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VKOSPI Forecasting and Option Trading Application Using SVM (SVM을 이용한 VKOSPI 일 중 변화 예측과 실제 옵션 매매에의 적용)

  • Ra, Yun Seon;Choi, Heung Sik;Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.22 no.4
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    • pp.177-192
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    • 2016
  • Machine learning is a field of artificial intelligence. It refers to an area of computer science related to providing machines the ability to perform their own data analysis, decision making and forecasting. For example, one of the representative machine learning models is artificial neural network, which is a statistical learning algorithm inspired by the neural network structure of biology. In addition, there are other machine learning models such as decision tree model, naive bayes model and SVM(support vector machine) model. Among the machine learning models, we use SVM model in this study because it is mainly used for classification and regression analysis that fits well to our study. The core principle of SVM is to find a reasonable hyperplane that distinguishes different group in the data space. Given information about the data in any two groups, the SVM model judges to which group the new data belongs based on the hyperplane obtained from the given data set. Thus, the more the amount of meaningful data, the better the machine learning ability. In recent years, many financial experts have focused on machine learning, seeing the possibility of combining with machine learning and the financial field where vast amounts of financial data exist. Machine learning techniques have been proved to be powerful in describing the non-stationary and chaotic stock price dynamics. A lot of researches have been successfully conducted on forecasting of stock prices using machine learning algorithms. Recently, financial companies have begun to provide Robo-Advisor service, a compound word of Robot and Advisor, which can perform various financial tasks through advanced algorithms using rapidly changing huge amount of data. Robo-Adviser's main task is to advise the investors about the investor's personal investment propensity and to provide the service to manage the portfolio automatically. In this study, we propose a method of forecasting the Korean volatility index, VKOSPI, using the SVM model, which is one of the machine learning methods, and applying it to real option trading to increase the trading performance. VKOSPI is a measure of the future volatility of the KOSPI 200 index based on KOSPI 200 index option prices. VKOSPI is similar to the VIX index, which is based on S&P 500 option price in the United States. The Korea Exchange(KRX) calculates and announce the real-time VKOSPI index. VKOSPI is the same as the usual volatility and affects the option prices. The direction of VKOSPI and option prices show positive relation regardless of the option type (call and put options with various striking prices). If the volatility increases, all of the call and put option premium increases because the probability of the option's exercise possibility increases. The investor can know the rising value of the option price with respect to the volatility rising value in real time through Vega, a Black-Scholes's measurement index of an option's sensitivity to changes in the volatility. Therefore, accurate forecasting of VKOSPI movements is one of the important factors that can generate profit in option trading. In this study, we verified through real option data that the accurate forecast of VKOSPI is able to make a big profit in real option trading. To the best of our knowledge, there have been no studies on the idea of predicting the direction of VKOSPI based on machine learning and introducing the idea of applying it to actual option trading. In this study predicted daily VKOSPI changes through SVM model and then made intraday option strangle position, which gives profit as option prices reduce, only when VKOSPI is expected to decline during daytime. We analyzed the results and tested whether it is applicable to real option trading based on SVM's prediction. The results showed the prediction accuracy of VKOSPI was 57.83% on average, and the number of position entry times was 43.2 times, which is less than half of the benchmark (100 times). A small number of trading is an indicator of trading efficiency. In addition, the experiment proved that the trading performance was significantly higher than the benchmark.

Continuous Wet Oxidation of TCE over Supported Metal Oxide Catalysts (금속산화물 담지촉매상에서 연속 습식 TCE 분해반응)

