• The Korean Journal of Financial Management
• /
• v.12 no.2
• /
• pp.239-271
• /
• 1995

본 연구는 현재 미국에서 거래되고 있는 세 가지 주가지수선물 상호간의 일중(intradaily) 가격선도(price leadership) 관계에 관한 실증분석이다. 본 연구가 기존의 연구와 다른점은, 기존의 연구가 주가지수선물과 그 기준이 되는 현물 가격사이의 가격 선도 관계에 초점을 두고 있는데 반하여 본 연구는 주가지수선물 시장 사이에서 존재하는 가격 선도관계를 분석하고 있다는 점이다. 실증 분석의 대상이 된 주가지수선물들은 Chicago Mercantile Exchange의 Standard and Poor's 500 Index(S&P 500), New York Futures Exchange의 New York Stock Exchange Composit Index (NYSE), 그리고 Chicago Board of Trade의 Major Market Index(MMI)이다. 만약 이들 시장들이 정보의 전달에 있어서 효율적(informationally efficient) 이라면 이들 가격간에 선도-지연(lead-lag) 현상은 존재하지 않을 것이다. 그러나 어느 한 시장이 새로운 정보를 선물가격에 반영하는데 다른 시장에 비해 상대적으로 느리다면, 이들 시장 상호간에는 가격의 전이(transmission)현상이 존재하게 될 것이다. 이들 선물간의 일중 가격선도 관계 연구는 이러한 시장의 효율성 문제를 밝히는데 의의가 있을 뿐만 아니라, 시장간의 단기적 가격 괴리를 이용하려는 차익거래자들에게도 유용하게 쓰일 수 있을 것이다. 본 연구는 위에서 언급한 각각의 주가지수선물들이 가격 선도성을 가질 수 있는 이유와 관련된 다음과 같은 세 가지 가설을 설정하였다. 첫째 가설은, 가격의 선도성은 거래량과 관련이 있다는 것이다. 즉, 이들 주가지수선물 중 가장 거래량이 많은 S&P 500 선물이 다른 선물을 선도할 것이라는 가설이다. 둘째, 가격의 선도성은 주가지수를 구성하는 주식의 수에 비례한다는 가설이다. 다시 말하면, 보다 않은 수로 구성된 주가지수일수록 정보처리 속도가 빠르다는 가설이다. 따라서, 본 연구에 포함된 주가지수선물 중 가장 많은 수의 주식을 대상으로 하는 NYSE 선물이 다른 선물을 선도할 것이다. 마지막 가설은 정보의 처리는 대형주 혹은 기관선호주(institutionally-favored)들이 주도한다는 것이다. 따라서, 주로 이와 같은 주식들로 구성 된 MMI 선물이 선도성을 가질 수 있다는 것이다. 위의 가설들을 검증하고 시장간의 가격 선도관계를 분석하기 위하여 본 연구는 vector autoregressive(VAR) 모형을 이용하여 충격-반응 함수(impulse response functions)를 계산하고, 분산분해(variance decomposition)를 수행하였다. 또한 가격 상호간에 존재할지도 모르는 공적분(cointegration)관계를 Johansen(1991)과 Jokansen and Juselius (1992) 등이 제시한 다변량 공적분 검정(multivariate cointegration test)를 통하여 분석하였다. 분석기간은 1986년 1월부터 1990년 7월까지이며, 각 주가지수선물들의 5분 간격 data를 사용하였다. 연구결과, 충격-반응 분석은 어느 한 시장에서의 충격(shock)은 다른 시장으로 매우 빠르게 전달되고 있음을 보여 주었다. 그러나 충격의 지속정도는 그 충격의 진원지에 따라 달랐다. 즉, NYSE나 MMI 선물로부터 발생 한 충격은 다른 시장의 가격에 5분 안에 반영을 끝냈지 만 S&P 500 선물에서 발생한shock은 그 이상 지속되었다. 또한, 분산분해 결과 S&P 500 선물이 자기자신 뿐만 아니라 다른 시장의 예상하지 못했던 움직임(unexpected movements)을 설명하는데 가장 큰 설명력(explanatory power)을 가지고 있었다. 결론적으로 S&P 500 선물이 다른 선물을 약 5분 간격으로 선도하였다. 이는 가격의 선도가 거래량과 밀접한 관계가 있음을 보여 주는 것이다.

