• Title/Summary/Keyword: Stock Distribution

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VaR Estimation of Multivariate Distribution Using Copula Functions (Copula 함수를 이용한 이변량분포의 VaR 추정)

  • Hong, Chong-Sun;Lee, Jae-Hyung
    • The Korean Journal of Applied Statistics
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    • v.24 no.3
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    • pp.523-533
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    • 2011
  • Most nancial preference methods for market risk management are to estimate VaR. In many real cases, it happens to obtain the VaRs of the univariate as well as multivariate distributions based on multivariate data. Copula functions are used to explore the dependence of non-normal random variables and generate the corresponding multivariate distribution functions in this work. We estimate Archimedian Copula functions including Clayton Copula, Gumbel Copula, Frank Copula that are tted to the multivariate earning rate distribution, and then obtain their VaRs. With these Copula functions, we estimate the VaRs of both a certain integrated industry and individual industries. The parameters of three kinds of Copula functions are estimated for an illustrated stock data of two Korean industries to obtain the VaR of the bivariate distribution and those of the corresponding univariate distributions. These VaRs are compared with those obtained from other methods to discuss the accuracy of the estimations.

An Alternative Study of the Determination of the Threshold for the Generalized Pareto Distribution (일반화 파레토 분포에서 임계치 결정에 대한 대안적 연구)

  • Yoon, Jeong-Yoen;Cho, Jae-Beom;Jun, Byoung-Cheol
    • The Korean Journal of Applied Statistics
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    • v.24 no.5
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    • pp.931-939
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    • 2011
  • In practice, thresholds are determined by the two subjective assessment methods in a generalized pareto distribution of mean extreme function(MEF-graph) or Hill-graph. To remedy the problem of subjectiveness of these methods, we propose an alternative method to determine the threshold based on the robust statistics. We compared the MEF-graph, Hill-graph and our method through VaRs on the Korean stock market data from January 5, 1987 to August 3, 2009. As a result, the VaR based on the proposed method is not much different from the existing methods, and the standard deviation of VaR for our method was the smallest. The results show that our method can be a promising alternative to determine thresholds of the generalized pareto distributions.

Hydroacoustic Survey of Spatio-Temporal Distribution of Demersal Fish Aggregations Near the West Coast of Jeju Island, Korea (제주도 서쪽 연안에서 음향자원 조사를 이용한 저층 어군의 시.공간 분포)

  • Kang, Dong-Hyug;Im, Yang-Jae;Lee, Chang-Won;Yoo, Joon-Taek;Myoung, Jung-Goo
    • Ocean and Polar Research
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    • v.30 no.2
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    • pp.181-191
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    • 2008
  • This study aims at assessment of spatio-temporal distribution of demersal fish aggregations near the west coast of Jeju Island using hydroacoustic survey. A 200 kHz split beam transducer attached to a small towed body was used for all acoustic investigations. The received acoustic data were in situ acoustic target strength (TS, dB) for all pings and nautical area scattering coefficient(NASC, $m^2/mile^2$) for 0.1 mile along 12 acoustic transects. Demersal fish aggregations are distributed around the coastal slope having 20 to 30 m depth throughout all seasons. The concentration is higher during the summer season. With regard spatial distribution, higher demersal fish aggregations have been detected near the West coast of Shinchang and especially near Chagwi-do. Pelagic fish aggregations were higher to the south of Chagwi-do during the spring season. Additionally, standing stock of demersal fish aggregations from the NASC data, TS function, and length-weight function of dominant species was estimated as follows: 3.2 ton (CV 21.8%) in December 2006, 17.9 ton (CV 21.6%) in April 2007, 30.8 ton (CV 17.8%) in June 2007, and 22.5 ton (CV 24.2%) in October 2007. The application of hydroacoustic methods offers a new approach to understanding spatiotemporal structure and estimate the biomass of demersal fish aggregations in the coastal area. And the results can be made up limitations of qualitative analysis through net and diving for fisheries resources survey in coastal area.