  • Kim, Moon Hyeon;Choo, Kwang-Ho
    • Korean Chemical Engineering Research
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    • v.43 no.2
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    • pp.206-214
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    • 2005
  • Heterogeneously-catalyzed oxidation of aqueous phase trichloroethylene (TCE) over supported metal oxides has been conducted to establish an approach to eliminate ppm levels of organic compounds in water. A continuous flow reactor system was designed to effect predominant reaction parameters in determining catalytic activity of the catalysts for wet TCE decomposition as a model reaction. 5 wt.% $CoO_x/TiO_2$ catalyst exhibited a transient period in activity vs. on-stream time behavior, suggesting that the surface structure of the $CoO_x$ might be altered with on-stream hours; regardless, it is probable to be the most promising catalyst. Not only could the bare support be inactive for the wet decomposition reaction at $36^{\circ}C$, but no TCE removal also occurred by the process of adsorption on $TiO_2$ surface. The catalytic activity was independent of all particle sizes used, thereby representing no mass transfer limitation in intraparticle diffusion. Very low TCE conversion appeared for $TiO_2$-supported $NiO_x$ and $CrO_x$ catalysts. Wet oxidation performance of supported Cu and Fe catalysts, obtained through an incipient wetness and ion exchange technique, was dependent primarily on the kinds of the metal oxides, in addition to the acidic solid supports and the preparation routes. 5 wt.% $FeO_x/TiO_2$ catalyst gave no activity in the oxidation reaction at $36^{\circ}C$, while 1.2 wt.% Fe-MFI was active for the wet decomposition depending on time on-stream. The noticeable difference in activity of the both catalysts suggests that the Fe oxidation states involved to catalytic redox cycle during the course of reaction play a significant role in catalyzing the wet decomposition as well as in maintaining the time on-stream activity. Based on the results of different $CoO_x$ loadings and reaction temperatures for the decomposition reaction at $36^{\circ}C$ with $CoO_x/TiO_2$, the catalyst possessed an optimal $CoO_x$ amount at which higher reaction temperatures facilitated the catalytic TCE conversion. Small amounts of the active ingredient could be dissolved by acidic leaching but such a process gave no appreciable activity loss of the $CoO_x$ catalyst.

A Study on Analysis of Investment Effects of Farm Mechanization, Korea -Mainly on the Case Study of Saemaeul Farm Mechanization Groups in Nonsan Area, Chungnam Province- (농업기계화(農業機械化)의 투자효과분석(投資效果分析)에 관(關)한 연구(硏究) -충남논산지역(忠南論山地域) 새마을 기계화영농단(機械化營農團)을 중심(中心)으로-)

  • Lim, Jae Hwan;Han, Gwan Soon
    • Korean Journal of Agricultural Science
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    • v.14 no.1
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    • pp.164-185
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    • 1987
  • The Korean economy has been developed rapidly in the course of implementing the five year economic development plans since 1962. Accordingly the industrial and employment structure have been changed from the traditional agriculture to modem industrial economy. In the course of implementing export oriented industrialization policies, rural farm economy has been encountered labour shortage owing to rural farm population drain to urban areas, rural wage hike and pressure on farm operation costs, and possibility of farm productivity decrease. To cope with the above problems the Korean government has supplied farm machinery such as power tillers, tractors, transplanters, binders, combines, dryers and etc. by means of the favorable credit support and subsidies. The main objectives of this study are to identify the investment effects of farm mechanization such as B/C and Internal Rate of Return by machinery and operation patterns, changes of labour requirement per 10a for rice culture since 1965, partial farm budget of rice with and without mechanization, and estimation labour input with full mechanization. To achieve the objectives Saemaeul farm mechanization groups, common ownership and operation, and farms with private ownership and operation were surveyed mainly in Nonsan granary area, Chungnam province. The results of this study are as follows 1. The national average of labor input per 10a of paddy has decreased from 150.1Hr in 1965 to 87.2Hr in 1985 which showes 42% decrease of labour inputs. On the other hand the hours of labour input in Nonsan area have also decreased from 150.1Hr to 92.8Hr, 38% of that in 1965, during the same periods. 2. The possible labor saving hours per 10a of Paddy was estimated at 60 hours by substituting machine power for labor forces in the works of plowing, puddling, transplanting, harvesting and threshing, transporting and drying The labor savings were derived from 92.8 hours in 1986 deducting 30 hours of labor input with full mechanization in Nonsan area. 3. Social benefits of farm mechanization were estimated at 124,734won/10a including increment of rice (10%): 34,064won,labour saving: 65,800won,savings of conventional farm implements: 18,000 won and savings of animal power: 6,870won. 4. Rental charges by works prevailing in the area were 12,000won for land preparation, 15,000won for transplanting with seedlings, 19,500won for combine works and 6,000won for drying paddy. 5. Farm income per 10a of paddy with and without mechanization were amounted to 247,278won and 224,768won respectively. 6. Social rate of return of the machinery were estimated at more than 50% in all operation patterns. On the other hand internal rate of return of the machinery except tractors were also more than 50% but IRR of tractors by operation patterns were equivalent to 0 to 9%. From the view point of farmers financial status, private owner-operation of tractors is considered uneconomical. Tractor operation by Saemaeul mechanization groups would be economical considering the government subsidy, 40% of tractor price. 7. Farmers recommendations for the government that gained through field operation of farm machinery are to train maintenance technology for rural youth, to standardize the necessary parts of machinery, to implement price tag system, to intercede spare parts and provide marketing information to farmers by rural institutions as RDA,NACF,GUN office and FLIA.

