• 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.

• Journal of Korea Port Economic Association
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• v.38 no.4
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• pp.87-106
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• 2022

Uncertainties in the energy market are increasing due to technology developments (shale revolution), trade wars, COVID-19, and the Russia-Ukraine war. Especially, since 2020, the risk of international trade in the energy market has increased significantly due to changes in the supply chain of transportation and due to prolonged demand reduction because of COVID-19 and the Russian-Ukraine war. Considering these points, this study analyzed connectedness between energy price, tanker index, and uncertainty to understand the connectedness between international trade in the energy market. Main results are summarized as follows. First, as a result of analyzing stable period and unstable period of the energy price model using the MS-VAR model, it was confirmed that both the crude oil market model and the natural gas market model had a higher probability of maintaining stable period than unstable period, increasing volatility by specific events. Second, looking at the results of the analysis of the connectedness between stable period and unstable period of the energy market, it was confirmed that in the case of total connectedness, connectedness between variables was increased in the unstable period compared to the stable period. In the case of the energy market stable period, considering the degree of connectedness, it was confirmed that the effect of the tanker freight index, which represents the demand-side factor, was significant. Third, unstable period of the natural gas market model increases rapidly compared to the crude oil market model, indicating that the volatility spillover effect of the natural gas market is greater when uncertainties affecting energy prices increase compared to the crude oil market.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.13 no.5
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• pp.2096-2109
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• 2012

This study investigates empirical issues that have received little attention in the previous research in the Korean capital market. It is to find any financial determinants on the capital structure for the firms listed in the KOSDAQ(Korea Securities Dealers Automated Quotation). Another test is performed to find any possible discriminating factors by utilizing a robust methodology, which may distinguish between the firms belonging the 'prime section' and the 'venture section' in terms of their financial aspects. Moreover, the null hypothesis that the changing trend or movement of a firm's capital structure with respect to its industry mean (or median) may be random, is also tested. For the book-value based debt ratios, size(INSIZE), growth(GROWTH), Market to book value of equity(MVBV), volatility(VOLATILITY), market value of equity (MVE) and section dummy (SECTION) showed their statistically significant effects on the book-value based leverage ratios, respectively, while size(INSIZE), growth(GROWTH), market value of equity(MVE), beta(BETA) and section dummy (SECTION) showed their statistically significant effects on the market-value based leverage ratios. This study also found an interesting result that a firm belonging to each corresponding industry has a tendency for reversion toward its mean and median leverage ratios over the five-year tested period.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.16 no.1
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• pp.227-232
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• 2016

As the demand for electric power increases, all devices operating in power stations and all devices adopted in order to deliver distant loads need to be operating in perfect condition at the level of reliability expected by consumers. In general, the lifetime of cables used in delivering high power is declared to be 30 years from the time of production. Deterioration (which is the worsening of electric properties) starts from the very moment of operation. In spite of the reduction in reliability caused by deterioration, the reality is that cables often operate at considerable risk of accidents because the reliability of operation has not been diagnosed. We have invented a device to diagnose the deterioration processes of high-voltage power cables. It has been installed and is currently operating at Korea Western Power Co., Ltd., located in Chungnam, Korea. In previously published papers we have shown graphs obtained by plotting insulation resistances versus time, through analyzing the data extracted from operating cables using the devices we have invented. In this paper, we verify that the previously plotted graphs agree with the life time index of Weibull distribution of probability.

• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.243-257
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• 2017

In this paper, we compare several methods to approximate option prices: Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method using normal inverse gaussian (NIG) distribution, and an asymptotic method using nonlinear regression. We used two different types of approximation. The first (called the RNM method) approximates the risk neutral probability density function of the log return of the underlying asset and computes the option price. The second (called the OPTIM method) finds the approximate option pricing formula and then estimates parameters to compute the option price. For simulation experiments, we generated underlying asset data from the Heston model and NIG model, a well-known stochastic volatility model and a well-known Levy model, respectively. We also applied the above approximating methods to the KOSPI200 call option price as a real data application. We then found that the OPTIM method shows better performance on average than the RNM method. Among the OPTIM, A-type Gram-Charlier expansion and the asymptotic method that uses nonlinear regression showed relatively better performance; in addition, among RNM, the method of using NIG distribution was relatively better than others.

