• 대한수학회논문집
• /
• 제13권1호
• /
• pp.29-36
• /
• 1998

We show that if M is a $II_1$-factor and a countable discrete group G acts outerly on M then Jones' index $[M:M^G]$ of a pair of $II_1^-factors is equal to the order $\mid$G$\mid$ of G. It is also shown that for a subgroup H of G Jones' index $[M^H:M^G]$ is equal to the group index [G:H] under certain conditions.

• 한국광학회:학술대회논문집
• /
• 한국광학회 2005년도 제16회 정기총회 및 동계학술발표회
• /
• pp.316-317
• /
• 2005

• 대한수학회논문집
• /
• 제14권1호
• /
• pp.99-110
• /
• 1999

We apply sector theory to obtain some characterization on Gaois groups for subfactors. As an example of a non-irreducible inclusion of small index, a locally trivial inclusion arising from an automorphism is considered and its Galois group is completely determined by using sector theory.

• 경영과학
• /
• 제30권1호
• /
• pp.73-89
• /
• 2013

This paper develops an investment algorithm based on Markowitz's Portfolio Selection Theory, using historical stock return data, and empirically evaluates the performance of the proposed algorithm in the U.S. and the Hong Kong stock markets. The proposed investment algorithm is empirically tested with the 30 constituents of Dow Jones Industrial Average in the U.S. stock market, and the 30 constituents of Hang Seng Index in the Hong Kong stock market. During the 6-year investment period, starting on the first trading day of 2006 and ending on the last trading day of 2011, growth rates of 12.63% and 23.25% were observed for Dow Jones Industrial Average and Hang Seng Index, respectively, while the proposed investment algorithm achieved substantially higher cumulative returns of 35.7% in the U.S. stock market, and 150.62% in the Hong Kong stock market. When compared in terms of Sharpe ratio, Dow Jones Industrial Average and Hang Seng Index achieved 0.075 and 0.155 each, while the proposed investment algorithm showed superior performance, achieving 0.363 and 1.074 in the U.S. and Hong Kong stock markets, respectively. Further, performance in the U.S. stock market is shown to be less sensitive to an investor's risk preference, while aggressive performance goals are shown to achieve relatively higher performance in the Hong Kong stock market. In conclusion, this paper empirically demonstrates that an investment based on a mathematical model using objective historical stock return data for constructing optimal portfolios achieves outstanding performance, in terms of both cumulative returns and Sharpe ratios.

• Korean Journal of Mathematics
• /
• 제5권2호
• /
• pp.119-125
• /
• 1997

We show that there exists an isomorphism between the basic construction $(M_f)_1$ for $N_f{\subset}M_f$ and the reduction $(M_1)_f$ of the basic construction $M_1$ for $N{\subset}M$, where $f$ is a nontrivial projection in N. For a nontrivial projection $f{\in}N^{\prime}{\cap}M$ we give the basic construction $(M_f)_1$ for $N_f{\subset}M_f$ and compare it with $(M_1)_f$.

• 대한수학회지
• /
• 제32권2호
• /
• pp.183-193
• /
• 1995

Let N be a $II_1$ factor and G be a finite group acting outerly on N. Then the crossed product algebra $M = N \rtimes G$ is also a $II_1$ factor and $N' \cap M = CI$, i.e. N is irreducible in M. Moreover, N is regular in M, in other words, M is generated by the normalizer $N_M (N)$.

• 천문학회보
• /
• 제42권1호
• /
• pp.36.4-37
• /
• 2017

Although most of observed properties of giant radio relics detected in the outskirts of galaxy clusters could be explained by relativistic electrons accelerated at merger-driven shocks, a few significant puzzles remain. In some relics the shock Mach number inferred from X-ray observations is smaller than that estimated from radio spectral index. Such a discrepancy could be understood, if either the shock Mach number is nder-estimated in X-ray observation due to projection effects, or if pre-existing electrons with a flat spectrum are re-accelerated by a weak shock, retaining the flat spectral form. In this study, we explore these two scenarios by comparing the results of shock acceleration simulations with observed features of the so-called Toothbrush relic in the merging cluster 1RXS J060303.3. We find that both models could reproduce reasonably well the observed radio flux and spectral index profiles and the integrated radio spectrum. Either way, the broad transverse relic profile requires additional post shock electron acceleration by downstream turbulence.

