• The Korean Journal of Financial Management
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• v.12 no.2
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• pp.73-93
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• 1995

본 연구는 주식시장에서의 체결가격을 균형가격으로 가정하여 계산된 수익률에 관한 통계추정치의 편의에 관하여 분석하고 있다. 주식수익률의 통계적모멘트를 추정하는 것은 주식가격의 행태를 분석하는 연구 및 사건연구등에서 많은 학자들에 의하여 수행되어 왔다. 기존의 대부분의 연구들은 시장에서 체결된 가격이 그 시점의 진정한 균형가격이라는 가정하에 수익률을 계산하고 이 수익률 자료로부터 수익률의 평균, 표준편차, 외도(skewness), 침도(kurtosis) 등의 통계적모멘트를 추정하였다. 그러나 체결가격은 시장의 규칙에 의해 일정한 호가단위로만 거래될 뿐 아니라 매도 또는 매수호가에 거래됨으로써 진정한 균형가격과의 괴리가 있을 수 있게 된다. 본 연구는 주식호가단위의 불연속성과 매도매수호가의 차이로 연한 통계추정치의 편의에 관한 모형을 도출하여 편의의 크기와 특징을 분석하고, 이를 수정하는 간편식을 도출하여 그 유효성을 검증하고 있다. Gottlieb and Kalay(1985), Ball(1988), Cho and frees(1988)등은 1/8 달러의 최소호가단위로 인하여 발생하는 기존의 분산추정치의 편의를 계산하고 이를 수정하는 간편식을 제시하였다. French and Roll(1986)은 휴일이 포함된 기간의 수익률 분산과 평일 분산추정치의 비율이 기간과 비례하지 않는 원인중 하나는 매도매수호가차이로 인한 분산추정치의 편의라는 점을 설명한 바 있다. Choi and Shastri(1989)는 Black and Scholes 옵션가격 결정모형 이 주식 분산값의 크기에 따라 일정한 편의를 보이는 주요한 원인은 퍼센티지 매도매수호가차이와 옵션가격이 모두 진정한 분산치의 정의 함수이기 때문이라는 점을 보였다. Harris(1988)와 최종연(1994)는 주가의 불연속성 및 매도매수호가차이를 동시에 고려하여 기존의 분산추정치가 어떠한 편의를 보이는지에 관하여 분석한 바 있다. 본 연구에서는 최종연(1994)의 연구에서 도출된 모형을 연장하여 국내 주식시장과 같이 주가 수준에 따라 최소호가단위가 변화할 때의 변형모형을 도출하였다. 또한 이 모형에 따라 통계추정치의 편의를 수익률의 표준편차를 중심으로 계산하여 그 정도를 미국시장의 경우와 비교하였고, 그 추정치의 수정 방법에 대하여 호가단위가 변화하는 주가금액이 10,000원 주변일 경우를 중심으로 분석하였다.

• Journal of the Korean Institute of Intelligent Systems
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• v.8 no.3
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• pp.33-40
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• 1998

This paper presents an Modified Orthogonal Neural Network(MONN), new modified model of Orthogonal Neural Network(0NN) based on orthogonal functions, and applies it to nonlinear system approximator. ONN proposed by Yang and Tseng, doesn't have the problems of traditional multilayer feedforward neural networks such as the determination of initial weights and the numbers of layers and processing elements. And tranining of ONN converges rapidly. But ONN cannot adapt its orthogonal functions to a given system. The accuracy of ONN, in terms of the minimal possible deviation between system and approximator, is essentially dependent on the choice of basic orthogonal functions. In order to improve ability and effectiveness of approximate nonlinear systems, MONN has an input transformation layer to adapt its basic orthogonal functions to a given nonlinear system. The results show that MONN has the excellent performance of approximate nonlinear systems and the input transfnrmation makes the ability of MONN better than one of ONN.

• Archives of design research
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• v.19 no.4 s.66
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• pp.81-90
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• 2006

Robot design serves as the crucial link between a human and a robot, the cutting edge technology. The importance of the robot design certainly will be more emphasized when the consumer robot market matures. For coexistence of a human and a robot, human friendly interface design and robot design with consideration of human interaction need to be developed. This research extracts series of functions in need which are consisted of series of case studies for planning and designing of 'A Shopping Support Robot'. The plan for the robot is carried out according to HRI aspects of Design and the designing process fellows. Definite results are derived by the application of series of HRI aspects such as gestures, expressions and sound. In order to verify the effectiveness of application of HRI aspects, this research suggests unified interaction that is consisted of motion-capture, animation, brain waves and sound between a human and a robot.

• Tunnel and Underground Space
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• v.17 no.1 s.66
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• pp.56-65
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• 2007

A new underground LNG storage concept in the rock mass has been developed by combining underground cavern construction and new ice-ring harrier technologies with the conventional cryogenic insulation system. Technical feasibility of the storage system has been verified through construction and operation of the pilot storage cavern and a full-scale project is expected to start in the near future. One of the most important issues in the LNG storage system is the operational efficiency of the storage to minimize heat loss during a long period of operation due to the cryogenic heat transfer. This paper presents several important results of heat transfer and coupled hydro-thermal analyses by a finite element code Temp/W and Seep/W. A series of heat transfer analyses for full-scale caverns were performed to determine design parameters such as boil-off gas ratio (BOR), insulation thickness and pillar width. The result of the coupled hydro-mechanical analysis showed that BOR for underground storage system remains at about 0.04 %/day during the early stage of the operation. This value could be even much lower when the discontinuities in the rock masses are taken into consideration.

