• 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.

• The Journal of Engineering Geology
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• v.24 no.2
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• pp.261-271
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• 2014

An almost permanent anchor (friction type) is resistant to ground deformation due to the friction between the soil and grout at a fixed length from the anchor body. The purpose of this study is to calculate the force of bearing resistance for a bearing anchor in enlarged boreholes. We conducted analytical and numerical analyses, along with laboratory testing, to find the quantities of bearing resistance prior to grouting in EBA (Enlarged Bearing Anchor) construction. The force of bearing resistance from the analytical method was defined as a function of general borehole diameter, expanded borehole diameter, and soil unconfined compressive strength. We also employed the Flac 3D finite difference numerical modeling code to analyze the bearing resistance of the soil conditions. We then created a laboratory experimental model to measure bearing resistance and carried out a pull-out test. The results of these three analyses are presented here, and a regression analysis was performed between bearing resistance and uniaxial compression strength. The laboratory results yield the strongest bearing resistance, with reinforcement 28.5 times greater than the uniaxial compression strength; the analytical and numerical analyses yielded values of 13.3 and 9.9, respectively. This results means that bearing resistance of laboratory test appears to be affected by skin friction resistance. To improve the reliability of these results, a comparison field study is needed to verify which results (analytical, numerical, or laboratory) best represent field observations.

• The Korean Journal of Applied Statistics
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• v.22 no.6
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• pp.1239-1247
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• 2009

Study the gene about economical characteristic of human disease or domestic animal is a matter of grave interest, preserve and elevation of gene of Korea cattle is key subject. Studies have been done on the gene of Korea cattle using EST based SNP map, but it is based on statistical model, therefore there are difference between real position and statistical position. These problems are solved using both EST_based SNP map and Gene on sequence by Lee et al. (2009b). We have used multifactor dimensionality reduction(MDR) method to study interaction effect of statistical model in general. But MDR method cannot be applied in all cases. It can be applied to the only case-control data. So, method is suggested E-MDR method using CART algorithm. Also we identified interaction effects of single nucleotide polymorphisms(SNPs) responsible for average daily gain(ADG) and marbling score(MS) using E-MDR method.

• The Journal of the Korea Contents Association
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• v.19 no.10
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• pp.568-580
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• 2019

With mobility-as-a-service(MaaS) drawing attention to its influence and ripple effect around the world, the mobility service market is currently growing rapidly mainly focusing on mobility sharing. In order to preemptively dominate the mobility service market following the full-scale spread of MaaS, it is important to first identify the recognition and experience of users in personal mobility sharing services, which are currently in the early stages of diffusion, and through which to understand the characteristics of potential consumers of the extended mobility service market. Therefore, the study aims to classify the user types of mobility service and establish a future user experience-oriented mobility service strategy using a subjectivity study method, Q methodology.

• Design Convergence Study
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• v.16 no.3
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• pp.69-84
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• 2017

Service blueprint is used to show the interaction between each service element at a glance and to understand the flow of the whole service centering on the customer at the stage of proposing a new service system. It was proposed in the 1980s before online business was developed. However, current services are changing in a way that provides various forms and channels, and the service blueprint seems to be not enough. To reflect this problem consciousness, we selected PSS among diversified service business models and propose a service blueprint type optimized for each business. After collecting 137 PSS cases to be used in the research, we made a business matrix and classified the cases and selected two representative cases to conduct two experiments. As a result, six types of service blueprint corresponding to the matrix could be derived: online service type, online remote support type, self rental type, online order type, traditional type, and offline support type. The validity of the proposed types of service blueprint was verified to confirm the suitability of those types.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.4
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• pp.606-614
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• 2016

In order to expand the market of the domestic space information industry, which is currently saturated, overseas expansion is essential, but the prospects are limited. Therefore, an effective strategy of overseas expansion is needed. Given the current state of such spatial information industry, V-World is expected to play a very important role. In the world market for space information, in order to ensure the export competitiveness of the domestic space information industry, in the present study, research and development was carried out on the V-World-based packaged goods model as one possible method. First of all, to analyze the current situation and characteristics of the spatial information industry, to grasp V-World as a commodity and derive the relationship between foreign demand and V-World, the sales destinations and methods were defined. To formulate the basic strategy of the fusion-composite package export utilizing V-World on the basis of the basic concept of the product, the necessary components were designed. In response to this fusion-composite package product mix, the overseas promotion of spatial information-related companies it to be expected.

