• Management Science and Financial Engineering
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• v.21 no.2
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• pp.13-23
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• 2015

This study addresses the question as to whether the option prices have useful predictive information on the direction of stock markets by investigating a forecasting power of volatility curvatures and skewness premiums implicit in S&P 500 index option prices traded in Chicago Board Options Exchange. We begin by estimating implied volatility functions and risk neutral price densities every minute based on non-parametric method and then calculate volatility curvature and skewness premium using them. The rationale is that high volatility curvature or high skewness premium often leads to strong bullish sentiment among market participants. We found that the rate of return on the signal following trading strategy was significantly higher than that on the intraday buy-and-hold strategy, which indicates that the S&P500 index option prices have a strong forecasting power on the direction of stock index market. Another major finding is that the information contents of S&P 500 index option prices disappear within one minute, and so one minute-delayed signal following trading strategy would not lead to any excess return compared to a simple buy-and-hold strategy.

• Journal of the Korea Society of Computer and Information
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• v.28 no.8
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• pp.59-66
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• 2023

The Golden Cross is commonly seen as a buy signal in financial markets, but its reliability for predicting stock price movements is limited due to market volatility. This paper introduces a time-invariant approach that considers the Golden Cross as a singular event. Utilizing LSTM neural networks, we forecast significant stock price changes following a Golden Cross occurrence. By comparing our approach with traditional time series analysis and using a confusion matrix for classification, we demonstrate its effectiveness in predicting post-event stock price trends. To conclude, this study proposes a model with a precision of 83%. By utilizing the model, investors can alleviate potential losses, rather than making buy decisions under all circumstances following a Golden Cross event.

• The KIPS Transactions:PartB
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• v.11B no.2
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• pp.207-212
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• 2004

This paper presents a reinforcement learning framework for stock trading systems. Trading system parameters are optimized by Q-learning algorithm and neural networks are adopted for value approximation. In this framework, cooperative multiple agents are used to efficiently integrate global trend prediction and local trading strategy for obtaining better trading performance. Agents Communicate With Others Sharing training episodes and learned policies, while keeping the overall scheme of conventional Q-learning. Experimental results on KOSPI 200 show that a trading system based on the proposed framework outperforms the market average and makes appreciable profits. Furthermore, in view of risk management, the system is superior to a system trained by supervised learning.

• Journal of Biosystems Engineering
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• v.24 no.1
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• pp.25-30
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• 1999

The effectiveness of many greenhouse environment control methodologies depends on the growth information of crops. Acquisition of the growth information of crops requires a non-invasive and continuous monitoring method. Crop growth monitoring system using digital imaging technique was developed to conduct non-destructive and intact plant growth analyses. The monitoring system automatically measures crop growth information sends an appropriate control signal to the nutrient solution supplying system. To develop the monitoring system, a linear model that explains the relationship between the fresh weight and the top projected leaf area of a lettuce plant was developed from an experiment. The monitoring system was evaluated buy successive lettuce growing experiments. Results of the experiments showed that the developed system could estimate the fresh weight of lettuce from a lettuce image by using the linear model and generate an EC control signal according to the lettuce growth stage.

• Journal of the Institute of Convergence Signal Processing
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• v.12 no.1
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• pp.50-55
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• 2011

In this paper, we propose and demonstrate an effective video advertising method for on-line shopping malls. For the Internet advertising, we make a mouse with a small OLED display that can communicate with PC's Internet network. Without displaying the teasing Pop-ups on the PC's monitor, the advertising for a shopping mall is directly sent to the OLED display on the mouse. Also, the proposed method has merits of sending the advertising based on customer's preference by using IP multicasting, which the customer can select an advertising category in advance. When the customer want to buy an item on the OLED display, the detail advertising can be immediately accessed through a Web browser on PC's monitor by pushing a special button on the mouse.

• Archives of Pharmacal Research
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• v.22 no.2
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• pp.119-123
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• 1999

Parathyroid hormone (PTH) treatment of bone and kidney-derived cells not only activates adenyly cyclase buy also increases intracellular free calcium, and translocates protein kinase C (PKC) from cytosol to plasma membranes. We have found that acute phorbol ester pretreatment significantly decreases PTH-induced calcium transients and the effect of phorbol ester was antagonized by staurosporine (ST). Although the major effect of ST in that study was the reversal of the action of phorbol ester, it appeared that ST may also have promoted the effect of PTH directly. To further investigate the observation, we examined the effect of ST on the intracellular calcium transients induced by PTH and $\alpha$-thrombin ($\alpha$-TH). For calcium transient experiments, UMR-106 cells were loaded with 2 mM fluo-acetoxymethylester for 30 min at room temperature. The cells were then washed and suspended in buffer containing 1 mM calcium. Fluorescence was detected at 530 nm, with excitation at 505 nm. ST alone did not cause calcium transients, but enhanced the transients elicited by PTH response. added 5 min before the hormone. Another protein kinase inhibitor H-7 likewise enhanced the calcium responses elicited by PTH, while genistein did not affect PTH response. Calcium transients elicited by $\alpha$-TH were also enhanced by ST. The results suggest that there might be tonically activated endogenous protein kinase(s) which inhibit calcium signaling of some calcemic agents.

