• Proceedings of the Korean Operations and Management Science Society Conference
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• 2004.05a
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• pp.734-737
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• 2004

When the margin level is set relatively low, margin violation probability increases and the default probability of the futures market rises. On the other hand, if the margin level is set high, the margin violation probability decreases, but the futures market becomes less attractive to hedgers as the investor's opportunity cost increases. In this paper, we investigate whether the movement of KOSPI200(Korea Composite Stock Price Index 200) futures daily prices can be modeled with the extreme value theory. Base on this investigation, we examine the validity of the margin level set by the extreme value theory. Computational results are presented to compare the extreme value distribution and the empirical distribution of margin violation in KOSPI200. Some observations and implications drawn from the computational experiment are also discussed.

• Journal of the Korean Society of Industry Convergence
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• v.8 no.2
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• pp.85-95
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• 2005

The margin level in the futures market platys an important role in balancing the default probability with the investor's opportunity cost. In this paper, we investigate whether the movement of KOSPI200 futures daily prices can be modeled with the extreme value theory. Based on this investigation, we examine the validity of the margin level set by the extreme value theory. Moreover, we propose an expected profit-maximization model for securities companies. In this model, the extreme value theory is used for cost estimation, and a regression analysis is used for revenue calculation. Computational results are presented to compare the extreme value distribution with the empirical distribution of margin violation in KOSPI200 and to examine the suitability of the expected profit-maximization model.

• International Journal of Fuzzy Logic and Intelligent Systems
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• v.3 no.1
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• pp.7-12
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• 2003

In recent years, many attempts have been made to predict the behavior of bonds, currencies, stock or other economic markets. Most previous experiments used the neural network models for the stock market forecasting. The KOSPI 200 (Korea Composite Stock Price Index 200) is modeled by using different neural networks and fuzzy logic. In this paper, the neural network, the dynamic polynomial neural network (DPNN) and the fuzzy logic employed for the prediction of the KOSPI 200. The prediction results are compared by the root mean squared error (RMSE) and scatter plot, respectively. The results show that the performance of the fuzzy system is little bit worse than that of the DPNN but better than that of the neural network. We can develop the desired fuzzy system by optimization methods.

• Journal of the Korean Society of Safety
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• v.16 no.4
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• pp.52-57
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• 2001

Fatigue crack growth behaviour of Ti-6A-4V alloy is investigated in air and salt solution environment at room temperature and $200^{\circ}C$. Fatigue crack growth rate is blown to be fast for the formation of corrosive product in hot salt environment. For the effect on corrosion fatigue crack growth behaviour of region II. fatigue crack growth rate in atmosphere had a little gap to both case, $200^{\circ}C$ and room temperature. However, it showed very fast tendency in salt corrosive atmosphere, and it was remarkably accelerated in $200^{\circ}C$ temperature salt environment. When $\Delta$K was approximately 30MPa(equation omitted), fatigue crack growth rate had a little difference between at room temperature and at $200^{\circ}C$ high temperature, however in case of salt corrosive environment the room temperature was 3.5 times Inter and $200^{\circ}C$ high temperature for 16 times than air environment respectively.

• 제어로봇시스템학회:학술대회논문집
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• 1997.10a
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• pp.179-182
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• 1997

In a training simulator for power plant, operator's action in the MCR(Main Control Room) are given to plant process and computer system model as an inputs, and the same response as in real power plant is provided in real time. Inter-process communication and synchronization are especially important among various inputs. In the plant simulator, to simulate the digital control system such as FOXBORO SPEC-200 Micro control system, modification and adaptation of control card(CCC) and its continuous display station(CDS) is necessary. This paper describes the modeling and simulation of FOXBORO SPEC-200 Micro control system applied to Younggwang nuclear power plant unit #3 & 4, and its integration process to the full-scope replica type training simulator. In a simulator, display station like CDS of FOXBORO SPEC-200 Micro control system is classified as ITI(Intelligent Type Instrument), which has a micro processor inside to process information and the corresponding alphanumeric display, and the stimulation of ITI limits the important functions in a training simulator such as backtrack, replay, freeze and IC reset. Therefore, to achieve the better performance of the simulator, modification of CDS and special firmware is developed to simulate the FOXBORO SPEC-200 Micro control system. Each control function inside control card is modeled and simulated in generic approach to accept the plant data and control parameter conveniently, and debugging algorithms are applied for massive coding developed in short period.

