• Journal of the Korea Convergence Society
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• v.10 no.1
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• pp.7-12
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• 2019

The application of neural networks to stock forecasting has received a great deal of attention because no assumption about a suitable mathematical model has to be made prior to forecasting and they are capable of extracting useful information from data, which is required to describe nonlinear input-output relations of stock forecasting. The paper builds neural network models to forecast daily KOrea composite Stock Price Index (KOSPI), and their performance is demonstrated. MAPEs of NN1 model show 0.427 and 0.627 in its learning and test, respectively. Based on the predicted KOSPI price, the paper proposes an alpha trading for trades in Exchange Traded Funds (ETFs) that fluctuate with the KOSPI200. The alpha trading is tested with data from 125 trade days, and its trade return of 7.16 ~ 15.29 % suggests that the proposed alpha trading is effective.

• Journal of Intelligence and Information Systems
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• v.20 no.2
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• pp.59-71
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• 2014

System trading is becoming more popular among Korean traders recently. System traders use automatic order systems based on the system generated buy and sell signals. These signals are generated from the predetermined entry and exit rules that were coded by system traders. Most researches on system trading have focused on designing profitable entry and exit rules using technical indicators. However, market conditions, strategy characteristics, and money management also have influences on the profitability of the system trading. Unexpected price deviations from the predetermined trading rules can incur large losses to system traders. Therefore, most professional traders use strategy portfolios rather than only one strategy. Building a good strategy portfolio is important because trading performance depends on strategy portfolios. Despite of the importance of designing strategy portfolio, rule of thumb methods have been used to select trading strategies. In this study, we propose a SVM-based strategy portfolio management system. SVM were introduced by Vapnik and is known to be effective for data mining area. It can build good portfolios within a very short period of time. Since SVM minimizes structural risks, it is best suitable for the futures trading market in which prices do not move exactly the same as the past. Our system trading strategies include moving-average cross system, MACD cross system, trend-following system, buy dips and sell rallies system, DMI system, Keltner channel system, Bollinger Bands system, and Fibonacci system. These strategies are well known and frequently being used by many professional traders. We program these strategies for generating automated system signals for entry and exit. We propose SVM-based strategies selection system and portfolio construction and order routing system. Strategies selection system is a portfolio training system. It generates training data and makes SVM model using optimal portfolio. We make $m{\times}n$ data matrix by dividing KOSPI 200 index futures data with a same period. Optimal strategy portfolio is derived from analyzing each strategy performance. SVM model is generated based on this data and optimal strategy portfolio. We use 80% of the data for training and the remaining 20% is used for testing the strategy. For training, we select two strategies which show the highest profit in the next day. Selection method 1 selects two strategies and method 2 selects maximum two strategies which show profit more than 0.1 point. We use one-against-all method which has fast processing time. We analyse the daily data of KOSPI 200 index futures contracts from January 1990 to November 2011. Price change rates for 50 days are used as SVM input data. The training period is from January 1990 to March 2007 and the test period is from March 2007 to November 2011. We suggest three benchmark strategies portfolio. BM1 holds two contracts of KOSPI 200 index futures for testing period. BM2 is constructed as two strategies which show the largest cumulative profit during 30 days before testing starts. BM3 has two strategies which show best profits during testing period. Trading cost include brokerage commission cost and slippage cost. The proposed strategy portfolio management system shows profit more than double of the benchmark portfolios. BM1 shows 103.44 point profit, BM2 shows 488.61 point profit, and BM3 shows 502.41 point profit after deducting trading cost. The best benchmark is the portfolio of the two best profit strategies during the test period. The proposed system 1 shows 706.22 point profit and proposed system 2 shows 768.95 point profit after deducting trading cost. The equity curves for the entire period show stable pattern. With higher profit, this suggests a good trading direction for system traders. We can make more stable and more profitable portfolios if we add money management module to the system.

• Journal of Korea Port Economic Association
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• v.23 no.1
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• pp.149-162
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• 2007

The purpose of this study is to forecast the marine trading volumes using multiplicative seasonal Autoregressive Integrated Moving Average(ARIMA) model. The paper proceeds by comparing the forecasting performances of the unload volumes with those of the load volumes with Box-Jenkins ARIMA model. Also, I present the predicted values based on the ARIMA model. The result shows that the trading volumes increase very slowly.

• The Journal of Industrial Distribution & Business
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• v.11 no.11
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• pp.7-18
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• 2020

Purpose: The Emission Trading Scheme (ETS), which enables structuring emission credits as a financial product, is taking a crucial position of global collaboration against climate change. Previous studies that have covered ETS subjects from the macro perspective contribute to facilitating legal enactment of this scheme. However, they have rarely addressed challenges aligned with issues arising from labor burdens for ETS works from the business perspective. Research Design, data and methodology: This study presents conceptual models that are expected to help design an electronic system. The study model contains four modules: emission allocation, data interface, reduction technology sharing, and emission trading. Two validation approaches, the Analytic Hierarchy Process (AHP) and regression analysis, are applied in confirming the feasibility of the proposed model. Results: This study suggests an IT system methodology to help improvement of the current K-ETS mechanism. In particular, this study addresses effectiveness for real businesses and the adaptability of this mechanism to other nations. Conclusions: The proposed IT platform diagram can contribute to successful operation of ETS by providing multiple benefits to participating companies through in-house allocation mechanisms, the soft-landing of ETS adoption to participating companies through reduction of technology-sharing, group purchases, and transaction costs through the trading system.