• Tunnel and Underground Space
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• v.19 no.5
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• pp.407-420
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• 2009

In this study geostatistical technique using indicator kriging was performed to evaluate the optimal rock mass classification by integrating the various geophysical information such as borehole data and geophysical data. To get the optimal kriging result, it is necessary to devise the suitable technique to integrate the hard (borehole) and soft (geophysical) data effectively. Also, the model parameters of the variogram must be determined as a priori procedure. Iterative non-linear inversion method was implemented to determine the model parameters of theoretical variogram. To verify the algorithm, behaviour of object function and precision of convergence were investigated, revealing that gradient of the range is extremely small. This algorithm for the field data was applied to a mountainous area planned for a large-scale tunneling construction. As for a soft data, resistivity information from AMT survey is incorporated with RMR information from borehole data, a sort of hard data. Finally, RMR profiles were constructed and attempted to be interpreted at the tunnel elevation and the upper 1D level.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.26 no.4
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• pp.341-350
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• 2008

Change detection has been recognized as one of the most important steps to update city models. In this study, we thus propose a method to detect urban changes from two sets of LIDAR data acquired at different times. The main processes in the proposed method are (1) detecting change areas through subtraction between two DSMs generated from the LIDAR sets, (2) organizing the LIDAR points within the detected areas into surface patches, (3) classifying the class of each patch such as ground, vegetation, and building, and (4) determining the kinds of changes based on the properties and classes of the patches. The results which were obtained from the application of the proposed method to real data were verified as appropriate using the reference data manually acquired from the visual inspection of the orthoimages of the same area. The probability of success in change detection is assessed to 97% on an average. In conclusion, the proposed method is evaluated as a reliable, and efficient approach to change detection and thus the update of city model.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.29 no.6
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• pp.641-650
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• 2011

Airborne LIDAR system, utilized in various forest studies, provides efficiently spatial information about vertical structures of forest areas. The tree height is one of the most essential measurements to derive forest information such as biomass, which can be estimated from the forest terrain model. As the terrain model is generated by the interpolation of ground points extracted from LIDAR data, filtering methods with high reliability to classify reliably the ground points are required. In this paper, we applied three representative filtering methods to forest LIDAR data with diverse characteristics, measured the errors and performance of these methods, and analyzed the causes of the errors. Based on their complementary characteristics derived from the analysis results, we have attempted to combine the results and checked the performance improvement. In most test areas, the convergence method showed the satisfactory results, where the filtering performance were improved more than 10% in maximum. Also, we have generated DTM using the classified ground points and compared with the verification data. The DTM retains about 17cm RMSE, which can be sufficiently utilized for the derivation of forest information.

• Journal of Korea Spatial Information System Society
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• v.11 no.4
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• pp.9-18
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• 2009

R&D businesses lead by a government of each countries are recognized as important businesses that may affect the destinies of the nation. However, the process of developing a new business has not been so favorable as the process was primarily managed by engineers who concentrate on research development. The problem was solved by applying a business model regarding outcomes of a developed research. Yet it is difficult to apply the business model methods that are commonly used for enterprises to government's research businesses due to their unique research development characteristics. Therefore, it is developed a business model methodology for national R&D project in this study. In addition, the methodology applies to a sub-project of Korean Land Spatialization Program(KLSP) organized by Ministry of Land, Transport and Maritime Affairs to verify the possibility of practical application.

• The Korean Journal of Petroleum Geology
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• v.1 no.1 s.1
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• pp.29-35
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• 1993

Seismic reflection data can be used to extract information about the velocity structure of the earth. This process is called a velocity inversion of the seismic data. However, it is difficult to recover a broad band reflection coefficient series because the frequency band of seismic trace is limited. The linear programming method has been examined to find the simplest velocity model that has frequency components consistent with the usable frequencies of the seismic trace and interval velocity data. The velocity structure of the earth is displayed in pseudovelocity section. After the linear program had been tested with a synthetic seismic trace, it was applied to the seismic reflection data of the Block Ⅱ in the Yellow Sea. By comparing the pseudovelocity section with sonic logs obtained from the well in the same area, it was possible to define the lithostratigraphy and the boundaries of Cretaceous volcanics and Cretaceous metavolcanics.

• Journal of KIISE:Software and Applications
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• v.34 no.3
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• pp.235-245
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• 2007

UUV(Unmanned Underwater Vehicle) should possess an intelligent control software performing intellectual faculties such as cognition, decision and action which are parts of domain expert's ability, because unmanned underwater robot navigates in the hazardous environment where human being can not access directly. In this paper, we suggest a RVC intelligent system architecture which is generally available for unmanned vehicle and develope an autonomous navigation system for UUV, which consists of collision avoidance system, path planning system, and collision-risk computation system. We present an obstacle avoidance algorithm using fuzzy relational products for the collision avoidance system, which guarantees the safety and optimality in view of traversing path. Also, we present a new path-planning algorithm using poly-line for the path planning system. In order to verify the performance of suggested autonomous navigation system, we develop a simulation system, which consists of environment manager, object, and 3-D viewer.