• Journal of the Institute of Electronics Engineers of Korea SD
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• v.38 no.3
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• pp.198-204
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• 2001

In this paper, a 3V 8-bit 200MSPS CMOS folding / interpolation A/D Converter is proposed. It employs an efficient architecture whose FR(Folding Rate) is 8, NFB(Number of Folding Block) is 4, and IR (Interpolating Rate) is 8. For the purpose of improved SNDR by to be low input frequency, distributed track and hold circuits are included. In order to obtain a high speed and low power operation, further, a novel dynamic latch and digital encoder based on a novel delay error correction are proposed. The chip has been fabricated with a 0.35${\mu}{\textrm}{m}$ 2-poly 3-metal n-well CMOS technology. The effective chip area is 1070${\mu}{\textrm}{m}$$\times$650${\mu}{\textrm}{m}$ and it dissipates about 230mW at 3.3V power supply. The INL is within $\pm$1LSB and DNL is within $\pm$1LSB, respectively. The SNDR is about 43㏈, when the input frequency is 10MHz at 200MHz clock frequency.

• Journal of Digital Convergence
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• v.19 no.12
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• pp.175-182
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• 2021

Focusing on the recently announced "KOSPI 200 ESG Index," this study intends to examine whether the "KOSPI 200 ESG Index" has any relevance to stock prices. Specifically, it was empirically analyzed whether companies included in the KOSPI 200 ESG index showed average abnormal return and cumulative average abnormal return of stock prices due to incorporation into the index. As for the research method, the case study was conducted using the return by the market model using the coefficient estimated by the OLS for the normal expected return. The study results are summarized as follows. First, the initial incorporation of a company into the KOSPI 200 ESG index showed significant positive(+) average abnormal return and cumulative average abnormal return. Second, the incorporation of a company into the KOSPI 200 ESG index showed significant positive(+) average abnormal return and cumulative average abnormal return. Through this study, it was confirmed that investors in the market are aware of ESG indicators as non-financial information, not just financial information. In addition, it can be said that the contribution of this study to the fact that investors perceive ESG index as information for investment. This study differs in that it uses the latest ESG index, but at the same time, it has limitations in that the study period is short and the study sample is limited.

• Management & Information Systems Review
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• v.31 no.4
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• pp.287-307
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• 2012

We empirically examine the price discovery dynamics among the VKOSPI, the KOSPI200 spot, and the KOSPI200 futures markets. The analysis employs the vector-autoregression, Granger causality, impulse response function, and variance decomposition using both daily data from 2009. 04. 13 to 2011. 12. 30 and 1 minute data from the bull market, bear market, and the flat period. The main results are as follows; First, the lead lag relationships between KOSPI200 spot(futures) yield VKOSPI returns could not be found from the daily data analysis. But KOSPI200 spot(futures) have a predictive power for VKOSPI from 1 minute data. Especially KOSPI200 spot(futures) and VKOSPI show the bi-directional effects to each other during the return rising period Second, We chose the VAR(1) the model in daily data but adopt the VAR(3) model in the one minute data to determine the lead lag time. We know that there is predictability during the very short period Third, Spot returns and futures returns makes no difference in daily data results. According to the one minite data results, VKOSPI returns have a predictive power for KOSPI200 spot return, but have no predictive power for KOSPI200 futures return.

• Management & Information Systems Review
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• v.35 no.2
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• pp.1-12
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• 2016

In this study, price discovery between the KOSPI200 spot, and leveraged ETFs(Leveraged KODEX, Leveraged TIGER, Leveraged KStar) is investigated using the vector error correction model(VECM). The main findings are as follows. Leveraged KODEX(Leveraged TIGER, Leveraged KStar) and KOSPI200 spot are cointegrated in most cases. There is no interrelations between the movement of Leveraged KODEX(Leveraged TIGER, Leveraged KStar) and KOSPI200 spot markets in case of daily data. Namely, in daily data, Leveraged KODEX(Leveraged TIGER, Leveraged KStar) doesn't plays more dominant role in price discovery than the KOSPI200 spot.

• Journal of Korea Society of Industrial Information Systems
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• v.22 no.6
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• pp.23-29
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• 2017

Due to the success of Wealthfront, Betterment, etc., there is a growing interest in RoboAdvisor that is an automated asset allocation methodology globally. RoboAdvisor minimizes human involvement in managing assets, thereby reducing the costs of using services and eliminating human psychological factors. In this paper, we developed a predictive model for the KOSPI 200 Futures Index using deep learning, in order to replace the existing technical analysis technique. And the proposed model confirmed that When the KOSPI 200 Gift Index is small, it can be used to predict direction and price of index. In combination with the existing technical analysis, It is confirmed that the proposed models combining with existing technical analyses and can be applied to the RoboAdvisor Service in the future.