• Journal of Korea Water Resources Association
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• v.39 no.12 s.173
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• pp.997-1012
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• 2006

We have presented a nonparametric stochastic approach for the SOI(Southern Oscillation Index) series that used nonlinear methodology called Nonlinear AutoRegressive(NAR) based on conditional kernel density function and CAFPE(Corrected Asymptotic Final Prediction Error) lag selection. The fitted linear AR model represents heteroscedasticity, and besides, a BDS(Brock - Dechert - Sheinkman) statistics is rejected. Hence, we applied NAR model to the SOI series. We can identify the lags 1, 2 and 4 are appropriate one, and estimated conditional mean function. There is no autocorrelation of residuals in the Portmanteau Test. However, the null hypothesis of normality and no heteroscedasticity is rejected in the Jarque-Bera Test and ARCH-LM Test, respectively. Moreover, the lag selection for conditional standard deviation function with CAFPE provides lags 3, 8 and 9. As the results of conditional standard deviation analysis, all I.I.D assumptions of the residuals are accepted. Particularly, the BDS statistics is accepted at the 95% and 99% significance level. Finally, we split the SOI set into a sample for estimating themodel and a sample for out-of-sample prediction, that is, we conduct the one-step ahead forecasts for the last 97 values (15%). The NAR model shows a MSEP of 0.5464 that is 7% lower than those of the linear model. Hence, the relevance of the NAR model may be proved in these results, and the nonparametric NAR model is encouraging rather than a linear one to reflect the nonlinearity of SOI series.

• Food Science and Preservation
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• v.22 no.5
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• pp.652-659
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• 2015

The physical properties of wheat kernels were determined as a function of moisture content to optimize the design of equipment for post-harvest management. Several properties, including bulk density, dynamic repose angle, one thousand-kernel weight, specific gravity, length, width, thickness, and area of two wheat cultivars (Baekjjung: B and Jogyeong: J ), were studied in the moisture range from approximately 9% to 30% wet basis. As moisture increased, length increased linearly from 6.42 to 7.20 mm (B) and 8.71 to 9.15 mm (J), width increased from 2.90 to 3.49 mm (B) and 4.12 to 4.43 mm (J), thickness from 2.94 to 3.20 mm (B) and 3.29 to 3.63 mm (J), and area from 14.13 to $19.44mm^2$ (B) and 27.75 to $31.25mm^2$ (J). Additionally, the dynamic repose angle and one thousand-kernel weight increased linearly from $46.3^{\circ}$ to $54.0^{\circ}$ (B) and $46.3^{\circ}$ to $54.5^{\circ}$ (J) and from 32.26 to 41.51 g (B) and 45.30 to 63.07 g (J), respectively, as the moisture content increased. Based on the experimental measurements, only the bulk density and specific gravity decreased from 754.0 to $664.1kgm^{-3}$ (B) and 776.1 to $660.0kgm^{-3}$ (J) and from 1.2950 to 1.2265 (B) and 1.3379 to 1.2671 (J), respectively, as moisture content increased.

• 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 Korean Journal of Financial Management
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• v.20 no.2
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• pp.73-94
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• 2003

In general, the interest rate is forecasted by the parametric method which assumes the interest rate follows a certain distribution. However the method has a shortcoming that forecasting ability would decline when the interest rate does not follow the assumed distribution for the stochastic behavior of interest rate. Therefore, the nonparametric method which assumes no particular distribution is regarded as a superior one. This paper compares the interest rate forecasting ability between the two method for the Monetary Stabilization Bond (MSB) market in Korea. The daily and weekly data of the MSB are used during the period of August 9th 1999 to February 7th 2003. In the parametric method, the drift term of the interest rate process shows the linearity while the diffusion term presents non-linear decline. Meanwhile in the nonparametric method, both drift and diffusion terms show the radical change with nonlinearity. The parametric and nonparametric methods present a significant difference in the market price of interest rate risk. This means in forecasting the interest rate and the market price of interest rate risk, the nonparametric method is more appropriate than the parametric method.

