• Journal of Intelligence and Information Systems
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• v.22 no.4
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• pp.19-43
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• 2016

This study examines the causes of the Asian exchange rate crisis and compares it to the European Monetary System crisis. In 1997, emerging countries in Asia experienced financial crises. Previously in 1992, currencies in the European Monetary System had undergone the same experience. This was followed by Mexico in 1994. The objective of this paper lies in the generation of useful insights from these crises. This research presents a comparison of South Korea, United Kingdom and Mexico, and then compares three different models for prediction. Previous studies of economic crisis focused largely on the manual construction of causal models using linear techniques. However, the weakness of such models stems from the prevalence of nonlinear factors in reality. This paper uses a structural equation model to analyze the causes, followed by a neural network model to circumvent the linear model's weaknesses. The models are examined in the context of predicting exchange rates In this paper, data were quarterly ones, and Consumer Price Index, Gross Domestic Product, Interest Rate, Stock Index, Current Account, Foreign Reserves were independent variables for the prediction. However, time periods of each country's data are different. Lisrel is an emerging method and as such requires a fresh approach to financial crisis prediction model design, along with the flexibility to accommodate unexpected change. This paper indicates the neural network model has the greater prediction performance in Korea, Mexico, and United Kingdom. However, in Korea, the multiple regression shows the better performance. In Mexico, the multiple regression is almost indifferent to the Lisrel. Although Lisrel doesn't show the significant performance, the refined model is expected to show the better result. The structural model in this paper should contain the psychological factor and other invisible areas in the future work. The reason of the low hit ratio is that the alternative model in this paper uses only the financial market data. Thus, we cannot consider the other important part. Korea's hit ratio is lower than that of United Kingdom. So, there must be the other construct that affects the financial market. So does Mexico. However, the United Kingdom's financial market is more influenced and explained by the financial factors than Korea and Mexico.

• Proceedings of the Korea Water Resources Association Conference
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• 2007.05a
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• pp.1474-1478
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• 2007

