• Journal of Climate Change Research
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• v.8 no.2
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• pp.109-123
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• 2017

The effects of recent climate change on hydrological systems could affect the Winter Olympic Games (WOG) because the event is dependent on suitable snow and ice conditions to support elite-level competitions. We investigate the long-term variability and change in winter total precipitation (P), snowfall water equivalent (SFE), and ratios of SFE to P during the period 1973/74~2015/16 in Gangwon province. The climatological percentages of SFE relative to winter total precipitation were 71%, 28%, and 44% in Daegwallyeong, Chuncheon, and Gangneung, respectively. The winter total P, SFE, and SFE/P has decreased (but not significantly), although significant increases of winter maximum and minimum temperature were detected at a 95% confidence level. Notably, a significant negative trend of SFE/P at Daegwallyeong in February, the month of the WOG, was attributable to a larger decrease in SFE related to the increases in maximum and minimum temperature. Winter wet-day minimum temperatures were warmer than climatological minimum temperatures averaged over the study period. The 20-year return values of daily maximum P and SFE decreased in Yongdong area. Since the SFE/P decrease with increasing temperature, the probability of rainfall rather than snowfall can increase if global warming continues.

• Asian-Australasian Journal of Animal Sciences
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• v.4 no.1
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• pp.85-90
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• 1991

Weaner heifers were set stocked at 4/ha on a grass-legume pasture in South Sulawesi, Indonesia, and either unsupplemented (Control) or for 338 days given daily supplements of one of, rice bran (RB) supplied at 1 kg/animal/d, molasses/urea (MU) or 0.5 RB + 0.5 MU (MURB) the amounts of which were adjusted to give similar energy intakes. There were 20 animals in each treatment. A drought resulted in low pasture availability for about half the supplementation period. The LWG per animal in the MURB treatment was 85 kg above that of the control and this was significantly greater (p < 0.01) than those for MU (62.0 kg) or RB (56.2 kg) although the economics favoured the gains from RB which returned over three times the cost of the supplement. Costs could be reduced by supplementing only at times of maximum undernutrition, but such a strategy is of doubtful value in this situation as there was no compensatory LWG and a similar rate of economic return was maintained throughout the period. The results suggest that additional benefits from the supplementation may be improved reproductive performance and more efficient use of pasture.

• Communications for Statistical Applications and Methods
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• v.16 no.5
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• pp.803-812
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• 2009

The application of extreme value theory to financial data is a fairly recent innovation. The classical annual maximum method is to fit the generalized extreme value distribution to the annual maxima of a data series. An alterative modern method, the so-called threshold method, is to fit the generalized Pareto distribution to the excesses over a high threshold from the data series. A more substantial variant is to take the point-process viewpoint of high-level exceedances. That is, the exceedance times and excess values of a high threshold are viewed as a two-dimensional point process whose limiting form is a non-homogeneous Poisson process. In this paper, we apply the two-dimensional non-homogeneous Poisson process model to daily losses, daily negative log-returns, in the data series of KBW/USD exchange rate, collected from January 4th, 1982 until December 31 st, 2008. The main question is how to estimate extreme quantiles of losses such as the 10-year or 50-year return level.

• Economic and Environmental Geology
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• v.4 no.4
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• pp.225-234
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• 1971