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Geophysical Study on the Geoelectrical Structure of the Hwasan Caldera in the Euisung Sub-basin Using Magnetotelluric Survey (자기지전류 탐사를 이용한 의성소분지 화산 칼데라의 지구물리학적 연구)

  • Yang, Jun-Mo;Kwon, Byung-Doo;Cho, In-Ky;Lee, Heui-Soon;Park, Gye-Soon;Um, Joo-Young
    • Geophysics and Geophysical Exploration
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    • v.11 no.2
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    • pp.99-108
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    • 2008
  • To extend our detailed knowledge for the Hwasan caldera, we carried out magnetotelluric (MT) survey, which is pretty sensitive to electrical property variation in both horizontal and vertical direction of subsurface, across the Hwasan caldera with the direction of EW. The 2-D inversion results of observed MT data lead to following conclusions. Firstly, the depth of the basin basement inferred by the MT inversion results matches well with that suggested by previous potential studies, but the basement resistivity seems fairly low when compared to that of general case. This feature might be related with the large-scaled, highly conductive layer beneath the Euisung Sub-basin suggested by the previous MT study. Secondly, the high resistivity zones reaching to 4000 $\Omega{\cdot}m$ are imaged around two external ring fault boundaries. These zones are thought of as the response of the rhyolitic dykes intruding along the ring fault, and in the previous gravity data correspond to relatively high density anomalies. Thirdly, low resistivity zone reaching to 200 $\Omega{\cdot}m$ is detected around a depth of 1km beneath the central part of the caldera, which has not been yet reported in korean geophysical literatures. If we take account of the evolution model of the Hwasan caldera, this zone is regarded as the past sedimentary layer that subsided during the period of forming external ring fault system. In addition, the relatively low density anomaly observed in the central part of the caldera may be attributed to this sedimentary layer.

A Microgravity for Mapping and Monitoring the Subsurface Cavities (지하 공동의 탐지와 모니터링을 위한 고정밀 중력탐사)

  • Park, Yeong-Sue;Rim, Hyoung-Rae;Lim, Mu-Taek;Koo, Sung-Bon
    • Geophysics and Geophysical Exploration
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    • v.10 no.4
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    • pp.383-392
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    • 2007
  • Karstic features and mining-related cavities not only lead to severe restrictions in land utilizations, but also constitute serious concern about geohazard and groundwater contamination. A microgravity survey was applied for detecting, mapping and monitoring karstic cavities in the test site at Muan prepared by KIGAM. The gravity data were collected using an AutoGrav CG-3 gravimeter at about 800 stations by 5 m interval along paddy paths. The density distribution beneath the profiles was drawn by two dimensional inversion based on the minimum support stabilizing functional, which generated better focused images of density discontinuities. We also imaged three dimensional density distribution by growing body inversion with solution from Euler deconvolution as a priori information. The density image showed that the cavities were dissolved, enlarged and connected into a cavity network system, which was supported by drill hole logs. A time-lapse microgravity was executed on the road in the test site for monitoring the change of the subsurface density distribution before and after grouting. The data were adjusted for reducing the effects due to the different condition of each survey, and inverted to density distributions. They show the change of density structure during the lapsed time, which implies the effects of grouting. This case history at the Muan test site showed that the microgravity with accuracy and precision of ${\mu}Gal$ is an effective and practical tool for detecting, mapping and monitoring the subsurface cavities.

