• Management & Information Systems Review
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• v.38 no.4
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• pp.79-93
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• 2019

This study analyzed the information effect of KOSPI200 market and KOSPI200 futures market and volume synchronized probability of informed trading (VPIN). The data period is 760 days from July 8, 2015 to August 9, 2018, and the intraday trading data is used based on the trading period of the KOSPI 200 Index. The findings of the empirical analysis are as follows. First, as a result of regression analysis of the same parallax, when the level of VPIN is high, the return and volatility of KOSPI200 are high. Second, the KOSPI200 returns before and after the VPIN measurement and the return of the KOSPI200 future had a positive relationship with the VPIN. The cumulative returns of KOSPI200 futures were positive for about 15 minutes.Finally, we find that portfolios with high levels of VPIN showed high KOSPI200 and KOSPI200 futures return. These results confirmed the applicability of VPIN as a trading strategy index. The above results suggest that KOSPI200 and KOSPI200 futures markets will be able to explore volatility and price changes, and also be useful indicators of financial market risk.

• The Journal of Society for e-Business Studies
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• v.20 no.4
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• pp.61-76
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• 2015

In general, we have utilized the hierarchical concept tree as a crucial data structure for indexing huge amount of textual data. This paper proposes a generality rank-based method that can automatically develop hierarchical concept structures with the Wikipedia data. The goal of the method is to regard each of Wikipedia articles as a concept and to generate hierarchical relationships among concepts. In order to estimate the generality of concepts, we have devised a special ranking function that mainly uses the number of hyperlinks among Wikipedia articles. The ranking function is effectively used for computing the probabilistic subsumption among concepts, which allows to generate relatively more stable hierarchical structures. Eventually, a set of concept pairs with hierarchical relationship is visualized as a DAG (directed acyclic graph). Through the empirical analysis using the concept hierarchy of Open Directory Project, we proved that the proposed method outperforms a representative baseline method and it can automatically extract concept hierarchies with high accuracy.