• Management Science and Financial Engineering
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• 제21권2호
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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.

• 한국컴퓨터정보학회논문지
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• 제28권8호
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• pp.59-66
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• 2023

골든크로스를 흔히 매수의 신호로 인식하지만, 주식시장은 변동성이 매우 크기에 골든크로스만으로 주식의 등락 여부를 예상하고 의사결정을 내리기에는 무리가 있다. 마찬가지로, 이러한 주가 데이터의 불확실성은 기존의 시계열 기반의 예측을 더욱 어렵게 한다. 본 논문에서는 골든크로스를 하나의 사건으로 인식하여, time-invariant 한 접근을 시도하고자 한다. LSTM 신경망 기법을 사용하여 골든크로스 이후의 주가 변화율을 예측하고, 기존의 시계열 분석에서 도출한 성능과 종목별로 비교한다. 또한, 0을 기준으로 한 주가 변화율의 등락을 혼동행렬로 분류하여 일반화 분류 성능을 입증한다. 최종적으로 본 논문은 예측 정밀도가 83%인 모델을 제안하였다. 골든크로스가 나타날 때 모든 상황에서 매수를 결정하기보다 모델을 활용하여 투자자의 투자 자본 손실을 방지할 수 있다.

• 정보처리학회논문지B
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• 제11B권2호
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• pp.207-212
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• 2004

본 논문은 주식 매매 시스템을 위한 강화 학습 구조를 제시한다. 매매 시스템에 사용되는 매개변수들은 Q-학습 알고리즘에 의하여 최적화되고, 인공 신경망이 값의 근사치를 구하기 위하여 활용된다 이 구조에서는 서로 유기적으로 협업하는 다중 에이전트를 이용하여 전역적인 추세 예측과 부분적인 매매 전략을 통합하여 개선된 매매 성능을 가능하게 한다. 에이전트들은 서로 통신하여 훈련 에피소드와 학습된 정책을 서로 공유하는데, 이 때 전통적인 Q-학습의 모든 골격을 유지한다. 실험을 통하여, KOSPI 200에서는 제안된 구조에 기반 한 매매 시스템을 통하여 시장 평균 수익률을 상회하며 동시에 상당한 이익을 창출하는 것을 확인하였다. 게다가 위험 관리의 측면에서도 본 시스템은 교사 학습(supervised teaming)에 의하여 훈련된 시스템에 비하여 더 뛰어난 성능을 보여주었다.

• Journal of Biosystems Engineering
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• 제24권1호
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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.

• 융합신호처리학회논문지
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• 제12권1호
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• pp.50-55
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• 2011

본 논문에서는 온라인 쇼핑몰을 대상으로 효과적인 광고 방법을 제시한다. 사용자의 작업 화면과는 별도로 마우스에 장착된 소형 OLED 디스플레이 장치를 통해 광고를 보여준다. 판매자가 판매를 타겟으로 하는 소비자의 정보를 파악한 후 그에 해당하는 상품의 이미지를 인터넷 서버에 카테고리별로 업로드하면, 네트웍을 통해 판매 타겟인 사용자 PC로 전달된다. 전달된 영상 광고는 PC에 연결된 마우스의 OLED 디스플레이 장치로 전송된다. 사용자는 자신이 원하는 광고 카테고리를 선택하고, 선택된 광고는 마우스에 부착된 OLED 디스플레이 장치에 표시하도록 구현하였다. 구매하고 싶은 상품이 OLED 디스플레이 장치에 표시될 때, 마우스에 부착된 버튼을 누르면 해당 상품의 웹브라우저로 직접 연결되어 사용자가 구매 할 수 있도록 하는 수요자 맞춤식 광고시스템을 제안하고 구현하였다.

• Archives of Pharmacal Research
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• 제22권2호
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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.

• 한국정보시스템학회지:정보시스템연구
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• 제26권3호
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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.

• 디지털산업정보학회논문지
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• 제6권3호
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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.

• 한국전산구조공학회:학술대회논문집
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• 한국전산구조공학회 2002년도 가을 학술발표회 논문집
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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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• 제8권9호
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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.