• 한국항만경제학회지
• /
• 제27권1호
• /
• pp.263-280
• /
• 2011

KPSS 검정법과 ADF 검정법을 이용하여 시계열 변수에 대한 단위근 존재유무 검정을 실시한 결과 모든 수준변수는 불안정적이며, 차분변수는 안정적인 것으로 나타났다. 다음으로 EG 공적분 검정과 Johansen 공적분 검정 결과 3개 운임의 검정통계량 모두 공적분 관계가 성립하는 것으로 나타났다. 공적분 검정 결과 모형의 허구적 회귀 가능성이 배제되고, 공적분 벡터가 존재하는 것으로 나타남에 따라 공적분 벡터 추정식과 오차수정모형을 도출하였다. 그 결과 환율의 상승은 운임의 하락을, 주가의 상승은 운임의 상승 초래하는 것으로 나타났다. 운임에 미치는 영향은 환율보다 주가가 더 큰 것으로 분석되었다. 또한 오차항의 계수가 통계적으로 유의하였으며 BDI와 BPI는 매월 11%의 속도로, BCI는 매월 12%의 속도로 장기균형으로 수렴되고 있음을 알 수 있었다. 이어 더불어 충격반응분석 결과 모두 운임은 환율과 주가 충격에 각각 하락과 상승 반응을 보여주었다. 모든 운임은 1개월에 가장 큰 반응을 보였으며, BCI가 환율과 주가 충격에 대해 가장 큰 반응을 보였으며, 지속기간으로는 BDI가 가장 장기적이었다. 또한 GARCH 모형을 통해 도출한 다우존스지수 변동성이 운임에 미치는 영향을 살펴본 결과 주가 변동성 충격에 대한 BPI, BCI, BDI의 반응의 크기가 각각 1개월에서 -0.0227, -0.0210, -0.0183로 나타났다. 또한 수입변동성 충격에 대한 BCI와 BDI의 반응의 크기가 각각 1개월에서 -0.0103과 -0.0001로, BPI의 반응의 크기가 2개월에서 -0.0027로 나타났다. 그리고 누적충격반응 분석 결과 환율이 1달러에 3엔 상승하는 충격과 주가가 400포인트 상승하는 충격에 대해 BCI가 가장 큰 폭으로 반응을 보이는 것으로 분석되었다.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권7호
• /
• pp.27-34
• /
• 2020

The study investigates herding behavior in cryptocurrencies in different situations. This study employs daily returns of major cryptocurrencies listed in CCI30 index and sub-major cryptocurrencies and major stock returns listed in Dow-Jones Industrial Average Index, from 2015 to 2018. Quantile regression method is employed to test the herding effect in market asymmetries, inter-dependency and intra-dependency cases. Findings confirm the presence of herding in cryptocurrency in upper quantiles in bullish and high volatility periods because of overexcitement among investors, which lead to high volume trading. Major cryptocurrencies cause herding in sub-major cryptocurrencies, but it is a unidirectional relation. However, no intra-dependency effect among cryptocurrencies and equity market is observed. Results indicate that in the CKK model herding exists at upper quantile in market that may be due when the market is moving fast, continuously trading, and bullish trend are prevailing. Further analysis confirms this narrative as, at upper quantile, the beta of bullish regime is negative and significant, meaning the main source of market herding is a bullish trend in investment, which increases market turbulence and gives investors opportunity to herd. Also, we found that herding in cryptocurrencies exits in high volatility periods, but this herding mostly depends on market activity, not market movement.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권2호
• /
• pp.725-735
• /
• 2021

This study investigates whether the Islamic Exchange-Traded Funds (ETFs) provide significant benefit to investors relative to conventional ETFs. Six pairs of Islamic and conventional ETFs with 10-year daily price data from 2010 to 2019 have been selected from major market indices like MSCI World Index, MSCI Emerging Markets, MyETF Dow Jones Islamic Market Malaysia, MSCI South East Asia and Wahed FTSE Shariah USA Index for this study. For ETFs that are launched after 2010, the price data from launch date to 2019 are used. Our results show: First, Islamic ETFs are more likely to trade at a premium rather than at a discount, implying the investors are willing to pay a premium. Second, it is also found that Islamic ETFs have a relatively shorter period of price deviation from the benchmark, implying more price stability. Third, conventional ETFs have higher return and lower tracking errors relative to Islamic ETFs. These new findings add to the stylized facts of Islamic ETFs in the extant literature for investors, plan sponsors and regulators as to the differences between the ETFs. As policy suggestion, asset management companies can design new investment products to bridge the gap between conventional and Islamic finance.