• Title/Summary/Keyword: 시계열 회귀 분석

Search Result 316, Processing Time 0.022 seconds

An Empirical Test of the Dynamic Optimality Condition for Exhaustible Resources -An Input Distance Function- (투입물거리함수를 통한 고갈자원의 동태적 최적이용 여부 검증)

  • Lee, Myunghun
    • Environmental and Resource Economics Review
    • /
    • v.15 no.4
    • /
    • pp.673-692
    • /
    • 2006
  • In order to test for the dynamic optimality condition for the use of nonrenewable resource, it is necessary to estimate the shadow value of the resource in situ. In the previous literatures, a time series for in situ price has been derived either as the difference between marginal revenue and marginal cost or by differentiating with respect to the quantity of ore extracted the restricted cost function in which the quantity of ore is quasi-fixed. However, not only inconsistent estimates are likely to be generated due to the nonmalleability of capital, but the estimate of marginal revenue will be affected by market power. Since firms will likely fail to minimize the cost of the reproducible inputs subject to market prices under realistic circumstances where imperfect factor markets, strikes, or government regulations are present, the shadow in situ values obtained by estimating the restricted cost function can be biased. This paper provides a valid methodology for checking the dynamic optimality condition for a nonrenewable resource by using the input distance function. Our methodology has some advantages over previous ones: only data on quantities of inputs and outputs are required; nor is the maintained hypothesis of cost minimization required; adoption of linear programming enables us to circumvent autocorrelated errors problem caused by use of time series or panel data. The dynamic optimality condition for domestic coal mining does not hold for constant discount rates ranging from 2 to 20 percent over the period 1970~1993. The dynamic optimality condition also does not hold for variable rates ranging from fourth to four times the real interest rate.

  • PDF

Estimation of Potential Supply of Offset from Household Electric Appliances (가정용 전자기기의 잠재 상쇄 공급량 추정)

  • Jin, Hyun Joung;Kim, Jeong In;You, Eun Young;Park, Seo Hwa
    • Environmental and Resource Economics Review
    • /
    • v.24 no.3
    • /
    • pp.463-488
    • /
    • 2015
  • A more detailed design of offset system is needed according to the emission trading system started in 2015. This study aims to estimate the supply of potential offset that can be secured by expanding high-efficiency household electric appliances. The target commodities for analysis are three different householding electric appliances: TV, washing machine, electric fan, refrigerator and air conditioner. By using the ARDL model, we estimated the coefficients of diffusion of these high-efficiency appliances from 2016 to 2022. Then, the potential supply of offset was drawn by calculating the amount of electricity saving by efficiency improvement and by applying the rates of carbon exchange. Supposing that the electricity savings rates of high-efficiency appliances are each 10% and 20%, the accumulated carbon decrement in 2022 was respectively $361,899CO_2t$ and $723,797CO_2t$. The appliance that showed the biggest carbon decrement was air conditioner, and the second biggest was refrigerator and the next was TV, followed by washing machine, electric fan.

Estimation of GARCH Models and Performance Analysis of Volatility Trading System using Support Vector Regression (Support Vector Regression을 이용한 GARCH 모형의 추정과 투자전략의 성과분석)

  • Kim, Sun Woong;Choi, Heung Sik
    • Journal of Intelligence and Information Systems
    • /
    • v.23 no.2
    • /
    • pp.107-122
    • /
    • 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.

Characteristics of EMG Median Frequency and Torque During Isometric Back Extension Exercises (등척성 요추 신전운동 시 중앙주파수와 토크의 특성)

  • Kang, S. J.;Park, S. J.;Jang, K.;Park, K. H.;Kwon, O. Y.;Kim, Y. H.
    • Journal of Biomedical Engineering Research
    • /
    • v.23 no.1
    • /
    • pp.9-16
    • /
    • 2002
  • Localized muscle fatigue can be identified by a downward shift of the EMG frequency typically represented by a fall in the median frequency The Present experimental study was Performed to investigate the time change of the median frequency and the muscle torque during maximal isometric back extension exercises at different exercise angles (0$^{\circ}$, 12$^{\circ}$, 36$^{\circ}$and 72$^{\circ}$) Twenty heath subjects (mean age : 24.35 $\pm$ 2.70) were Participated in this study Median frequency was extracted from EMG signals by employing the fast Fourier transform. Initial median frequency and the slope of median frequency was not significantly correlated with the muscle torque. Pearson's Product moment correlation was used to quantify the relationship between slopes of median frequency and torque. The results may suggest that the exorcise angle during maximal isometric back extension exercises does not affect the slopes of the median frequency and torque, and y-intercept of the median frequency among exercise angles There was no significant correlation between slopes of median frequency and torque. But there was a moderate correlation between median frequency and torque at each exercise angle. In conclusion, the exercise angle during maximal isometric back extension exercise is not a direct effect on slopes of median frequency and torque. But results showed that the shift of median frequency and torque shift were highly correlated in all subjects.