• Proceedings of the Korea Water Resources Association Conference
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• 2015.05a
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• pp.275-275
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• 2015

최근 기후변화에 따른 극한 강우사상의 증가로 인하여 농업용 저수지의 재해 위험도가 증가하고 있는 추세이며, 사고가 발생할 때 마다 파손/붕괴된 시설물을 보수하는 대응형 유지관리체계에서 벗어나 기반시설의 성능과 생애주기 등을 고려하여 재해 발생을 사전에 예보 및 경보를 알릴 수 있는 예방적 관리체계로의 전환이 필요하다. 한국농어촌공사는 전국 1,500개 저수지에서 10분 단위 수위자료를 측정하고 있으며, 이를 분석하여 재해예방에 활용할 수 있는 기반이 조성되어 있으나 이에 대한 관리가 이루어지지 않고 있고 수집된 자료를 활용하여 재해 징후를 분석할 수 있는 재해 예방적 분석기술이 마련되어 있지 않은 실정이다. 본 연구에서는 농업용 저수지 수위자료를 이용한 저수지 이상거동을 판별하기 위하여 전국 34개 한국농어촌공사 관할 저수의 시계열 수위자료의 특성(Feature)을 분석하고자 한다. 시계열 자료의 시계열 특성을 분석하기 위하여 한국농어촌공사 관할의 전국 34개 저수지를 선정하여 분석을 실시하였다. 대상저수지는 지역별, 저수용량, 안정등급, 붕괴발생, 1개 지사관할 저수지로 각각 구분하여 선정하였으며, 각 저수지의 수위 측정기간(최소 5개년)에 대한 자료를 수집하였다. 농업용 저수지의 시계열 수위 자료의 특성을 분석하기 위하여 자료의 전처리를 수행하였다. 자료의 전처리는 시계열 수위자료의 잡음 특성, 기상자료 관련 변동특성 등 분류(Classification)에 영향을 미치는 노이즈 요소를 제거하는 과정이다. 전처리과정을 거친 자료는 특징(Feature) 추출 과정을 거치게 되고, 추출된 특징의 적합성에 따라 분류 알고리듬 성능에 많은 영향을 미친다. 따라서 시계열 자료의 특성을 파악하고 특징을 추출하는 것은 이상치 탐지에 있어 매우 중요한 과정이다. 본 연구에서는 시계열 자료 특징 추출 방법으로 물리적인 한계치, 확률적인 문턱값(Threshold), 시계열 패턴, 주변 저수지와의 시계열 상관분석 등을 적용하였으며, 이를 데이터베이스로 구축하여 이후 분류알고리듬 학습에 적용하여 정상치와 이상치를 판별하는데 이용될 수 있도록 하였다. 따라서 본 연구에서 제시되는 농업용 저수지의 시계열 특성은 다양한 분류알고리듬에 적용할 수 있으며, 이를 통하여 저수지 이상거동 판별을 위한 최적을 분류알고리듬의 선택에 도움이 될 것이다.

• Journal of Wetlands Research
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• v.15 no.1
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• pp.105-114
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• 2013

Recently, Due to Climate change, extreme rainfall occurs frequently. In many preceding studies, Because of extreme hydrological events changes, it is expected that peak flood Magnitude and frequency of drainage infrastructures changes. However, at present, probability rainfall in the drainage facilities design is assumed to Stationary which are not effected from climate change and long-term fluctuation. In the future, flood control safety standard should be reconsidered about the valid viewpoint. In this paper, in order to assess impact of climate change on drainage system, Future climate change information has been extracted from RCP 8.5 Climate Change Scenario for IPCC AR5, then estimated the design rainfall for various durations at return periods. Finally, the design flood estimated through the HEC-HMS Model which is being widely used in the practices, estimated the effect of climate change on the Design Flood of Mihochen basin. The results suggested that the Design Flood increase by climate change. Due to this, the Flood risk of Mihochen basin can be identified to increase comparing the present status.

• Journal of Climate Change Research
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• v.4 no.1
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• pp.11-26
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• 2013

This study examined the applicability of robust decision making (RDM) over standard decision making (SDM) by comparing each result of water supply planning under climate change uncertainties for a Korean dam case. RDM determines the rank of alternatives using the regret criterion which derives less fluctuating alternatives under the risk level regardless of scenarios. RDM and SDM methods were applied to assess hypothetic scenarios of water supply planning for the Andong dam and Imha dam basins. After generating various climate change scenarios and six assumed alternatives, the rank of alternatives was estimated by RDM and SDM respectively. As a result, the average difference in the rank of alternatives between RDM and SDM methods is 0.33~1.33 even though the same scenarios and alternatives were used to be ranked by both of RDM and SDM. This study has significance in terms of an attempt to assess a new approach to decision making for responding to climate change uncertainties in Korea. The effectiveness of RDM under more various conditions should be verified in the future.

• The Korean Journal of Financial Management
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• v.13 no.1
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• pp.1-49
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• 1996