• Journal of the Korean Institute of Intelligent Systems
• /
• v.26 no.1
• /
• pp.56-63
• /
• 2016

In this study, we introduce a design of Fuzzy RBFNNs-based digit recognition system using the incremental-PCA in order to recognize the handwritten digits. The Principal Component Analysis (PCA) is a widely-adopted dimensional reduction algorithm, but it needs high computing overhead for feature extraction in case of using high dimensional images or a large amount of training data. To alleviate such problem, the incremental-PCA is proposed for the computationally efficient processing as well as the incremental learning of high dimensional data in the feature extraction stage. The architecture of Fuzzy Radial Basis Function Neural Networks (RBFNN) consists of three functional modules such as condition, conclusion, and inference part. In the condition part, the input space is partitioned with the use of fuzzy clustering realized by means of the Fuzzy C-Means (FCM) algorithm. Also, it is used instead of gaussian function to consider the characteristic of input data. In the conclusion part, connection weights are used as the extended diverse types in polynomial expression such as constant, linear, quadratic and modified quadratic. Experimental results conducted on the benchmarking MNIST handwritten digit database demonstrate the effectiveness and efficiency of the proposed digit recognition system when compared with other studies.

• Journal of Korean Society of Forest Science
• /
• v.69 no.1
• /
• pp.28-35
• /
• 1985

To estimate the aboveground biomass of Pinus rigida and Pinus rigida ${\times}$ taeda 22-year-old plantations, the experimental plots of $200m^2$ in size located in Kwangju of Jeonlanam-do were selected. Nine sample trees selected at each plot taking account of DBH distribution were felled and the diagram of oven-dry weight distribution of stem, branch, and needle for each 1m segment was constructed. The logarithmic regression equations between dry weight of each component (stems, branches, and needles) and the variable of $(DBH)^2{\cdot}H$ were obtained. The aboveground standing crops was estimated to be as much as 71.61 and 142.32 tons of dry matter per hectare in P. rigida and P. rigida ${\times}$ taeda stand respectively. The net production was estimated as 10.81 and 10.46 t/ha/yr and the net assimilation rate 1.32 and 1.00 kg/kg/yr in P. rigida and P. rigida ${\times}$ taeda stand respectively. And the efficiency of needles to produce stem was 0.97 and 0.81 kg/kg/yr in same order.

• KSCE Journal of Civil and Environmental Engineering Research
• /
• v.8 no.2
• /
• pp.109-116
• /
• 1988

The strength and load of structure are varied with the Passage of time, and become a process of probability. It is possible to estimate the reliability from the relation between strength and load. Considering the safety, It is reasonable to estimate allowable stress from the safety factor based on the reliability. In this study, the method to estimate probability of fracture, which is index of reliability for rail subjeict to long term fatigue load were examined. In estimation of reliablity it is meaningless to evaluate numerical value especially this difficult case estimating parameter of random variable. To overcome this problem, conventional design method estimating relative reliability were proposed. In this study the Cornell method were examined. The uncertainity of random variale, ie coefficient of variation which is the index of variation of strength and load were considered. The effect of uncertainity related to probability of fracture, and safety factor based on reliability were examined. The results of this study are followed. The reliability of weld metal were influenced by variation of strength more then load, and base metal were influenced by load. It is confirmed that the allowable stress range calculating with factor of safety based an reliability is conservative.

• Journal of Korean Society of Coastal and Ocean Engineers
• /
• v.27 no.5
• /
• pp.315-323
• /
• 2015

Damage level of coastal structures has been scaled up according to increase of wave height and duration of the storm due to the abnormal global climate change. So, the design criteria for new breakwaters is being intensified and structural strengthening is also conducted for the existing breakwaters. Recently, interlocking concept has been much attention to enhance the structural stability of the conventional caisson structure designed individually to resist waves. The interlocking caisson breakwater may be survival even if unusual high wave occurs because the maximum wave force may be reduced by phase lags among the wave forces acting on each caisson. In this study, the dispersion characteristics of wave forces using interlocking system that connect the upper part of caisson with cable in the normal direction of breakwater was investigated. A simplified linear model was developed for computational efficiency, in which the foundation and connection cables were modelled as linear springs, and caisson structures were assumed to be rigid. From numerical experiments, it can be found that the higher wave forces are transmitted through the cable as the angle of incident wave is larger, and the larger the stiffness of the interlocking cable makes larger wave dispersion effect.

• Journal of Distribution Research
• /
• v.13 no.2
• /
• pp.1-27
• /
• 2008

In a power-asymmetry relationship like franchise system, a high dependent franchisee must often rely on its powerful partner. Therefore, in order to build up 'win-win' systems, therefore channel members should increase trust and commitment each other to enhance the relationship quality to sustain long-term cooperative relationships. First of all, to increase the relationship quality in franchise system, franchisor should increase franchisee's perception of the powerful franchisor's justice. The point of this research, I established basic hypotheses and comparative hypotheses to examine franchisor's behavior what franchisee expected which influences on franchisee's attitude and behavior in power - asymmetry relationship in franchise system. For the purpose of the empirical testing, managers of franchisee in the food service industry of Korea had been selected and analyzed, and major findings in this study as follow: First, the relational norm between franchisor and franchisee increased both distributive justice and procedural justice, especially relational norm had more effect on procedural justice than distributive justice. Second, distributive justice increased both economic commitment and social commitment while procedural justice just increased social commitment only but economic commitment. So, on the relational commitment, distributive justice was more important element than procedural justice. On the other hand, procedural justice had indirect effect on economic commitment through distributive and social commitment.

