• Journal of Information Technology Applications and Management
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• 제25권4호
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• pp.157-169
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• 2018

The purpose of this study was to examine the volatility of bitcoin, diagnose if bitcoin are a systematic risk asset, and evaluate their effectiveness by estimating market beta representing systematic risk using GARCH (Generalized Auto Regressive Conditional Heteroskedastieity) model. First, the empirical results showed that the market beta of Bitcoin using the OLS model was estimated at 0.7745. Second, using GARCH (1, 2) model, the market beta of Bitcoin was estimated to be significant, and the effects of ARCH and GARCH were found to be significant over time, resulting in conditional volatility. Third, the estimated market beta of the GARCH (1, 2), AR (1)-GARCH (1), and MA (1)-GARCH (1, 2) models were also less than 1 at 0.8819, 0.8835, and 0.8775 respectively, showing that there is no systematic risk. Finally, in terms of efficiency, GARCH model was more efficient because the standard error of a market beta was less than that of the OLS model. Among the GARCH models, the MA (1)-GARCH (1, 2) model considering non-simultaneous transactions was estimated to be the most appropriate model.

• 한국시스템다이내믹스연구
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• 제2권2호
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• pp.25-40
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• 2001

This paper describes the forecast of power plant construction in a competitive korean electricity market. In Korea, KEPCO (Korea Electric Power Corporation, fully controlled by government) was responsible for from the production of the electricity to the sale of electricity to customer. However, the generation part is separated from KEPCO and six generation companies were established for whole sale competition from April 1st, 2001. The generation companies consist of five fossil power companies and one nuclear power company in Korea at present time. Fossil power companies are scheduled to be sold to private companies including foreign investors. Nuclear power company is owned and controlled by government. The competition in generation market will start from 2003. ISO (Independence System Operator will purchase the electricity from the power exchange market. The market price is determined by the SMP(System Marginal Price) which is decided by the balance between demand and supply of electricity in power exchange market. Under this uncertain circumstance, the energy policy planners such as government are interested to the construction of the power plant in the future. These interests are accelerated due to the recent shortage of electricity supply in California. In the competitive market, investors are no longer interested in the investment for the capital intensive, long lead time generating technologies such as nuclear and coal plants. Large unclear and coal plants were no longer the top choices. Instead, investors in the competitive market are interested in smaller, more efficient, cheaper, cleaner technologies such as CCGT(Combined Cycle Gas Turbine). Electricity is treated as commodity in the competitive market. The investors behavior in the commodity market shows that the new investment decision is made when the market price exceeds the sum of capital cost and variable cost of the new facility and the existing facility utilization depends on the marginal cost of the facility. This investors behavior can be applied to the new investments for the power plant. Under these postulations, there is the potential for power plant construction to appear in waves causing alternating periods of over and under supply of electricity like commodity production or real estate production. A computer model was developed to sturdy the possibility that construction will appear in waves of boom and bust in Korean electricity market. This model was constructed using System Dynamics method pioneered by Forrester(MIT, 1961) and explained in recent text by Sternman (Business Dynamics, MIT, 2000) and the recent work by Andrew Ford(Energy Policy, 1999). This model was designed based on the Energy Policy results(Ford, 1999) with parameters for loads and resources in Korea. This Korea Market Model was developed and tested in a small scale project to demonstrate the usefulness of the System Dynamics approach. Korea electricity market is isolated and not allowed to import electricity from outsides. In this model, the base load such as unclear and large coal power plant are assumed to be user specified investment and only CCGT is selected for new investment by investors in the market. This model may be used to learn if government investment in new unclear plants could compensate for the unstable actions of private developers. This model can be used to test the policy focused on the role of unclear investments over time. This model also can be used to test whether the future power plant construction can meet the government targets for the mix of generating resources and to test whether to maintain stable price in the spot market.