• Environmental and Resource Economics Review
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• v.15 no.2
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• pp.201-245
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• 2006

We applied general equilibrium model to analysis the economic impact of international emission trading by sector and the efficiency of the Convention to study whether Climate Change Convention satisfy the efficiency. We divided the world as 4 groups : USA, OECD members w/o USA (OEC), Former Soviet Union (FSU) and Developing countries (DEV). Compared to no trading, global trading would accomplish the same environmental effect with less cost as much as 97.8 billion$, which is the surplus of trading. However, half of it is taken by USA and 20% by OEC. FSU and DEV have only 18% and 10%. This result suggest the two things. First, the emission trading is effective as far as the participation of developing countries are guaranteed. If they do not take part in the coalition and emit the leakage, it may threaten the stability of the international trading coalition. Second, we found the logical ground of the side payment for developing countries. The permit buying countries take more share of the surplus under the emission trading, while the energy sector of developing countries shrinks to sell permits, which may adversely affect to economic growth of the countries. Therefore, the Annex-I countries need to provide side payment to lead the participation of the developing countries.

• Management & Information Systems Review
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• v.33 no.1
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• pp.45-63
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• 2014

A trading system is a computer trading program that automatically submits trades to an exchange. Mechanical a trading system to execute trade is spreading in the stock market. However, a trading system to trade a single asset might occur instability of the profit because payoff of this system is determined a asset movement. Therefore, it is necessary to develop a trading system that is trade two assets such as a pair trading that is to sell overvalued assets and buy the undervalued ones. The aim of this study is to propose a relative value based trading system designed to yield stable and profitable profits regardless of market conditions. In fact, we propose a procedure for building a trading system that is based on the rough set analysis of indicators derived from a price ratio between two assets. KOSPI 200 index futures and S&P 500 index futures are used as a data for evaluation of the proposed trading system. We intend to examine the usefulness of this model through an empirical study.

• East Asian Economic Review
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• v.23 no.1
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• pp.27-53
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• 2019

I employ search-and-matching to a multi-country and multi-sector Ricardian model with input-output linkages, trade in intermediate goods, and sectoral heterogeneity, in order to quantify the welfare effects from tariff changes. The paper shows that labor market frictions can be a source of comparative advantage in the sense that better labor market conditions contribute to lower cost in production. Labor market frictions play a critical role in determining the probability of exporting goods to trading partners, and interact with bilateral trade share, price, expenditures, etc. Unemployment and changes in unemployment rates due to tariff reductions contribute welfare changes across countries, implying that welfare effects based on quantitative trade models with full-employment are likely to be biased. I confirm the biased welfare effects by revisiting Caliendo and Parro (2015), who conduct an analysis of the welfare effects from the NAFTA from 1993 to 2005. I show that the welfare gap between theirs and mine has a positive correlation with changes in observed unemployment rates across countries. With the constructed model, I further conduct counterfactual exercises by asking what would happen if China's tariffs remain unchanged from 2006 to 2015. It turns out that there are mild welfare effects to trading partners in the world trading system.

• Journal of Korea Society of Digital Industry and Information Management
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• v.9 no.3
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• pp.211-221
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• 2013

This study investigated the effect of service quality and using experience on a royalty in a electronic commerce. Expecially, used HTS (Home Trading System of securities companies)as a online service system. HTS (Home Trading System) is a electronic commerce system of securities companies that is a most progressive tool of it. Almost securities companies are offering these typical trading system, because it is a required factor for a competitive position in their compound market. This paper made hypotheses of five cases, and collected some data through survey questionnaire for an analysis of actual proof. For attaining the object of this research, used a structure equation modeling, and found that almost paths of the research model are supported among the service quality, using experience, involvement and royalty. This study could provide academic and managerial implications in a electronic commerce business.

• International Commerce and Information Review
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• v.5 no.1
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• pp.181-202
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• 2003

This study investigates the present status and development of e-marketplace which is the most actively used in the e-trade stages from market research, searching for business partners, negotiations to contract. It also shows the present status and development of e-marketplace as an "e-trading company" designated by government, which gives prospect of profitable model of e-marketplace. Especially focused on EC21 - the best e-marketplace of Korea, this study views present status and development of EC21 and trading companies applied for EC21, government designated e-trading company, to receive electronic trading support services. In addition, we hope that the findings of this study will be a helpful material to government for making policy and framing supporting project toward leading organizations of e-trade such as Ministry of Commerce, Industry and Energy, e-trade promotion committee of Korea International Trade Association and small-ta-medium companies interested in e-trade, to activate e-trade.

• The Journal of Information Systems
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• v.14 no.2
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• pp.155-172
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• 2005

Securities companies which faced with severe competition should not only attract new customers but also retain their on-line customers. This study examines the factors affecting loyalty of on-line stock trading customers. The research model based on the previous studies was established and the research hypotheses were generated. The test results based on the data gathered from 87 users of on-line stock trading services show that user satisfaction, learning cost, transaction fees, and reputation influence customer loyalty. User satisfaction, learning cost and reputation are positively related to customer loyalty, whereas transaction fee is negatively related to customer loyalty. The results also support that information quality and system quality are positively related to user satisfaction. The hypothesis that transaction fee is related to user satisfaction is not supported. There is no significant information to say that security risk is related to user satisfaction. It is considered that the study results may help managers to increase customer retention.