• Asia-Pacific Journal of Business Venturing and Entrepreneurship
• /
• v.9 no.2
• /
• pp.15-21
• /
• 2014

The long memory properties of the hedge ratio for stock and futures have not been systematically investigated by the extant literature. To investigate hedge ratio' long memory, this paper employs a data set including KOSPI200 and S&P500. Coakley, Dollery, and Kellard(2008) employ a data set including a stock index and commodities foreign exchange, and suggested the S&P500 to be a fractionally integrated process. This paper firstly estimates hedge ratios with two dynamic models, BEKK(Bollerslev, Engle, Kroner, and Kraft) and diagonal-BEKK, and tests the long memory of hedge ratios with Geweke and Porter-Hudak(1983)(henceforth GPH) and Lo's modified rescaled adjusted range test by Lo(1991). In empirical results, two hedge ratios based on KOSPI200 and S&P500 show considerably significant long memory behaviours. Thus, such results show the hedge ratios to be stationary and strongly reject the random walk hypothesis on hedge ratios, which violates the efficient market hypothesis.

• Communications for Statistical Applications and Methods
• /
• v.25 no.4
• /
• pp.443-451
• /
• 2018

$P^M_{\lambda}$-service policy is a workload dependent hysteretic policy. The policy has two service states comprised of the ordinary stage and the fast stage. An ordinary service stage is initiated by the arrival of a customer in an idle state. When the workload of the server surpasses threshold ${\lambda}$, the ordinary service stage changes to the fast service state, and it continues until the system is empty. These service stages alternate in this manner. When the cost of changing service stages is high, the hysteretic policy is more efficient than the threshold policy, where a service stage changes immediately into the other service stage at either case of the workload's surpassing or crossing down a threshold. $P^M_{\lambda}$-service policy is a modification of $P^M_{\lambda}$-policy proposed to control finite dams, and also an extension of the well-known D-policy. The distributions of the stationary workload of $P^M_{\lambda}$-service policy and its variants are studied well. However, there is no known result on the sojourn time distribution. We prove that there is a relation between the sojourn time of a customer and the first up-crossing time of the workload process over the threshold ${\lambda}$ after the arrival of the customer. Using the relation and the duality of M/G/1 and G/M/1 queues, we obtain conditional sojourn time distributions in M/G/1 and G/M/1 queues under the policy.

• Journal of Internet Computing and Services
• /
• v.12 no.1
• /
• pp.1-10
• /
• 2011

The spectrum sensing is one of the fundamental functions to realize the cognitive radios. One of problems in the spectrum sensing is that the performance of spectrum sensing can be degraded due to fading and shadowing. In order to overcome the problem, cooperative spectrum sensing method is proposed, which uses a distributed detection model and can increase sensing performance. However, the performance of cooperative spectrum sensing can be still affected by the interference factors such as obstacle and malicious user. Especially, most of cooperative spectrum sensing methods only considered the stationary primary user. In the ubiquitous environment, however the mobile primary users should be considered. In order to overcome the aforementioned problem, in this paper we propose a robust spectrum detection method based on localization where we estimate the location of the mobile primary user, and then based on the location and transmission range of primary user we detect interference users if there are, and then the local sensing reporting from detected interference users are excluded in the decision fusion process. Through simulation, it is shown that the sensing performance of the proposed scheme is more accurate than that of conventional other schemes

• Applied Chemistry for Engineering
• /
• v.19 no.5
• /
• pp.512-518
• /
• 2008

The present work studied the selective catalytic reduction (SCR) of NO to $N_2$ by $NH_3$ over $V/TiO_2$ focusing on NOx control for the stationary sources. The SCR process depends mainly on the catalyst performance. The reaction characteristics of SCR with $V/TiO_2$ catalysts were closely examined at low and high temperature. In addition, adsorption and desorption characteristics of the reactants on the catalyst surface were investigated with ammonia. Seven different $TiO_2$ supports containing the same loading of vanadia were packed in a fixed bed reactor respectively. The interaction between $TiO_2$ and vanadia would form various non-stoichiometric vanadium oxides, and showed different reaction activities. There were optimum calcination temperatures for each samples, indicating different reactivity. It was finally found from the $NH_3-TPD$ test that the SCR activity was nothing to do with $NH_3$ adsorption amount.

• Transactions of the Korean Society of Automotive Engineers
• /
• v.16 no.5
• /
• pp.37-43
• /
• 2008

The durability test of turbo-blower for PEM fuel cell is very important process of BOP development. It is a major barrier to the commercialization of these systems for stationary and transportation power applications. Commercial viability depends on improving the durability of the air supply system to increase the reliability and to reduce the lifetime cost. In this study, turbo-blower supported by oil-free bearing is introduced as the air supply system used by 80kW proton exchange membrane fuel systems. The turbo-blower is a turbo machine which operates at high speed, so air foil bearings suit their purpose as bearing elements. The impeller of blower was adopted mixed type of centrifugal and axial. So, it has several advantages for variable operating condition. The turbo-blower test results show maximum parasitic power levels below 1.67kW with the 30,000 rpm rotating speed, the flow rate of air has maximum 163SCFM(@PR1.1). For proper application of FCV, these have to durability test. This paper describes the experiment for confirming endurance and stability of the turbo-blower for 500 hours.