• 한국산학기술학회논문지
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• 제4권4호
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• pp.428-433
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• 2003

본 논문은 우리나라 M＆A 시장이 선진국형의 시장 경쟁원리에 근거하여 보다 자율적이고 경쟁적인 분위기하에서 이루어 졌던 1990년부터 1997년까지의 기업합병 사례들을 대상으로 합병기업과 피 합병기업간의 M＆A사례를 표본으로 하여 합병성과를 실증 분석하였다. 합병성과 측정모형은 시장모형(market model) 과 시정조정모형(market adjusted model)을 이용하여 누적비정상 평균수익률(CAR)을 비교 검토하였다. 본 연구의 결과는 80년대의 기존 연구와는 특징적 차이가 있는 것으로 나타났으며 합병기업보다 피 합병기업에게 큰 폭의 정 (＋)의 누적초과 수익이 나타났다.

• 대한전기학회논문지:전력기술부문A
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• 제54권2호
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• pp.79-87
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• 2005

At present Cournot model is one of the most commonly used theories to analyze the gaming situation in oligopoly market. But there exist several problems to apply this model to electricity market. The representative one is to obtain the inverse demand curve able to be induced from the relationship between market price and demand response. In Cournot model, each player offers their generation quantity to accomplish maximum profit, which is accomplished by reducing their quantity compared with available total capacity. As stated above, to obtain the probable Cournot equilibrium to reflect real market situation, we have to induce the correct demand function first of all. Usually the correlation between price and demand appears on the long-term basis through the statistical data analysis (for example, regression analysis) or by investigating consumer utility functions of several consumer groups classified as residential, industrial, and commercial. However, the elasticity has a tendency to change continuously according to the total market demand size or the level of market price. Therefore it should be updated as trading period passes by. In this paper we propose a method for inducing and updating this price elasticity of demand function for more realistic market equilibrium.

• 기술혁신학회지
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• 제18권1호
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• pp.204-231
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• 2015

본 연구에서는 시장접근법 기반의 기술가치평가를 위한 원리적인 개념 모형을 제안한다. 하나의 기술이 기술성과 사업성을 기초로 기술가치를 부여받고, 다시 그 기술가치가 시장가치로 전이되는 개념모형을 제시하고 그 논리적인 타당성을 논의한다. 기술대가 지불방식의 두 가지 형태인 정액기술료 및 경상기술료 방식 각각에 대해, 기술-기술가치-시장가치 전이모형을 구성하는 구체적인 요인들을 식별하고 측정방식을 분석함으로써 구체화된 시장접근법 기반 기술가치평가 개념 모형을 개발한다. 더불어 본 연구에서 제안하는 개념 모형을 이용하여 기술가치평가의 세 가지 접근법인 비용-소득-시장접근법간의 관계를 설명할 수 있음을 보인다.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.15-22
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• 2021

This study aims to obtain a stock investment strategy model based on the industrial sector in Indonesia Stock Exchange (IDX). This study uses IDX data for the period of January 1996 to December 2016. This study uses the Markov Regime Switching Model to identify trends in market conditions that occur in industrial sectors on IDX. Furthermore, by using the Logit Regression Model, we can see the influence of economic factors in determining trends in market conditions sectorally and the probability of trends in market conditions. This probability can be the basis for determining stock investment decisions in certain sectors. The results showed descriptively that the stocks of the consumer goods industry sector had the highest average return and the lowest standard deviation. The trend in sectoral stock market conditions that occur in IDX can be divided into two conditions, namely bullish condition (high returns and low volatility) and bearish condition (low returns and high volatility). Differences in the conditions are mainly due to differences in volatility. The use of a Logit Regression Model to produce probability of market conditions and to estimate the influence of economic factors in determining stock market conditions produces models that have varying predictive abilities.