• The Journal of Information Systems
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• v.26 no.3
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• pp.63-90
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• 2017

Purpose This study proposes a novel system trading model using case-based reasoning (CBR) based on absolute similarity threshold. The proposed model is designed to optimize the absolute similarity threshold, feature selection, and instance selection of CBR by using genetic algorithm (GA). With these mechanisms, it enables us to yield higher returns from stock market trading. Design/Methodology/Approach The proposed CBR model uses the absolute similarity threshold varying from 0 to 1, which serves as a criterion for selecting appropriate neighbors in the nearest neighbor (NN) algorithm. Since it determines the nearest neighbors on an absolute basis, it fails to select the appropriate neighbors from time to time. In system trading, it is interpreted as the signal of 'hold'. That is, the system trading model proposed in this study makes trading decisions such as 'buy' or 'sell' only if the model produces a clear signal for stock market prediction. Also, in order to improve the prediction accuracy and the rate of return, the proposed model adopts optimal feature selection and instance selection, which are known to be very effective in enhancing the performance of CBR. To validate the usefulness of the proposed model, we applied it to the index trading of KOSPI200 from 2009 to 2016. Findings Experimental results showed that the proposed model with optimal feature or instance selection could yield higher returns compared to the benchmark as well as the various comparison models (including logistic regression, multiple discriminant analysis, artificial neural network, support vector machine, and traditional CBR). In particular, the proposed model with optimal instance selection showed the best rate of return among all the models. This implies that the application of CBR with the absolute similarity threshold as well as the optimal instance selection may be effective in system trading from the perspective of returns.

• Journal of Korea Society of Digital Industry and Information Management
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• v.6 no.3
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• pp.211-219
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• 2010

This paper designs the dynamic symbol automatic trading system in Korean option market. This system is based on Multichart program which is convenient and efficient system trading tool. But the Multichart has an important restriction which has only one constant symbol per chart. This restriction causes very useful strategies impossible. The proposed design uses global variables, signal chart selection and position order exchange. So an automatic trading system with dynamic symbol works on Multichart program. To verify the proposed system, BS(Buythensell)-SB(Sellthenbuy) strategies are tested which uses the change of open-interest of stock index futures within a day. These strategies buy both call and put option in ATM at start candle and liquidate all at 12 o'clock and then sell both call and put option in ATM at 12 o'clock and also liquidate all at 14:40. From 23 March 2009 to 31 May 2010, 301-trading days, is adopted for experiment. As a result, the average daily profit rate of this simple strategies riches 1.09%. This profit rate is up to eight times of commision price which is 0.15 % per option trade. If the method which raises the profitable rate of wining trade or lower commission than 0.15% is found, these strategies make fascinated lossless trading system which is based on the proposed dynamic symbol automatic trading system.

• Proceedings of the Computational Structural Engineering Institute Conference
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• 2002.10a
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• pp.330-337
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• 2002

The HANARO seismic monitoring system is classified as non-nuclear safety(NNS), seismic category I, and quality class T The seismic monitoring system installed at the instrument room consists of five field sensors and one monitoring cabinet. The field sensors are composed of three triaxial accelerometers which installed at base slab, free field and overhead crane support respectively, a seismic trigger and a seismic switch at base slab. The most parts of analog system except field sensors are not produced any more, the improvement of the system is to be needed. The analog system with magnetic tape recorder is not only out-of-date model but dependent upon foreign technology. So it is difficult to get the spare parts and the cost to buy them is increased. Therefore we have improved the analog seismic monitoring system into a new digital seismic monitoring analysis system(SMAS) except five field sensors. After the installation of the new SMAS, we have carried out the site acceptance test(SAT) to confirm the field functions. The results of SAT satisfy the requirements of the fabrication technical specification. This new SMAS is operating at HANARO instrument room to acquire and analyse the signal of earthquake.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.9
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• pp.131-141
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• 2021

With the rapid development of the Internet, online shopping has grown so fast that almost any good or service can be sold online today. The popularity and rapid growth of e-commerce signal a huge market opportunity for e-retailers. From the organizational perspective, it is necessary to evaluate and explore what drives customers to buy their products or to use their services. This study, therefore, aims to explain the online purchase intention and its determinants of Vietnamese customers for cosmetics and personal care products. Quantitative data was collected from an online survey conducted among university students, then was put into SPSS and AMOS for further analysis. Descriptive statistics, Cronbach's alpha test, exploratory factor analysis (EFA), regression analysis, and SEM were used to examine data from 434 valid answers. The research findings reveal that four factors positively affect purchase intention: Shopping enjoyment has the most significant impact, followed by trust, benefit, and website quality. On the other hand, perceived risk negatively influences purchase intention. While the cosmetics and personal care industry is thriving with a huge number of producers and consumers throughout the world, this study contributes to the existing literature in terms of capturing customers' needs and developing effective strategies to attract more online users.