• Management & Information Systems Review
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• v.35 no.1
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• pp.273-286
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• 2016

This study investigated the information contents of KOSPI200 Options for intraday big market movement by using minute by minute data. The major findings are summarized as follows; First, big market movement occurred more frequently during 9:00~10:00 and 14:00~14:50. These phenomena reflect market unstability just after opening and near closing. Second, VKSOPI is most closely associated with extreme changes such as KOSPI200 jumps. Third, VKOSPI is showed more predictive power with negative KOSPI200 jumps than KOSPI200 jumps. Fourth, VKOSPI showed predictive power for the positive and negative jumps up to 30 minutes before the jumps occurs. The purpose of this study is to explore the most recent topics in the field of finance, research on market microstructure. This study is an important contribution to investigate intraday information comprehensively in terms of market microstructure effects using the 15-year long-term and the high-frequency data(minute by minute). The results of this study are expected to contribute to detect intraday true jumps, proactive development of market risk indicators, risk management, derivatives investment strategy.

• Proceedings of the Korean Society for Technology of Plasticity Conference
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• 2005.10a
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• pp.373-376
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• 2005

In recent years, there has been a growing need fur productivity improvement of ACS wire (Aluminum clad Steel wire) In optical communication market. So, it is necessary to improve the production speed and following quality of ACS wire to reduce the unit cost of the products. In this study, the pre-heating temperature and cladding speed is chosen as the factors can influence the mechanical and metallurgical properties during cladding, and the changing behavior of mechanical property and microstructure by controlling above two factors are investigated. And the bearing length and approach angle in cladding die are selected as the important elements for designing optimum die enabling high speed cladding. So we carried out FE(Finite Element) analysis using the above two elements as variables. This paper aims to understand the change of mechanical properties and microstructure according to the change of each factor during cladding and suggest the optimized cladding condition to get the best quality of OPGW. And also we would like to introduce the optimum die structure that enables high-speed cladding.

• Asia-Pacific Journal of Business
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• v.14 no.2
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• pp.33-49
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• 2023

Purpose - The purpose of this study is to examine the option selection and optimal trading of informed traders in KOSPI 200 options market based on the PIN (probability of informed trading) model of Easley et al.(2002). Design/methodology/approach - This study uses TAQ (trade and quote) data provided by Korean Exchanges (KRX) which contains all the bids and trades recorded during the continuous auction trading hours for the KOSPI 200 options between May 2019 and September 2020. Findings - First, there was no difference in the PIN between call and put options in the 2019 data, but the PIN of put options was slightly higher in 2020. Second, regardless of the type of option, the PIN was higher for in-the-money (ITM) options, and the PIN of out-of-the-money (OTM) options was the same as or slightly higher than that of at-the-money (ATM) options. Third, we found that the PIN decreases as trading liquidity increases, and fourth, the PIN increased sharply as the expiration date approached, especially for OTM options, while ITM and ATM options showed relatively weak effects. Fifth, for foreign and institutional investors, the periodicity of orders was observed in milliseconds, especially for foreign investors, where the periodicity of orders was clear and frequent in OTM options. The results suggest that the purpose of option trading varies depending on the moneyness from the perspective of the informed trader.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2023.11a
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• pp.161-162
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• 2023

Limestone slag cement is a green and sustainable building material with huge market potential. However, its shortcoming of low early compressive strength needs to be improved. A method of using aluminum sulfate to improve the early strength of ternary mixed mortar was proposed, and its effect and optimal dosage were tested. Macroscopic properties such as mechanical properties and surface electrical resistivity were measured at different dosages (0%, 1%, 2%, 3%). The microstructure and products of the mixtures were tested in detail, including by scanning electron microscopy, thermogravimetric analysis, and X-ray diffraction. The results show aluminum sulfate enhances mechanical properties and significantly increases surface electrical resistivity. The 1% and 2% doses had no adverse effects on the 28-day mechanical properties, while the 3% dose reduced the 28-day strength. Considering the changes in mechanical properties and surface electrical resistivity, 1% aluminum sulfate is the optimal dosage.

• Journal of Welding and Joining
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• v.31 no.6
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• pp.84-89
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• 2013

The demand of LNG tank and the constituting material, i.e., the Al5083 thick plate, increased due to the rapid growth LNG market. To weld the Al5083 thick plate, the gas metal arc welding (GMAW) of high current is necessary to increase manufacturing productivity incurred by the multi pass welding. However, the arc welding vaporizes the volatile element such as magnesium (Mg). This phenomenon changes the Mg composition of the weld metal and the mechanical properties. The study investigated the weldability of Al5083 alloys after conducting high current GMAW. The Al5083 alloy was welded by using different size of welding wires and high current (800-950A). As the arc current increased from 800A to 950A, the mechanical strength decreased and the secondary dendrite arm spacing (SDAS) increased. Even though the arc current increased SDAS, the mechanical strength decreased due to the Mg loss in the weldment. The large diameter of welding wire decreased the dilution of the weld, therefore increasing the Mg content and the strength of the weld. For the reason, the content of Mg in welds was a major parameter to determine the mechanical property for the high current GMAW. For the arc current between 800A and 950A, the yield strength of the weldments showed a relationship with the weight percent of Mg content ($X_{Mg}$): Y.S = 27.9($X_{Mg}$)-11.

• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.71-91
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• 2005

The object or this paper is to analyze the rollover effect on KOSPI 200 index option prices. Especially we analyze the implied volatilities of the options that became the near maturity options as the old one expired. For this analysis, a panel data of KOSPI 200 Index Option Prices from year 1999 to year 2001 were used, and following results were obtained. First, after controlling for the underlying index returns, strike prices and other pricing factors, the call option prices tend to decrease while the put option prices tend to increase during the week of expiry. Second, if one concentrates on the daily price changes, call option prices tend to go up on Thursday (as the old options expire), and then experience a price decrease on the following day, while the reverse is true for the put options. These results imply that the option prices are affected by some of the market micro-structure effects such as whether the option is the near maturity option. We conjecture that the reason for this is related to the undervaluation of KOSPI 200 futures. The results from this paper have implications on the timing of option trades. If one wants to buy put options, and/or sell call options, he has better off by executing his intended trades before the old options expire. On the other hand, if one wants to buy call options, and/or sell put options, hi has better off by executing his intended trades after the expiry.