• Journal of the Korean Association of Geographic Information Studies
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• v.13 no.3
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• pp.14-28
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• 2010

The aim of this study is to investigate crime hotspot areas using the spatio-temporal cluster analysis which is possible to search simultaneously time range as well as space range as an alternative method of existing hotspot analysis only identifying crime occurrence distribution patterns in urban area. As for research method, first, crime data were collected from criminal registers provided by official police authority in M city, Gyeongnam and crime occurrence patterns were drafted on a map by using Geographic Information Systems(GIS). Second, by utilizing Ripley K-function and Space-Time Scan Statistics analysis, the spatio-temporal distribution of crime was examined. The results showed that the risk of crime was significantly clustered at relatively few places and the spatio-temporal clustered areas of crime were different from those predicted by existing spatial hotspot analysis such as kernel density analysis and k-means clustering analysis. Finally, it is expected that the results of this study can be not only utilized as a valuable reference data for establishing urban planning and crime prevention through environmental design(CPTED), but also made available for the allocation of police resources and the improvement of public security services.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.37 no.4
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• pp.669-680
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• 2017

This study evaluated the consistency of the standard flow to forecast low-flow based on various drought indices. The data used in this study were streamflow data at the Gurye2 station located in the Seomjin River and the Angang station located in the Hyeongsan River, as well as rainfall data of nearby weather stations (Namwon and Pohang). Using streamflow data, the streamflow accumulation drought index (SADI) was developed in this study to represent the hydrological drought condition. For SADI calculations, the threshold of drought was determined by a Change-Point analysis of the flow pattern and a reduction factor was estimated based on the kernel density function. Standardized runoff index (SRI) and standardized precipitation index (SPI) were also calculated to compared with the SADI. SRI and SPI were calculated for the 30-, 90-, 180-, and 270-day period and then an ROC curve analysis was performed to determine the appropriate time-period which has the highest consistency with the standard flow. The result of ROC curve analysis indicated that for the Seomjin River-Gurye2 station SADI_C3, SRI30, SADI_C1, SADI_C2, and SPI90 were confirmed in oder of having high consistency with standard flow under the attention stage and for the Hyeongsan River-Angang station, SADI_C3, SADI_C1, SPI270, SRI30, and SADI_C2 have order of high consistency with standard flow under the attention stage.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.30 no.6B
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• pp.599-606
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• 2010

Due to the short period of precipitation data in Korea, the uncertainty of drought analysis is inevitable from a point frequency analysis. So it is desired to introduce a regional drought frequency analysis. This study first extracted drought characteristics from 3-month and 12-month moving average rainfalls which represent short and long-term droughts, respectively. Then, the homogeneous regions were distinguished by performing a principal component analysis and cluster analysis. The Korean peninsula was classified into five regions based on drought characteristics. Finally, this study applied the bivariate frequency analysis using a kernel density function to quantify the regionalized drought characteristics. Based on the bivariate drought frequency curves, the drought severities of five regions were evaluated for durations of 2, 5, 10, and 20 months, and return periods of 5, 10, 20, 50, and 100 years. As a result, the largest severity of drought was occurred in the Lower Geum River basin, in the Youngsan River basin, and over in the southern coast of Korea.

• The Transactions of the Korea Information Processing Society
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• v.13 no.2
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• pp.48-59
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• 2024

As functions that support virtualization on their own in hardware are developed, user applications having various workloads are operating efficiently in the virtualization system. SR-IOV is a virtualization support function that takes direct access to PCI devices, thus giving a high I/O performance by minimizing the need for hypervisor or operating system interventions. With SR-IOV, network I/O acceleration can be realized in virtualization systems that have relatively long I/O paths compared to bare-metal systems and frequent context switches between the user area and kernel area. To take performance advantages of SR-IOV, network resource management policies that can derive optimal network performance when SR-IOV is applied to an instance such as a virtual machine(VM) or container are being actively studied.This paper evaluates and analyzes the network performance of SR-IOV implementing I/O acceleration is compared with Virtio in terms of 1) network delay, 2) network throughput, 3) network fairness, 4) performance interference, and 5) multi-network. The contributions of this paper are as follows. First, the network I/O process of Virtio and SR-IOV was clearly explained in the virtualization system, and second, the evaluation results of the network performance of Virtio and SR-IOV were analyzed based on various performance metrics. Third, the system overhead and the possibility of optimization for the SR-IOV network in a virtualization system with high VM density were experimentally confirmed. The experimental results and analysis of the paper are expected to be referenced in the network resource management policy for virtualization systems that operate network-intensive services such as smart factories, connected cars, deep learning inference models, and crowdsourcing.