수문 및 수질자료는 일정한 기준에 의한 관측치를 시계열 자료로 기록하거나 전송할 때 다양한 형태의 오차가 발생하게 되며 또한 수문 및 수질자료를 관측하는 측정기기의 고장과 유지관리 등의 어려움으로 다양한 형태의 결측 자료가 발생하고 있다. 이와 더불어 수문 및 수질자료는 시공간적 변동성이 크며 비선형성이 강한 특성을 갖고 있다. 이러한 수문 및 수질 자료를 이용하여 모형을 구축할 경우 다양한 형태의 잡음에 대한 검증 및 잡음저감이 필수적 요건이라 할 수 있다. 따라서 본 연구에서는 영산강 유역의 본류부를 대표하는 나주지점에 대한 유출량과 총유기탄소(TOC) 농도 및 TOC 부하량 예측모형을 개발하였으며, 이를 위한 방법으로는 잡음저감을 위하여 웨이블렛 변환과 인공신경망을 적용하였다. TOC 부하량 자료는 유출량과 TOC 자료간의 함수로서 표현이 가능함에 따라 유출량 및 TOC 자료가 결측되었을 경우 역함수에 의한 계산으로 결측 자료에 대한 보간이 가능하다. 따라서 본 연구의 주안점은 잠음 저감 및 인공신경망에 의해 최적화된 예측 모형이 결측된 유출량과 TOC 자료에 대한 역함수로 정도있는 유출량과 TOC 자료 생성 가능성을 검토하고자 한다. 본 연구의 적용 결과, 유출량 자료가 결측되었을 경우 TOC 및 TOC 부하량 예측으로 유출량 자료에 대한 간접추정 및 결측 자료에 대한 보간의 정도를 평가한 결과 $R^2$는 0.99 이상의 값을 보였다. 또한, TOC 자료가 결측되었을 경우 역시 $R^2$는 비교적 우수한 0.97 이상의 값을 보였다. 따라서 본 연구에서 개발한 유출량 및 TOC, TOC 부하량 예측모형의 개발은 정도있는 유출량 및 TOC 수질 자료의 생성이 가능할 것으로 기대된다.한 물순환 해석을 할 수 있는 기반을 확보 하였으며, 가용한 장 단기간의 관측자료와 물수지 분석 연산식의 추정치를 바탕으로 관측자료에 의한 물수지 분석을 수행하였다. 분석 결과로 산지 소하천 유역인 설마천 시험유역의 각 수문요소의 물이동간의 정량적인 값을 알 수가 있었으며, 앞으로 추가적이고 지속적인 수문모니터링이 운영되고 물순환 해석 모형에 의한 검증이 수행된다면 정량적인 물순환 관계를 규명할 수 있을 뿐만 아니라 이와 관련된 수문요소기술을 확보할 수 있을 것이다.절한 타협과 조정을 필요로 한다. 그러나 절제의 한계를 넘어선다고 생각되거나, 조정의 노력이 불가능하거나, 실패했을 때 폭력적인 행동으로 나타나게 된다. 리차즈(I.A Richards)는 분노와 공포는 일단 겉잡을 수 없는 경향이 있다고 하면서 오늘날 폭력에 대한 요구가 일상의 정서 생활에 있어, 억압을 통한, 빈곤함을 반영하고 있지 않은지 생각해봐야 할 것이라고 충고한다. 조성 가이드라인(안)을 제시하였다.EX>$\ulcorner$세종실록$\lrcorner$(世宗實錄) $\ulcorner$지리지$\lrcorner$(地理志)와의 비교를 해보면 상 중 하품의 통합 9개소가 삭제되어 있고, $\ulcorner$동국여지승람$\lrcorner$(東國與地勝覽) 에서는 자기소와 도기소의 위치가 완전히 삭제되어 있다. 이러한 현상은 첫째, 15세기 중엽 경제적 태평과 함께 백자의 수요 생산이 증가하자 군신의 변별(辨別)과 사치를 이유로 강력하게 규제하여 백자의 확대와 발전에 걸림돌이 되었다. 둘째, 동기(銅器)의 대체품으로 자기를 만들어 충당해야할 강제성 당위성 상실로 인한 자기수요 감

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.32 no.2
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• pp.106-121
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• 2020

In order to make harbor outskirt facilities robust using the reliability-based design, probabilistic models of wave heights at varying stage of shoaling process optimized for Korean sea waves are prerequisite. In this rationale, we numerically simulate the nonlinear shoaling process of random waves over the beach with a sandbar at its foreshore. In doing so, comprehensive numerical models made of spatially filtered Navier-Stokes Eq., LES [Large Eddy Simulation], dynamic Smagorinsky turbulence closure were used. Considering the characteristics of swells observed at the east coast of Korean Peninsula, random waves were simulated using JONSWAP wave spectrum of various peak enhancement coefficients and random phase method. The coefficients of probabilistic models proposed in this study are estimated from the results of frequency analysis of wave crests and its associated trough detected by Wave by Wave Analysis of the time series of numerically simulated free surface displacements based on the threshold crossing method. Numerical results show that Modified Glukhovskiy wave height distribution, the most referred probabilistic models at finite water depth in the literature, over-predicts the occurring probability of relatively large and small wave heights, and under predicts the occurrence rate of waves of moderate heights. On the other hand, probabilistic models developed in this study show vary encouraging agreements. In addition, the discrepancy of the Modified Glukhovskiy distribution from the measured one are most visible over the surf zone, and as a result, the Modified Glukhovskiy distribution should be applied with caution for the reliability-based design of harbor outskirt facilities deployed near the surf-zone.