A Study on the Field Data Applicability of Seismic Data Processing using Open-source Software (Madagascar) (오픈-소스 자료처리 기술개발 소프트웨어(Madagascar)를 이용한 탄성파 현장자료 전산처리 적용성 연구)

  • Son, Woohyun;Kim, Byoung-yeop
    • Geophysics and Geophysical Exploration
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    • v.21 no.3
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    • pp.171-182
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    • 2018
  • We performed the seismic field data processing using an open-source software (Madagascar) to verify if it is applicable to processing of field data, which has low signal-to-noise ratio and high uncertainties in velocities. The Madagascar, based on Python, is usually supposed to be better in the development of processing technologies due to its capabilities of multidimensional data analysis and reproducibility. However, this open-source software has not been widely used so far for field data processing because of complicated interfaces and data structure system. To verify the effectiveness of the Madagascar software on field data, we applied it to a typical seismic data processing flow including data loading, geometry build-up, F-K filter, predictive deconvolution, velocity analysis, normal moveout correction, stack, and migration. The field data for the test were acquired in Gunsan Basin, Yellow Sea using a streamer consisting of 480 channels and 4 arrays of air-guns. The results at all processing step are compared with those processed with Landmark's ProMAX (SeisSpace R5000) which is a commercial processing software. Madagascar shows relatively high efficiencies in data IO and management as well as reproducibility. Additionally, it shows quick and exact calculations in some automated procedures such as stacking velocity analysis. There were no remarkable differences in the results after applying the signal enhancement flows of both software. For the deeper part of the substructure image, however, the commercial software shows better results than the open-source software. This is simply because the commercial software has various flows for de-multiple and provides interactive processing environments for delicate processing works compared to Madagascar. Considering that many researchers around the world are developing various data processing algorithms for Madagascar, we can expect that the open-source software such as Madagascar can be widely used for commercial-level processing with the strength of expandability, cost effectiveness and reproducibility.

Formation of Liquid Crystalline with Hydrogenated Lecithin and Its Effectiveness (수소첨가레시친을 이용한 액정 젤의 형성과 보습효과)

  • Kim, In-Young;Lee, Joo-Dong;Ryoo, Hee-Chang;Zhoh, Choon-Koo
    • Journal of the Society of Cosmetic Scientists of Korea
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    • v.30 no.2
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    • pp.159-165
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    • 2004
  • This study described about method that forms liquid crystal gel (LCG) by main ingredient with hydrogenated lechin (HL) in O/W emulsion system. Result of stability test is as following with most suitable LCG's composition. Composition of LCG is as following, to form liquid crystal, an emulsifier used 4.0wt% of cetostearyl alcohol (CA) by 4.0wt% of HL as a booster. Moisturizers contained 2wt% of glycerin and 3.0wt% of 1,3-butylene glycol (1,3-BG). Suitable emollients used 3.0wt% of cyclomethicone, 3.0wt% of isononyl isononanoate (ININ), 3.0wt% of cerpric/carprylic triglycerides (CCTG), 3.0wt% of macademia nut oil (MNO) in liquid crystal gel formation. On optimum conditions of LCG formation, the pHs were formed all well under acidity or alkalinity conditions (pH=4.0-11.0). Considering safety of skin, pH was the most suitable 6.0${\pm}$1.0 ranges. The stable hardness of LCG formation appeared best in 32 dyne/$\textrm{cm}^2$. Particle of LCG is forming size of 1-20$\mu\textrm{m}$ range, and confirmed that the most excellent LCG is formed in 1-6$\mu\textrm{m}$ range. According to result that observe shape of LCG with optical or polarization microscope, LCG could was formed, and confirmed that is forming multi -layer lamellar type structure around the LCG. Moisturizing effect measured clinical test about 20 volunteers. As a result, moisturizing effect of LCG compares to placebo cream was increased 36.6%. This could predicted that polyol group is appeared the actual state because is adsorbed much to round liquid crystal droplets to multi-lamellar layer's hydrophilic group. It could predicted that polyol group is vast quantity present phase that appear mixed because is adsorbed to round liquid crystal to multi-lamellar layer's hydrophilic group. This LCG formation theory may contribute greatly in cosmetics and pharmacy industry development.