Grand Circulation Process of Beach Cusp and its Seasonal Variation at the Mang-Bang Beach from the Perspective of Trapped Mode Edge Waves as the Driving Mechanism of Beach Cusp Formation (맹방해안에서 관측되는 Beach Cusp의 일 년에 걸친 대순환 과정과 계절별 특성 - 여러 생성기작 중 포획모드 Edge Waves를 중심으로)

  • Cho, Yong Jun
    • Journal of Korean Society of Coastal and Ocean Engineers
    • /
    • v.31 no.5
    • /
    • pp.265-277
    • /
    • 2019
  • Using the measured data of waves and shore-line, we reviewed the grand circulation process and seasonal variation of beach cusp at the Mang-Bang beach from the perspective of trapped mode Edge waves known as the driving mechanism of beach cusp. In order to track the temporal and spatial variation trends of beach cusp, we quantify the beach cusp in terms of its wave length and amplitude detected by threshold crossing method. In doing so, we also utilize the spectral analysis method and its associated spectral mean sand wave number. From repeated period of convergence and ensuing splitting of sand waves detected from the yearly time series of spectral mean sand wave number of beach cusp, it is shown that the grand circulation process of beach cusp at Mang-Bang beach are occurring twice from 2017. 4. 26 to 2018. 4. 20. For the case of beach area, it increased by $14,142m^2$ during this period, and the shore-line advanced by 18 m at the northen and southern parts of the Mang-Bang beach whereas the shore-line advanced by 2.4 m at the central parts of Mang-Bang beach. It is also worthy of note that the beach area rapidly increased by $30,345m^2$ from 2017.11.26. to 2017.12.22. which can be attributed to the nature of coming waves. During this period, mild swells of long period were prevailing, and their angle of attack were next to zero. These characteristics of waves imply that the main transport mode of sediment would be the cross-shore. Considering the facts that self-healing capacity of natural beaches is realized via the cross-shore sediment once temporarily eroded. it can be easily deduced that the sediment carried by the boundary layer streaming toward the shore under mild swells which normally incident toward the Mang-Bang beach makes the beach area rapidly increase from 2017.11.26. to 2017.12.22.

A Time Series Graph based Convolutional Neural Network Model for Effective Input Variable Pattern Learning : Application to the Prediction of Stock Market (효과적인 입력변수 패턴 학습을 위한 시계열 그래프 기반 합성곱 신경망 모형: 주식시장 예측에의 응용)

  • Lee, Mo-Se;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
    • /
    • v.24 no.1
    • /
    • pp.167-181
    • /
    • 2018
  • Over the past decade, deep learning has been in spotlight among various machine learning algorithms. In particular, CNN(Convolutional Neural Network), which is known as the effective solution for recognizing and classifying images or voices, has been popularly applied to classification and prediction problems. In this study, we investigate the way to apply CNN in business problem solving. Specifically, this study propose to apply CNN to stock market prediction, one of the most challenging tasks in the machine learning research. As mentioned, CNN has strength in interpreting images. Thus, the model proposed in this study adopts CNN as the binary classifier that predicts stock market direction (upward or downward) by using time series graphs as its inputs. That is, our proposal is to build a machine learning algorithm that mimics an experts called 'technical analysts' who examine the graph of past price movement, and predict future financial price movements. Our proposed model named 'CNN-FG(Convolutional Neural Network using Fluctuation Graph)' consists of five steps. In the first step, it divides the dataset into the intervals of 5 days. And then, it creates time series graphs for the divided dataset in step 2. The size of the image in which the graph is drawn is $40(pixels){\times}40(pixels)$, and the graph of each independent variable was drawn using different colors. In step 3, the model converts the images into the matrices. Each image is converted into the combination of three matrices in order to express the value of the color using R(red), G(green), and B(blue) scale. In the next step, it splits the dataset of the graph images into training and validation datasets. We used 80% of the total dataset as the training dataset, and the remaining 20% as the validation dataset. And then, CNN classifiers are trained using the images of training dataset in the final step. Regarding the parameters of CNN-FG, we adopted two convolution filters ($5{\times}5{\times}6$ and $5{\times}5{\times}9$) in the convolution layer. In the pooling layer, $2{\times}2$ max pooling filter was used. The numbers of the nodes in two hidden layers were set to, respectively, 900 and 32, and the number of the nodes in the output layer was set to 2(one is for the prediction of upward trend, and the other one is for downward trend). Activation functions for the convolution layer and the hidden layer were set to ReLU(Rectified Linear Unit), and one for the output layer set to Softmax function. To validate our model - CNN-FG, we applied it to the prediction of KOSPI200 for 2,026 days in eight years (from 2009 to 2016). To match the proportions of the two groups in the independent variable (i.e. tomorrow's stock market movement), we selected 1,950 samples by applying random sampling. Finally, we built the training dataset using 80% of the total dataset (1,560 samples), and the validation dataset using 20% (390 samples). The dependent variables of the experimental dataset included twelve technical indicators popularly been used in the previous studies. They include Stochastic %K, Stochastic %D, Momentum, ROC(rate of change), LW %R(Larry William's %R), A/D oscillator(accumulation/distribution oscillator), OSCP(price oscillator), CCI(commodity channel index), and so on. To confirm the superiority of CNN-FG, we compared its prediction accuracy with the ones of other classification models. Experimental results showed that CNN-FG outperforms LOGIT(logistic regression), ANN(artificial neural network), and SVM(support vector machine) with the statistical significance. These empirical results imply that converting time series business data into graphs and building CNN-based classification models using these graphs can be effective from the perspective of prediction accuracy. Thus, this paper sheds a light on how to apply deep learning techniques to the domain of business problem solving.