• The Korean Journal of Financial Management
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• v.14 no.1
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• pp.23-50
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• 1997

Shiller(1981)와 LeRoy-Porter(1951)에 의하여 시작된 분산한계검증(分散限界檢證)(variance bounds test)에 관한 연구는 주식시장에서 초과변동성(超過變動性)(excess volatility)의 존재를 통하여 주식시장(株式市場)의 효율성(效率性)을 검증하는 새로운 연구분야로서 주목을 받아왔다. 그리고 이들의 연구방법론을 응용하여 많은 효율적(效率的) 시장가설(市場假說)의 검증에 대한 연구가 이루어져 왔다. 본(本) 연구(硏究)는 이러한 연구(硏究)의 한 범주로써 한국주식시장(韓國株式市場)에서 분산한계검증(分散限界檢證)을 통하여 약형효율성(弱形效率性) 시장가설(市場假說)을 검증(檢證)하고자 하였으며 이를 위하여 먼저 Shiller (1981)의 배당평가모형(配當評價模型)을 이용한 사후적(事後的)인 합리적(合理的) 주가(株價)인 $P_t{^*}$의 추정방법(推定方法) 대신에 이 배당평가모형(配當評價模型)을 변형하여 $P_t{^*}$를 추정(推定)하는 방법을 제시하였다. 그리고 이 $P_t{^*}$를 기초로 Shiller(1981)의 분산한계검증식(分散限界檢證式)을 변형한 분산한계검증(分散限界檢證)의 조건식(條件式)을 유도하고 이에 의해 실증적(實證的) 검증(檢證)을 하였다. 한편, 이러한 검증과정(檢證過程)에서 시계열자료(時系列資料)의 특성상 사전적(事前的)으로 필요로 하는 실제주가(實際株價), $P_t$와 사후적(事後的)인 합리적(合理的) 주가(株價), $P_t{^*}$에 대한 단위근검정(單位根檢定)(unit root test)을 실시하였다. 아울러 $P_t$와 $P_t{^*}$의 선형관계(線形關係)의 안정성을 검정하기 위하여 공적분검정(共積分檢定)(cointegration test)도 실시하였다. 검증결과(檢證結果), Shiller(1981)의 분산한계검증식(分散限界檢證式)을 변형하여 유도된 효율성조건(效率性條件)을 만족시키는 범위(範圍)에 벗어나 한국주식시장(韓國株式市場)에서 주식시장(株式市場)의 비효율성(非效率性)을 배제할 수 없는 것으로 나타났다.

• Journal of Navigation and Port Research
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• v.42 no.6
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• pp.539-545
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• 2018

In recent years, research on shipping market forecasting with the employment of non-linear AI models has attracted significant interest. In previous studies, input variables were selected with reference to past papers or by relying on the intuitions of the researchers. This paper attempts to address this issue by applying the stepwise regression model and the random forest model to the Cape-size bulk carrier market. The Cape market was selected due to the simplicity of its supply and demand structure. The preliminary selection of the determinants resulted in 16 variables. In the next stage, 8 features from the stepwise regression model and 10 features from the random forest model were screened as important determinants. The chosen variables were used to test both models. Based on the analysis of the models, it was observed that the random forest model outperforms the stepwise regression model. This research is significant because it provides a scientific basis which can be used to find the determinants in shipping market forecasting, and utilize a machine-learning model in the process. The results of this research can be used to enhance the decisions of chartering desks by offering a guideline for market analysis.

• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.243-266
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• 2006

This paper tests cross hedging performance of the KOSPI 200 stock index futures to hedge the downside risk of the KOSPI, KOSPI 200 and KOSDAQ50 spot market. For this purpose we introduce the minimum variance hedge model, bivariate GARCH(1,1) and EGARCH(1,1) model as hedge models. The main results are as follows; First, we find that the direct hedge performance of KOSPI 200 index futures is better than those of indirect hedge performance. second, in case or cross hedge performance the hedge effect of KOSPI 200 stock index futures market against KOSPI 200 stock index spot market is relatively better than those of KOSPI 200 index futures against KOSPI and KOSDAQ spot position. Third, for the out-sample, hedging effectiveness of the risk-minimization with constant hedge ratios is higher than those of the time varying bivariate GARCH(1,1) and EGARCH(1,1) model. In conclusion, investors are encouraged to use simple risk-minimization model rather than the time varying hedge models like GARCH and EGARCH model to hedge the position of the Korean stock index cash markets.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.18 no.2
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• pp.127-139
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• 2023