Study on Hospital Environmental Causes Affected the Mother′s Comfort After Her Child Birth (산욕부 안위에 영향을 미치는 병원환경 요인에 관한 연구)

  • 변수자
    • Journal of Korean Academy of Nursing
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    • v.8 no.1
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    • pp.1-15
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    • 1978
  • The Purpose of this study is to examine closely the causes influenced upon the comfort and recovery of the woman delivered of a child in the hospital at the same time to understand environmental status of hospitals in order to promote mother's health recovery, and to improve hospital environment by emphasizing the meaning of environment and health before the medical staff and hospital administrative authority. In the method of servery of the research, 165 post paestum patients have been randomly selected who were accommodated and delivered their babies at OB(obstetric ) & GY (Gynecologic) unit the 7 general hospitals for the period of 6 December 1976 through 17 December 1976. As for the survey, it has been used of Questionnaire where we have 65 items in the respect of personal environment in the hospital such as trusting nurse, ability, reliability, kindness and etiquette of nurse and tile character of nurse the relationship with patients the other respect of physical environment included 9f temperature, moisture. air-ventilation lightening noise, cleanness. facilities, and the third realm being of mother's hearth ground to have the following conclusion 1. The feature of the collected personnel they are from OB or GY sects of from OB unit of the other 5 hospitals except the two general hospitals of the college or school Otherwise the rate of the patients to nurses would be 9 : 1. As for the nurses'ground it would be appeared of 20-25 years of age as the 76%. either 3 year course or 4 year course in the education would be each 50% and less than 2 year experience case would record as of 60 %. In the respect of hospital physical environmental status, there we have two hospitals without any thermometers, on the other han4 nowhere there's hygrometer, otherwise, the lightening is normal or over than normal As for the structure of noise protection the corridors're, generally speaking worse than rooms, nerver hueless, there's no ventilating system in the hospitals. The rooms'repainted in white and yellow, light green white, or green color. The patient's clothing were in green pink blue, light green or in white co for. There're not anything special in both decoration and equipments. Most of them used tall beds except in one hospital 2. To the extent of perception of patient's hatch 9round and hospital environment it is presented that they perceived nurse's ability in highest in total human variable, though perceived kindness or etiquette in the lowest otherwise, comparatively high in total average. 3. In the respect of physical environment it is highest perceived of lightening terms, otherwise, lowest perceived of air ventilation and total average became lowest than the one of the original record 4. To ages, in the respect of hatch ground rather old aged mother than the younger one has perceived that nurse would be trusting, in good service character, able, at the same time, liable, Otherwise, in physical environment regardless of age, they perceived lightening in high and remarkably lower in ventilation As a result of the examination of the difference in hospital environment to each age it is appeared of statistical difference at 5% level of ability in the personal environment otherwise little difference as for physical environment 5. In the respect of perceiving level to educational standard it is highly perceived of personal environment for higher ranking group rather than lower group in the educational standard. In case of physical environment it is highly perceived for lower level group rather than higher level group in educational background. The variables which have statistical significance at 5% level are from trusting kindness, etiquette and total kindness, etiquette and total all significance at 5% level are from trusting, kindness, etiquette and total human environment variable in personal environment, otherwise, there's little difference in the physical environment. 6. The perceiving level due to times of admission and accommodation at the hospital would be cleared out as gradual higher perception both physical and personal environment in the hospital. At 5% significant level of the ventilation condition in physical environmental variable it is presented of meaningful difference otherwise, there we have little difference both in Personal variable and other one. 7. In accordance with living standard, the perception degree of personal environment in tee hospital would be inclined to increase to higher living standard on the other hand, in case of the physical environment, the perception level world increase to lower living standard At 5 % level, the trustuariable and total scores in the personal eicuironmectal variable there appeared a meaningful/ significant difference otherwise, there presented little difference both in physical environmental and other variable to the living standard 8. Pertaining to family unit, the mother of an independent family unit perceived highly in all respect of the personal and the physical environment in the hospital rather than the woman of succeeding family unit. At 5 % level there appeared a difference in the respect of kindness and etiquette both in personal environment variable, on the other hand, there hardly marked a difference between other variable and physical environmental one. 9. The degree of perception to comforting level has little connection with a statistical difference the age, educational level hospital admitting times, living standard or family unit. 10. The most effective variable to mother's comforting level will be nurse's ability, reliability, trusting manner, and total physical environment variable in order.