금융정책(金融政策)과 자본시장(資本市場)의 증권가격(證券價格)과의 동태적(動態的) 관련성(關聯性)을 실증적으로 분석한 결과, 동태적(動態的) 구조면(構造面)에서 볼 때 특히 주식시장은 화폐에 대하여 시차를 갖는 반면, 장기채시장과 단기무위험시장에서는 시차를 갖지 않음이 발견되었다. 그리고 증권가격형성 메카니즘을 살펴본 결과, 화폐(貨幣)의 증가(增加)는 부(富)의 효과(效果)로 이어지고 그 결과 주가의 상승이 초래된다. 다른 한편으로 화폐의 증가가 대체효과를 반드시 유발시키지는 않으며, 그 이유로는 투자자들이 장기채를 선호함으로써 가격의 상승을 불러일으키는 반면 무위험자산의 경우 가격의 변동은 일어나지 않았기 때문이다. 끝으로, 가격효과(價格效果)의 존속은 비교적 단기로 끝남이 확인되었다. 증권시장(證券市場)의 장기적(長期的) 구조(構造)를 파악하기 위하여 공적분(共積分) 검정(檢定)을 실시하였다. 단위근(單位根) 검정(檢定)에 의하여 우리나라의 금융시계열은 단위근이 존재한다는 사실이 입증되었다. 따라서 금융시계열이 비정상적(非定常的) 확률과정(確率過程)을 따르고 있다. 공적분(共積分) 검정(檢定)에 의하여 화폐의 실질대수 유통속도와 실질주가, 장단기수익비율, 화폐차등수익률과 소득변화율 사이에는 차분후에 장기적 정상균형관계가 형성되고 있음이 발견되었다. 통화정책과 주가는 장기의 동태적 구조 측면에서 파악할 때 장기정상관계를 유지하고 있다. 그리고 주가는 시차(時差)가 0인 동시적(同時的) 통화정책(通貨政策)과 제1계 시차통화정책과 소득에 의하여 결정되고 있다. 다른 금융시계열은 주가결정에 영향을 미치고 있지 못한 실정이다. 주가의 상승은 부(富)의 효과(效果)와 대체효과(代替效果)를 유발하고 있다. 따라서 통화당국은 이점을 고려하여 화폐정책(貨幣政策)을 수립하여야 한다. 그리고 통화량은 주가의 가격형성에 양(陽)의 효과(效果)를 형성하고 있다. 따라서 화폐의 공급량의 증가는 명목주가(名目株價)의 상승을 유발하고 이에 따라 부(富)의 효과(效果)와 대체효과(代替效果)가 발생한다. 이와 같은 현상의 발견은 정부당국의 통화정책과 자본시장정책에 중요한 의의를 갖고 있다고 하겠다. 주가형성(株價形成)에 대한 통화정책의 효과는 당기 뿐만 아니라 차기에도 이어지고 화폐량과 소득이 주가의 결정에 영향을 미치고 있으며 다른 금융변수(金融變數)들은 영향을 미치지 않고 있다. 그러나 실질화폐잔고와 실질주가 장단기수익비율 화폐차등수익률과 소득변화률과는 장기적(長期的) 정상적(定常的) 균형관계(均衡關係)를 형성하고 있다. 따라서 장기적 관점에서 증권시장은 경제성장을 위한 통화정책과 각 분야의 균형적 성장을 유발할 수 있는 재정정책(財政政策)이 요청되고 있다. 위의 논의에서 유추할 수 있는 것은 화폐의 영향을 완화시키기 위하여 option시장의 개발과 농산물, 광물, 기타 실물 및 금융에 대한 선물시장의 개설이 요청된다. 이와 같은 시장을 통하여 통화 정책이 증권시장에 미치는 과도한 효과를 축소시켜 합리적이고 건전한 증권시장(證券市場)의 발전(發展)과 금융시장(金融市場)의 원활한 발전이 이룩될 수 있을 것이다. 자본시장이론(資本市場理論)에서는 화폐는 무시하고 실물적인 관점에서 증권가격의 결정을 연구하거나 위험분석에 주안점이 주어져 왔었다. 본 연구를 통하여 통화정책의 결과가 자본시장에 직접적으로 영향을 미치고 있음을 확인하였다. 통화금융정책과 주가의 유기적 관계를 확인한 본 논문의 결과를 정책당국이 참고하여 통화금융정책(通貨金融政策) 효율성(效率性)을 극대화(極大化)할 수 있을 것으로 본다.

• Journal of the Korean Society of Marine Environment & Safety
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• v.24 no.4
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• pp.422-429
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• 2018

To make students recognize the danger of fire smoke that may occur in ships and to improve the response capability, spaces for safety educ ation were built inside the training ship, and scenarios were developed. This study is an analysis of the movement characteristics of the students acquire d under each scenario. Followings are the summary of the analysis results. In the non-smoke environments, there was no difference in the velocity of escape movement between the case of without block on the familiar route and the case of with unexpected block. However, when the indoor was filled with smoke, the visibility became very low because of the smoke density and the average velocity was 62.5 % slower than the case where it was not. Regardless of the scenarios, the average equivalent velocity on the complex path was faster than the simple straight path, and the standard deviation was smaller. Under the smoke-fullfilled environment, although the relative velocity probability distributions of the complex passage and the entire passag e are very similar, the inter-individual fluctuation of the relative velocity ratio of the complex passage to that of the entire passage was very large. On the other hand, equivalent velocity could be expressed by the logarithmic function of the visibility. Also, as the tension of the students increased, the equivalent velocities were accelerated on all scenarios.