Compensation and pay dispersion has been rigorously scrutinized to investigate their impacts on productivity and organizational performance. However, it is difficult to find a systematic study on the systematic dynamics of compensation and pay dispersion effects specifically in the context of Korean venture companies. Venture companies should manage their organizational resources efficiently to maximize their organizational performance through pay structure by efficiently managing the inherent resources. However, we acknowledge that empirical studies on how compensation and pay dispersion affect organizational productivity and performance are rare to find in the Korean context. To overcome this supplement limitation, this study hypothesized that (1) pay and members' productivity are positively related, (2) pay dispersion and organizational productivity have U shaped relationship, and (3) organizational productivity mediates the positive relationship between compensation and organizational performance. Venture companies and professional sports teams share manifold common characteristics such as size, financial circumstances, and operational objectives. We collect 9 seasons (2013~2014 - 2021~2022) of 10 teams' data of Korean Basketball League teams to test our hypotheses. Methodologically, the assessment of our analysis is rendered with PROCESS macro model 58. The statistical results showed that all hypotheses are statistically supported. This study explains how compensation and pay dispersion affect organizational productivity and performance of venture companies in Korea.

• Journal of Intelligence and Information Systems
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• v.23 no.2
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• pp.107-122
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• 2017

Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

• Journal of Korea Water Resources Association
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• v.41 no.9
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• pp.959-967
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• 2008

Disaggregation techniques are widely used to transform observed daily rainfall values into hourly ones, which serve as important inputs for flood forecasting purposes. However, an important limitation with most of the existing disaggregation techniques is that they treat the rainfall process as a realization of a stochastic process, thus raising questions on the lack of connection between the structure of the models on one hand and the underlying physics of the rainfall process on the other. The present study introduces a nonlinear deterministic (and specifically chaotic) framework to study the dynamic characteristics of rainfall distributions across different temporal scales (i.e. weights between scales), and thus the possibility of rainfall disaggregation. Rainfall data from the Seoul station (recorded by the Korea Meteorological Administration) are considered for the present investigation, and weights between only successively doubled resolutions (i.e., 24-hr to 12-hr, 12-hr to 6-hr, 6-hr to 3-hr) are analyzed. The correlation dimension method is employed to investigate the presence of chaotic behavior in the time series of weights, and a local approximation technique is employed for rainfall disaggregation. The results indicate the presence of chaotic behavior in the dynamics of weights between the successively doubled scales studied. The modeled (disaggregated) rainfall values are found to be in good agreement with the observed ones in their overall matching (e.g. correlation coefficient and low mean square error). While the general trend (rainfall amount and time of occurrence) is clearly captured, an underestimation of the maximum values are found.

• Korean Journal of Agricultural and Forest Meteorology
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• v.17 no.1
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• pp.25-34
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• 2015

In this research, we applied a procedure of quality control (QC) to the agro-meteorological data measured at the Suwon weather station of Korea Meteorological Administration (KMA). The QC was conducted through six steps based on the KMA Real-time Quality control system for Meteorological Observation Data (RQMOD) and four steps based on the International Soil Moisture Network (ISMN) QC modules. In addition, we set up our own empirical method to remove erroneous data which could not be filtered by the RQMOD and ISMN methods. After all these QC procedures, a well-refined agro-meteorological dataset was complied at both air and soil temperatures. Our research suggests that soil moisture requires more detailed and reliable grounds to remove doubtful data, especially in winter with its abnormal variations. The raw data and the data after QC are now available at the NCAM website (http://ncam.kr/page/req/agri_weather.php).