• Magazine of the Korea Concrete Institute
• /
• v.11 no.1
• /
• pp.191-200
• /
• 1999

The shear behavior of simply supported reinforced concrete deep beams subject to concentrated loads has been scrutinized experimentally to verify the influence of the structural parameters such as concrete strength, shear span-depth ratio, and web reinforcements. A total of 42 reinforced concrete deep beams with compressive strengths of 250 kg/$cm^2$ and 500 kg/$cm^2$ has been tested at the laboratory under one or two-point top loading. The shear span-depth ratio have been taken as three types of 0.4, 0.8 and 1.2, and the horizontal and vertical shear reinforcements ratio, ranging from 0.0 to 0.57 percent respectively. In the tests, the effects of the shear span-depth ratio, concrete strength and web reinforcements on the shear strength and crack initiation and propagation have been carefully checked and analyzed. From the tests, it has been observed that the failures of all specimens were due to shear and the shear behaviors of specimens were greatly affected by inclined cracks from the load application points to the supports in shear span. The load bearing capacities have changed significantly depending on the shear span ratio, and the efficiency of horizontal shear reinforcements were increased as the shear span-depth ratio decreased. The test results have been analyzed and compared with the formulas proposed by previous researchers and the design equation from the code. While the shear strengths obtained from the tests showed around 1.4 and 1.9 times higher than the values calculated by CIRIA guide and the domestic code, they were closely coincident with the formulas given by de Paiva's equation.

• Journal of the Korea Concrete Institute
• /
• v.21 no.5
• /
• pp.661-668
• /
• 2009

Effective beam width model(EBWM) has been used for analysis of post-tensioned(PT) flat plate slab frames under lateral loads. The accuracy of this model in predicting lateral drifts and unbalanced moments strongly depends on the estimated effective stiffness of PT flat plate slabs. As moments on the slab due to lateral loads increases, cracks occur which leads to stiffness reduction in slabs. For analyzing PT flat plate slab structure under lateral loads with good precision, reduction in slab stiffness has to be accurately estimated for EBWM. For this purpose, this study collected test results of PT flat plate system conducted by former researches. And this study reduced the width of slab so that the stiffness of the EBWM converged into the lateral stiffness of each test specimens by trial and error. By conducting nonlinear regression analysis using the stiffness ratio of the reduced width of slab to the effective width of EBWM with respect to the level of slab moments, an equation for calculating stiffness reduction factor for slab is proposed. For verifying the accuracy of the proposed equation, this study compared with the test result of the PT flat plate frame. It is shown that the EBWM with the proposed equation predicts the actual stiffness of the PT specimen which varied according to the level of applied moment.

• Journal of Korean Society of Environmental Engineers
• /
• v.33 no.5
• /
• pp.368-377
• /
• 2011

A package type of SCR (selective catalytic reduction) system that was proposed for removing the $NO_x$ found in flue gas from the small scale of air pollution sources was evaluated. The efficiency of the SCR system is determined by the proper utilization of catalytic media installed inside of the system, and the proper distribution of flow velocity and $NH_3$ concentration in the flue gas is a crucial factor for using the catalytic media. In this study, the distributions of $NH_3$ concentration were estimated under the various arrays and shapes of AIG at the given gas flow condition. The value of RMS (%) in $NH_3$ concentration is 95.3% at co-current flow (at $0^{\circ}$) injection but it is 90.1% at the condition of counter-current flow (at $120^{\circ}$) condition, which implies the counter-current injection is more favorable. By rearranging the $NH_3$ injection flow rates based on the distribution of velocity and $NH_3$ distribution in basic calculation, the value of RMS (%) in $NH_3$ concentration was reduced to 62.8%. The enhanced effect of $NH_3$ mixing by the combined effect of arrays and shapes are complied in the study.

• Journal of the Korean Society for Marine Environment & Energy
• /
• v.15 no.1
• /
• pp.38-46
• /
• 2012

This study carried out current status, characteristics, and problems of coastal environment management on semi-enclosed Masan Bay in Korea and suggests cost-effective and eco-friendly water quality management policy. The pollutants from terrestrial sources into the Bay have apparently environmental pollution problems, such as eutrophication, red tide, and hypoxia. The carrying capacity of the Bay is estimated by hydrodynamic model and ecosystem model, material circulation including bivalve in ecosystem is analyzed by the growth model of bivalve. The resulting reduction in the input load was found to be 50~90%, which is unrealistic. When the efficiency of water quality improvement through bivalve farming was assessed based on the autochthonous COD, 30.7% of the total COD was allochthonous COD and 69.3% was autochthonous COD. The overall autochthonous COD reduction rate by bivalve aquaculture farm was found to be about 6.7%. This study indicate that bivalve farming is about 31% less expensive than advanced treatment facilities that remove both nitrogen and phosphorous.