• Journal of the Korean Data and Information Science Society
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• v.25 no.5
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• pp.1057-1067
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• 2014

Many genetic variants have been identified to be associated with complex diseases such as hypertension, diabetes and cancers throughout genome-wide association studies (GWAS). However, there still exist a serious missing heritability problem since the proportion explained by genetic variants from GWAS is very weak less than 10~15%. Gene-gene interaction study may be helpful to explain the missing heritability because most of complex disease mechanisms are involved with more than one single SNP, which include multiple SNPs or gene-gene interactions. This paper focuses on gene-gene interactions with the survival phenotype by extending the multifactor dimensionality reduction (MDR) method to the accelerated failure time (AFT) model. The standardized residual from AFT model is used as a residual score for classifying multiple geno-types into high and low risk groups and algorithm of MDR is implemented. We call this method AFT-MDR and compares the power of AFT-MDR with those of Surv-MDR and Cox-MDR in simulation studies. Also a real data for leukemia Korean patients is analyzed. It was found that the power of AFT-MDR is greater than that of Surv-MDR and is comparable with that of Cox-MDR, but is very sensitive to the censoring fraction.

• Korean Journal of Heritage: History & Science
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• v.54 no.1
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• pp.184-205
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• 2021

Governance is valued as a new concept and principle of social operation and public policy management, and its influence is gradually expanding. Among the various governance theories being put into practice and in case analysis studies, collaborative governance embracing various governance concepts has been found to increase interdependence and responsibility beyond participation and compromise, and create new public values by integrating and utilizing optimal social coordination forms. In the field of cultural assets, governance-related research is also being conducted for the efficiency, sustainability, and scalability of public policy enforcement. This study explored the government's role (promotion, arbitration, and condition creation) in collaborative governance, focusing on the "Cultural Heritage Guardians" to understand how collaborative governance operates in the cultural heritage sector. Regarding governance policies in the cultural asset sector, the cultural asset guardians highlighted the status, role, and characteristics of policies by examining their introduction, development, and implementation. The results of the analysis revealed that private-led, horizontal public-private cooperation, collaborative governance, policy introduction, solidarity, professionalism, resource/knowledge imbalance, cooperation precedence, etc., facilitate increased participation. The government has accordingly proposed measures to establish comprehensive legal stability centered on cooperation; strategic reorganization of dedicated organizations; strengthened, supportive intermediate organizations; and individual and multi-party consultative bodies.

• The Journal of the Korea Contents Association
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• v.22 no.7
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• pp.216-226
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• 2022

With the signing of the China-Korea FTA agreement, it is of great practical significance to study the potential of electronic product trade between China and South Korea under the new situation to promote the development of electronic product trade between the two countries. Based on this, this paper selects the data related to the trade of electronic products between China and South Korea from 2005 to 2019. First, it analyzes the factors of the trade potential of electronic products between the two countries by building a trade gravity expansion model, and then calculates and compares the electronic products between China and South Korea. trade potential. The research results show that: (1) The economic scale, population scale and APEC member countries have a promoting effect on the trade volume between China and South Korea. The geographical distance has an inhibitory effect on the trade volume between China and South Korea. Trade freedom has a significant misuse of promotion for China's electronics trade, while it has no significant effect on South Korea's electronics trade. (2) After 2015, China's electronic product export trade potential to South Korea is huge. There is also a certain potential in South Korea's trade in electronic products with China, which needs to be explored with active policies.

• Journal of the Korean BIBLIA Society for library and Information Science
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• v.33 no.1
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• pp.25-45
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• 2022

This study was to develop KORMARC-bibliographic format reflecting cataloging trends after LRM using literature review, analysis of MARC 21 discussion papers, and comparison of the fields in MARC 21 and KORMARC. The acceptance and consideration of fields and sub-fields that need to be revised in KORMARC are as follows. First, in terms of LRM / RDA, fields 381 or 387 for the representative expression, field 881 and the change and addition of its sub-fields for the manifestation statement, and data provenance code to ▾7 sub-field for date provenance may be considered. Second, in terms of Linked Data, ▾1 sub-field for RWO, and field 758 for related work identifier can be added. Third, for the data exchange of KORMARC and BIBFRAME, it should be developed in consideration of mapping with BIBFRAME classes and attributes in KORMARC. Fourth, additional fields such as 251 version information, 334 mode of issuance, 335 expansion plan, 341 accessibility content, 348 format of notated music, 353 supplementary content characteristics, 532 accessibility note, 370 associated place, 385 audience characteristics, 386 creator/contributor characteristics, 388 time period of creation, 688 subject added entry-type of entity unspecified, 884 description conversion information, 885 matching information could be developed. This study will be used to revise KORMARC-bibliographic format and to build and utilize bibliographic data in domestic libraries.