• 한국산학기술학회논문지
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• 제17권6호
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• pp.566-576
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• 2016

일반적으로 부동산 매매시장과 경매시장 간에는 다양한 측면에서 긴밀한 연관관계가 있는 것으로 알려져 있다. 또한 매체에서는 경매시장이 매매시장 경기를 선도하는 주요한 변수로 언급되었다. 본 논문에서는 서브프라임 금융위기 이전의 주택시장 활황기와 이후의 주택시장 침체기 각 시기별로 주택매매시장 및 주택전세시장과 주택경매시장 간의 관계를 벡터오차수정모형(VECM; Vector Error Correction Model)을 이용하여 분석하는 것을 목적으로 한다. 본 논문에서는 국내 대표적인 부동산시장이며, 시단위에서 가장 많은 경매물건이 거래되는 서울시의 아파트를 대상으로 연구를 진행하였다. 분석변수는 주택매매가격지수, 주택전세가격지수, 낙찰율, 낙찰가율을 활용하였다. 본 연구에서는 서브프라임 금융위기 발생 이전인 2002년 1월부터 2008년 12월까지를 Model 1로, 2009년 1월부터 최근 2015년 11월까지를 Model 2로 구분하여 비교분석하였다. 분석결과 경매시장의 경우 주택시장 변동에 상대적으로 덜 민감한 것으로 나타났다. 하지만 반대로, 경매시장 충격에는 주택시장이 유의미한 변동을 나타내는 것으로 확인되었다. 이는 경매시장 변화가 주택시장 변동에 선행하는 것을 의미하며 하나의 거래시장으로 경매시장이 활성화되고 있음을 나타낸다. 중앙정부에서는 경매시장의 중요성을 정확히 인지하고 가격변동추이를 면밀히 확인할 필요가 있다. 또한 투자주체들 역시 경매시장에 대한 전문성을 확보할 필요가 있다.

• 응용통계연구
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• 제29권1호
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• pp.75-83
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• 2016

본 연구에서는 금융시장 통합화에 따른 금융 시장 전염을 생물학적 전염개념에 기초하여 분석하는 검정 방법론을 제시하였다. 금융 시장 통합화를 측정하기 위하여 U-통계량을 사용하였고, 금융 시장 전염 검정을 위하여 단일방정식 오차수정 모형을 중심으로 잠재 요인모형, 분위수 회귀모형과 런검정을 사용하였다. 시뮬레이션결과 단일방정식 오차수정 모형이 자기상관을 갖는 오차항을 포함한 선형 회귀모형에서 비교적 높은 수준의 적합도를 일관성 있게 보여 주고 있다.

• 전기학회논문지
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• 제58권8호
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• pp.1496-1503
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• 2009

The United Nations Framework Convention on Climate Change (UNFCCC) is an international environmental treaty to stabilize greenhouse gas concentrations in the atmosphere. In order to fulfil the commitments of the countries in an economically efficient way, the UNFCCC adapted the emission trading scheme in the Kyoto Protocol. If the UNFCCC's scheme is enforced in the country, considerable changes in electric power industry are expected due to the imposed greenhouse gas emission reduction. This paper proposes a game theoretic model of the case when generation companies participate in both competitive electricity market and emission market simultaneously. The model is designed such that generation companies select strategically between power quantity and greenhouse gas reduction to maximize their profits in both markets. Demand function and Environmental Welfare of emission trading market is proposed in this model. From the simulation results using the proposed model the impact of the emission trading on generation companies seems very severe in case that the emission prices are significantly high.

• Journal of the Korean Data and Information Science Society
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• 제23권4호
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• pp.825-832
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• 2012

We propose a novel way of forecasting the market shares of several brands simultaneously in a multiplicative competitive interaction model, which uses kernel regression technique incorporated with kernel machine technique applied in support vector machines and other machine learning techniques. Traditionally, the estimations of the market share attraction model are performed via a maximum likelihood estimation procedure under the assumption that the data are drawn from a normal distribution. The proposed method is shown to be a good candidate for forecasting method of the market share attraction model when normal distribution is not assumed. We apply the proposed method to forecast the market shares of 4 Korean car brands simultaneously and represent better performances than maximum likelihood estimation procedure.