RFID 기반 유가증권 보호 시스템에 대해 단계적으로 보안 강도를 높여 나갈 수 있는 보안 대책을 제시한다. 본 고의 분석과 제언은 RFID 기반 유가증권 보호 시스템을 상용화하는 데 참조될 수 있을 것이며, 다양한 변형 구조로 발전할 수 있을 것으로 기대된다.

• Annual Conference on Human and Language Technology
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• 2013.10a
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• pp.126-128
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• 2013

빅데이터(Big Data)는 현재 생산되고 있는 데이터 중 그 규모가 방대하고, 생성 주기가 짧으며, 수치 데이터 뿐 아니라 텍스트 이외의 멀티미디어 등 비정형화된 데이터를 포함하는 대규모 데이터를 말한다. 빅데이터를 처리하여 가치 있는 정보를 추출하는 방법에 관한 연구가 활발하게 진행되고 있으며, 이를 바탕으로 빅데이터가 다양한 분야에서 활용되고 있다. 현재 국내 주식시장에서도 빅데이터를 이용하여 기업의 투자에 활용하고 있다. 이 논문에서는 인터넷의 증권과 관련된 뉴스를 수집하여 수집된 뉴스와 주가 지수를 이용하여 기업 뉴스 평가 시스템을 개발하는 방법을 제안한다.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.32 no.4
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• pp.63-71
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• 2009

The traditional portfolio optimization problem is to find an investment plan for securities with reasonable trade-off between the rate of return and the risk. The seminal work in this field is the mean-variance model by Markowitz, which is a quadratic programming problem. Since it is now computationally practical to solve the model, a number of alternative models to overcome this complexity have been proposed. In this paper, among the alternatives, we focus on the Mean Absolute Deviation (MAD) model. More specifically, we developed an algorithm to obtain an optimal portfolio from the MAD model. We showed mathematically that the algorithm can solve the problem to optimality. We tested it using the real data from the Korean Stock Market. The results coincide with our expectation that the method can solve a variety of problems in a reasonable computational time.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1557-1567
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• 2014

In this paper, I propose a general hypothesis that after the enactment of the Sarbanes-Oxley Act (SOA) financial statements convey more accurate and reliable corporate information to investors who in turn reflect such improvements in stock prices and test four practical hypotheses that simultaneously feature the degree of information asymmetry, forecast bias, and investor reaction to biased earnings information. The empirical results unanimously suggest that the post-SOA investors take advantage of the improvement in informational efficiency and accuracy and actively adjust for analyst forecast bias in earnings forecasts. The SOA indeed appears to achieve its primary goal of investor protection.

• Industrial Engineering and Management Systems
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• v.8 no.2
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• pp.93-100
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• 2009

In this paper, we review widely used methods to extract local volatility surfaces (LVSs) from implied volatility surfaces (IVSs) and suggest a model averaging method for constructing implied and local volatility surfaces weighted by trading volumes. It makes use of model averaging method by means of bandwidth priors, and then produces a robust LVS estimation. The method is shown to provide the information about the confidence interval of estimators as well as a rather less variable weighted mean value for the IVS and LVS. To show the merits of our proposed method, we conduct simulations on equity-linked warrants (ELWs) with reasonable and acceptable results.

• Journal of the Korean Society of Safety
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• v.23 no.6
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• pp.91-99
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• 2008

The identification of thermal hazards associated with a process such as heats of reaction and understanding of thermodynamics before any large scale operations are undertaken. The evaluation of thermal behavior with operating conditions such as a reaction temperature, stirrer speed and reactants concentration in neutralization process of pigment plant are described. The experiments were performed by a sort of calorimetry with multimax reactor system The aim of the study was to evaluate the results of heat of reaction in terms of safety reliability to be practical applications. It suggested that we be proposed safe operating conditions and securities for accident prevention on reactor explosion through this study.