With the advance of civilization and steadily increasing population rivalry and competition for the use of the sewage, culverts, farm irrigation and control of various types of flood discharge have developed and will be come more and more keen in the future. The author has tried to calculated a formula that could adjust these conflicts and bring about proper solutions for many problems arising in connection with these conditions. The purpose of this study is to find out effective sewage, culvert, drainage, farm irrigation, flood discharge and other engineering needs in the Taegu area. If demands expand further a new formula will have to be calculated. For the above the author estimated methods of control for the probable expected rainfall using a formula based on data collected over a long period of time. The formula is determined on the basis of the maximum daily rainfall data from 1921 to 1971 in the Taegu area. 1. Iwai methods shows a highly significant correlation among the variations of Hazen, Thomas, Gumbel methods and logarithmic normal distribution. 2. This study obtained the following major formula: ${\log}(x-2.6)=0.241{\xi}+1.92049{\cdots}{\cdots}$(I.M) by using the relation $F(x)=\frac{1}{\sqrt{\pi}}{\int}_{-{\infty}}^{\xi}e^{-{\xi}^2}d{\xi}$. ${\xi}=a{\log}_{10}\(\frac{x+b}{x_0+b}\)$ ($-b<x<{\infty}$) ${\log}(x_0+b)=2.0448$ $\frac{1}{a}=\sqrt{\frac{2N}{N-1}}S_x=0.1954$. $b=\frac{1}{m}\sum\limits_{i=1}^{m}b_s=-2.6$ $S_x=\sqrt{\frac{1}{N}\sum\limits^N_{i=1}\{{\log}(x_i+b)\}^2-\{{\log}(x_0+b)\}^2}=0.169$ This formule may be advantageously applicable to the estimation of flood discharge, sewage, culverts and drainage in the Taegu area. Notation for general terms has been denoted by the following. Other notations for general terms was used as needed. $W_{(x)}$ : probability of occurranec, $W_{(x)}=\int_{x}^{\infty}f_{(n)}dx$ $S_{(x)}$ : probability of noneoccurrance. $S_{(x)}=\int_{-\infty}^{x}f_(x)dx=1-W_{(x)}$ T : Return period $T=\frac{1}{nW_{(x)}}$ or $T=\frac{1}{nS_{(x)}}$ $W_n$ : Hazen plot $W_n=\frac{2n-1}{2N}$ $F_n=1-W_x=1-\(\frac{2n-1}{2N}\)$ n : Number of observation (annual maximum series) P : Probability $P=\frac{N!}{{t!}(N-t)}F{_i}^{N-t}(1-F_i)^t$ $F_n$ : Thomas plot $F_n=\(1-\frac{n}{N+1}\)$ N : Total number of sample size $X_l$ : $X_s$ : maximum, minumum value of total number of sample size.

• Journal of Korea Water Resources Association
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• v.55 no.3
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• pp.177-189
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• 2022

The purpose of this study is to apply the d4PDF (Data for Policy Decision Making for Future Change) constructed from a large-scale ensemble climate simulation to estimate the probable rainfall with low frequency and high intensity. In addition, this study analyzes the uncertainty caused by the application of the frequency analysis by comparing the probable rainfall estimated using the d4PDF with that estimated using the observed data and frequency analysis at Geunsam, Imsil, Jeonju, and Jangsu stations. The d4PDF data consists of a total of 50 ensembles, and one ensemble provides climate and weather data for 60 years such as rainfall and temperature. Thus, it was possible to collect 3,000 annual maximum daily rainfall for each station. By using these characteristics, this study does not apply the frequency analysis for estimating the probability rainfall, and we estimated the probability rainfall with a return period of 10 to 1000 years by distributing 3,000 rainfall by the magnitude based on a non-parametric approach. Then, the estimated probability rainfall using d4PDF was compared with those estimated using the Gumbel or GEV distribution and the observed rainfall, and the deviation between two probability rainfall was estimated. As a result, this deviation increased as the difference between the return period and the observation period increased. Meanwhile, the d4PDF reasonably suggested the probability rainfall with a low frequency and high intensity by minimizing the uncertainty occurred by applying the frequency analysis and the observed data with the short data period.

• Journal of Korea Water Resources Association
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• v.45 no.3
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• pp.263-274
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• 2012

Recently, due to various climate variabilities, extreme rainfall events have been occurring all over the world. Extreme rainfall events in Korea mainly result from the summer typhoon storms and the localized convective storms. In order to estimate appropriate quantiles for extreme rainfall, this study considered the probability behavior of daily rainfall from the typhoons and the convective storms which compose the annual maximum rainfalls (AMRs). The conventional rainfall frequency analysis estimates rainfall quantiles based on the assumption that the AMRs are extracted from an identified single population, whereas this study employed a mixed distribution function to incorporate the different statistical characteristics of two types of rainfalls into the hydrologic frequency analysis. Selecting 15 rainfall gauge stations where contain comparatively large number of measurements of daily rainfall, for various return periods, quantiles of daily rainfalls were estimated and analyzed in this study. The results indicate that the mixed Gumbel distribution locally results in significant gains and losses in quantiles. This would provide useful information in designing flood protection systems.