• Korean Journal of Food Science and Technology
• /
• v.40 no.1
• /
• pp.111-114
• /
• 2008

Adsorption isotherm with the most fundamental information related to chromatography process is obtained experimentally. The adsorption isotherm of 2-deoxyuridine (dUrd) and 2-deoxycytidine (dCyd) with ${\mu}$-Bondapak $C_{18}$, static method was adopted in RP-HPLC. The concentrations of mobile and stationary phases were measured with different initial concentrations of dUrd and dCyd, 1, 3, 5, 7, 10 mg/mL, respectively. The adsorption isotherm data were applied by Freundlich, Langmuir, Sips, and Radke-Prausnitz model equations. As a result of the regression analysis, standard error between adsorption isotherm of dUrd and Radke-Prausnitz equation was very low, and adsorption isotherm of dCyd was in an agreement with Sips equation very well.

• Journal of Korea Society of Industrial Information Systems
• /
• v.23 no.5
• /
• pp.19-32
• /
• 2018

This study focuses on an M/M/1 queue with an attached continuous-type inventory. The customers arrive into the system according to the Poisson process, and are served in their arrival order; i.e., first-come-first-served. The service times are assumed to be independent and identically distributed exponential random variable. At a service completion epoch, the customer consumes a random amount of inventory. The inventory is controlled by the traditional (s, S)-inventory policy with a generally distributed lead time. A customer that arrives during a stock-out period assumed to be lost. For the number of customers and the inventory size, we derive a product-form stationary joint probability distribution and provide some numerical examples. Besides, an operational strategy for the inventory that minimizes the long-term cost will also be discussed.

• Journal of the Korean Institute of Intelligent Systems
• /
• v.12 no.5
• /
• pp.417-423
• /
• 2002

In this paper, we propose intelligent steering control system that apply LIBL(Linguistic Instruction Based Learning) method to steering system of ship and take the place of process that linguistic instruction such as officer s steering instruction is achieved via ableman. We embody ableman s suitable steering manufacturing model using fuzzy inference rule by specific method of study, and apply LIBL method to present suitable meaning element and evaluation rule to steering system of ship, embody intelligent steering gear control system that respond more efficiently on officer s linguistic instruction. We presented evaluation rule to constructed steering manufacturing model based on ableman s experience, and propose rudder angle for steering system, compass bearing arrival time, meaning element of stationary state, and correct ableman manufacturing model rule using fuzzy inference. Also, we apply LIBL method to ship control simulator and confirmed the effectiveness.

• Wind and Structures
• /
• v.13 no.6
• /
• pp.529-556
• /
• 2010

This paper investigates the correlation of wind characteristics monitored on a cable-stayed bridge. Total five anemoscopes are implemented into the bridge. Two out of 5 anemoscopes in inflow and two out of 5 anemoscopes in wake-flow along the longitudinal direction of the bridge are installed. Four anemoscopes are respectively distributed at two cross-sections. Another anemoscope is installed at the top of the tower. The correlation of mean wind speed and direction, power spectral density, the turbulent intensity and integral length of wind in flow at two cross-sections are investigated. In addition, considering the non-stationary characteristics of wind, the spatial correlation in time-frequency is analyzed using wavelet transform and different phenomenon from those obtained through FFT is observed. The time-frequency analysis further indicates that intermittence, coherence structures and self-similar structures are distinctly observed from fluctuant wind. The flow characteristics around the bridge deck at two positions are also investigated using the field measurement. The results indicate that the mean wind speed decrease when the flow passing through the deck, but the turbulence intensity become much larger and the turbulence integral lengths become much smaller compared with those of inflow. The relationship of RMS (root mean square) of wake-flow and the mean wind speed of inflow is approximately linear. The special structures of wake-flow in time-frequency domain are also analyzed using wavelet transform, which aids to reveal the forming process of wake-flow.

• Journal of the Korea Society of Computer and Information
• /
• v.13 no.7
• /
• pp.75-82
• /
• 2008

Control of dam gates is a complex, nonlinear, and non-stationary control process and is significantly affected by hydrological conditions which are not predictable beforehand. In this paper, we proposed control methods based on a fuzzy inference method for the operation of dam gates. The proposed methods are not only suitable for controlling gates but also able to maintain target water level in order to prepare a draught, and able to control the amount of the outfow from a reservoir in order to prevent floods in lower areas of a river. In the proposed methods, we used the dynamic fuzzy inference method that membership functions can be varied by changing environment conditions for keeping up the target water level instead of conventional static fuzzy inference methods, and used additional fuzzy rules and membership functions for restricting the amount of the outflow. Simulation results demonstrated that the proposed methods produce an efficient solution for both of maintaining target water level defined beforehand and controlling the amount of the outflow.