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The Excluded from Public Pension : Problem, Cause and Policy Measures (공적연금의 사각지대 : 실태, 원인과 정책방안)

  • Seok, Jae-Eun
    • Korean Journal of Social Welfare
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    • v.53
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    • pp.285-310
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    • 2003
  • As National Pension Scheme for all nation complete in 1999 through expanding application in cities, the public pension including Public Occupational Pension became main axis of old-age income maintenance. After 4years since then, now, it is only half of total National Pension insured persons who have been qualified to receive pension through participate and contribution. The other half of National Pension insured is left the excluded from public pension. This paper is intended to identify scale and characteristics of the excluded from public pension and to analysis its cause, and to explore policy measures for solving the excluded's problem. for current recipients over 60 years old generation, the its excluded's scale is no less than 86% of the old over 60 years. The probability of getting in the excluded is high in case of old elderly and female for current elderly generation. For future recipients 18-59 years working generation, the its excluded's scale is no less than 61% of the 18-59 years total population. The probability of getting in the excluded is high in case of 18-29 years and female for current working generation. As logistic regression analysis determinant factor of paying or not pension contribution for future recipients, it appear that probability of getting in the excluded for current working generation is high in case of younger old, lower education attainment, irregular employee, working at agriculture forestry fishery sector, construction sector, wholesale retail trade restaurants hotels sector, financial institution and insurance real estate renting and leasing sector in comparison with manufacturing sector, occpaying at elementary occupation, professionals technicians and associate professionals, sale and service workers, plant machine operators and assemblers, legislators senior officials and managers in comparison with clerks. The Policy measures for the current recipient old generation have need to reinforce supplemental role of Senior's pension(non-contribution pension) until maturing of public pension, because of no having chance of public pension participants for them. And the Policy measures for the future recipient working generation have need to restructure social security fundamentally corresponding with social-economic change as labour market and family structure etc. The pension system has need to change from one earner one pension to one citizen one pension with citizenship rights. At this point, public pension have need to manage with combining insurance's contribution principle and citizenship principle financing by taxes. Then public pension will become substantially universal social network for old-age income maintenance and we can find real solution for the excluded from.

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Cross-Sectional Item Response Analysis of Geocognition Assessment for the Development of Plate Tectonics Learning Progressions: Rasch Model (판구조론의 학습발달과정 개발을 위한 지구적 인지과정 평가의 횡단적 문항 반응 분석: Rasch 모델)

  • Maeng, Seungho;Lee, Kiyoung
    • Journal of The Korean Association For Science Education
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    • v.35 no.1
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    • pp.37-52
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    • 2015
  • In this study, assessment items to examine geocognition on plate tectonics were developed and applied to middle and high school students and college students. Conceptual constructs on plate tectonics are Earth interior structure, specific geomorphology, and geologic phenomena at each plate boundary. Construct for geocognition included temporal reasoning, spatial reasoning, retrospective reasoning, and system thinking. Pictorial data in each item were all obtained from GeoMapApp. Students' responses to the items were analyzed and measured cross-sectionally by Rasch model, which distinguishes persons' ability levels based on their scores for all items and compared them with item difficulty. By Rasch model analysis, Wright maps for middle and high school students and college students were obtained and compared with each other. Differential Item Functioning analysis was also implemented to compare students' item responses across school grades. The results showed: 1) Geocognition on plate tectonics was an assessable construct for middle and high school students in current science curriculum, 2) The most distinguished geocognition factor was spatial reasoning based on cross sectional analysis across school grades, 3) Geocognition on plate tectonics could be developed towards more sophisticated level through scaffolding of relevant instruction and earth science content knowledge, and 4) Geocognition was not a general reasoning separated from a task content but a content-specific reasoning related to the content of an assessment item. We proposed several suggestions for learning progressions for plate tectonics and national curriculum development based on the results of the study.