• Journal of Intelligence and Information Systems
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• v.27 no.1
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• pp.65-82
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• 2021

Stock market investors are generally split into foreign investors, institutional investors, and individual investors. Compared to individual investor groups, professional investor groups such as foreign investors have an advantage in information and financial power and, as a result, foreign investors are known to show good investment performance among market participants. The purpose of this study is to propose an investment strategy that combines investor-specific transaction information and machine learning, and to analyze the portfolio investment performance of the proposed model using actual stock price and investor-specific transaction data. The Korea Exchange offers daily information on the volume of purchase and sale of each investor to securities firms. We developed a data collection program in C# programming language using an API provided by Daishin Securities Cybosplus, and collected 151 out of 200 KOSPI stocks with daily opening price, closing price and investor-specific net purchase data from January 2, 2007 to July 31, 2017. The self-organizing map model is an artificial neural network that performs clustering by unsupervised learning and has been introduced by Teuvo Kohonen since 1984. We implement competition among intra-surface artificial neurons, and all connections are non-recursive artificial neural networks that go from bottom to top. It can also be expanded to multiple layers, although many fault layers are commonly used. Linear functions are used by active functions of artificial nerve cells, and learning rules use Instar rules as well as general competitive learning. The core of the backpropagation model is the model that performs classification by supervised learning as an artificial neural network. We grouped and transformed investor-specific transaction volume data to learn backpropagation models through the self-organizing map model of artificial neural networks. As a result of the estimation of verification data through training, the portfolios were rebalanced monthly. For performance analysis, a passive portfolio was designated and the KOSPI 200 and KOSPI index returns for proxies on market returns were also obtained. Performance analysis was conducted using the equally-weighted portfolio return, compound interest rate, annual return, Maximum Draw Down, standard deviation, and Sharpe Ratio. Buy and hold returns of the top 10 market capitalization stocks are designated as a benchmark. Buy and hold strategy is the best strategy under the efficient market hypothesis. The prediction rate of learning data using backpropagation model was significantly high at 96.61%, while the prediction rate of verification data was also relatively high in the results of the 57.1% verification data. The performance evaluation of self-organizing map grouping can be determined as a result of a backpropagation model. This is because if the grouping results of the self-organizing map model had been poor, the learning results of the backpropagation model would have been poor. In this way, the performance assessment of machine learning is judged to be better learned than previous studies. Our portfolio doubled the return on the benchmark and performed better than the market returns on the KOSPI and KOSPI 200 indexes. In contrast to the benchmark, the MDD and standard deviation for portfolio risk indicators also showed better results. The Sharpe Ratio performed higher than benchmarks and stock market indexes. Through this, we presented the direction of portfolio composition program using machine learning and investor-specific transaction information and showed that it can be used to develop programs for real stock investment. The return is the result of monthly portfolio composition and asset rebalancing to the same proportion. Better outcomes are predicted when forming a monthly portfolio if the system is enforced by rebalancing the suggested stocks continuously without selling and re-buying it. Therefore, real transactions appear to be relevant.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.29 no.5B
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• pp.397-408
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• 2009

In this study, a stochastic precipitation generation framework for simultaneous simulation of daily precipitation at multiple sites is presented. The precipitation occurrence at individual sites is generated using hybrid-order Markov chain model which allows higher-order dependence for dry sequences. The precipitation amounts are reproduced using Anscombe residuals and gamma distributions. Multisite spatial correlations in the precipitation occurrence and amount series are represented with spatially correlated random numbers. The proposed model is applied for a network of 17 locations in the middle of Korean peninsular. Evaluation statistics are reported by generating 50 realizations of the precipitation of length equal to the observed record. The analysis of results show that the model reproduces wet day number, wet and dry day spell, and mean and standard deviation of wet day amount fairly well. However, mean values of 50 realizations of generated precipitation series yield around 23% Root Mean Square Errors (RMSE) of the average value of observed maximum numbers of consecutive wet and dry days and 17% RMSE of the average value of observed annual maximum precipitations for return periods of 100 and 200 years. The provided model also reproduces spatial correlations in observed precipitation occurrence and amount series accurately.

• 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.

• Journal of Digital Convergence
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• v.18 no.10
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• pp.33-39
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• 2020

In order to cope with traffic accidents efficiently, the maximum number of traffic accidents, deaths and serious injuries that can occur during the day should be presented quantitatively. In order to examine the characteristics of traffic accidents in different regions, it was divided into the Seoul metropolitan area, Chungcheong area, Gyeongbuk area, Honam area, and Gyeongnam area and was suitable for the generalized extreme value distribution (GEV). The parameters of the GEV distribution were estimated by the L-moments, and the Anderson-Darling test and the Cramer-von Mises test confirmed the suitability of the distribution. According to the analysis, the maximum number of traffic accidents that can occur once every 50 years is 401 in the Seoul metropolitan area, 168 in the South Gyeongsang region, 455 in the North Gyeongsang region, 136 in the Chungcheong region and 205 in the South Jeolla region. Compared to the Seoul metropolitan area, which has a large population and car registration, the number of traffic accidents is relatively high due to the large area, mountainous areas, and logistics movement caused by the industrial complex.