The Distribution Condition and Clothing Construction Factors of the Working Clothes - Reference to the Changwon National Industrial Complex -

  • Park, Gin-Ah;Park, Hye-Won
    • Journal of Fashion Business
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    • v.12 no.3
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    • pp.116-135
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    • 2008
  • To investigate the actual distribution condition and clothing construction factors of the working clothes supplied to the Changwon national industrial complex, 5 major companies in machinery, automotive, industrial engineering, shipbuilding and rolling stock in the industrial complex located in Gyeongsangnam-Do were selected. The questionnaire designed for the research consisted of working clothes distribution policies in manufacturing industry and the actual conditions of the design facts, repair and maintenance of the working clothes, etc. The analysis of the clothing construction factors of the working clothes provided by 5 respondent companies were conducted in parallel. The results derived from the study were as follows: The basic types of working clothes were the blouson jacket and straight pants; safety equipments for manufacture were safety helmets, gloves, snickers, goggles, masks, ear caps, wristlets, leggings, apron, etc. The size-charts adopted by the participant companies were the small-medium-large and cm/inch measurement size systems. To solve wearer's dissatisfaction with the garment fit, certain clothing construction factors were used, e.g. strap bands and the elastic band on a waist band. The types of fabrics used for the working clothes were mainly polyester/cotton and polyester/rayon blended ones. Moreover, to provide with more air permeability to wearers, the warp knit material was used to construct the lining and the armpit or back bodice slits. Lock, two-thread chain, safety, overedge stitches were applied with flat, lap felled, French, superimposed, lapped, bound and edge finishing seams to construct the working clothes selected.

Distribution and Behavioral Characteristics of Chum Salmon (Oncorhynchus keta) in Namdae Stream, Korea (강릉 남대천에서 소상하는 연어(Chum salmon, Oncorhynchus keta) 분포와 행동 특성)

  • Kim, Beom-Sik;Jung, Yong-Woo;Kim, Woobo;Hong, Sung-Eic;Lee, Chung Il
    • Journal of Environmental Science International
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    • v.31 no.10
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    • pp.861-868
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    • 2022
  • The Namdae stream in Gangneung-si is one of the rivers where salmon stock is mainly maintained by natural spawning rather than artificial seedlings. There are structures including weir, and fish distribution and movement characteristics can be different by these structures. In this study, we investigated the distribution and behavioral characteristics of salmon by sighting survey within 12 km immediately upstream of the river mouth between October 2021 and February 2022. As a result, salmon distributed within 9 km from rivermouth. There were more salmon in the lower reaches of Doosan weir than in the upper reaches of that. The main spawning ground for salmon was between 7-9 km from rivermouth and around the lower part of Doosan weir. Salmon behaved for spawning in the gravel-bed area and undercut slope of the mainstream, such as mating, digging the riverbed, and competition among males. Salmon moved more slowly in the gravel-bed area than sand-bed area. Doosan weir hinders the spawning migration of salmon by frequent flow changes and terraced fishway. This study provides primary information to understand the ecological changes of salmon by environmental changes in the Namdae stream.

Epidemiology of patients with snake bite or envenomation in emergency department: NEDIS (National Emergency Department Information System) (국내 응급 센터의 뱀교상 환자의 특징: 국가응급의료정보망)

  • Serok Lee;Woochan Jeon
    • Journal of The Korean Society of Clinical Toxicology
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    • v.20 no.2
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    • pp.45-50
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    • 2022
  • Purpose: This study utilizes the NEDIS (National Emergency Department Information System) database to suggest a predictive model for snakebite and envenomation in Korea by analyzing the geographical distribution and seasonal variation of snakebite patients visiting the ER. Methods: This was a retrospective study on snakebite patients visiting the ER using the NEDIS database from January 2014 to December 2019. The subjects include patients with the KCD (Korea Standard Classification of Disease) disease code T63.0 (Toxic effect of contact with snake venom). Geographical location, patient gender, patient age, date of ER visit, treatment during the ER stay, and disposition were recorded to analyze the geographical distribution and seasonal variation of snakebite patients in Korea. Results: A total of 12,521 patients were evaluated in this study (7,170 males, 54.9%; 5,351 females, 40.9%). The average age was 58.5±17.5 years. In all, 7,644 patients were admitted with an average admission time of 5.04±4.7 days, and 2 patients expired while admitted. The geographical distribution was Gyeongsang 3,370 (26.9%), Cheonra 2,692 (21.5%), Chungcheong 2,667 (21.3%), Seoul Capital area 1,999 (16.0%), Kangwon 1,457 (11.6%), and Jeju 336 (2.7%). The seasonal variation showed insignificant incidences in winter and higher severity in spring and summer than in fall: winter 27 (0.2%), spring 2,268 (18.1%), summer 6,847 (54.7%), and fall 3,380 (27.0%). Conclusion: Patients presenting with snakebites and envenomation in the emergency room were most common in the Gyeongsang area and during summer. The simple seasonal model predicted that 436 snakebites and 438 envenomation cases occurred in July and August. The results of this study can be applied to suitably distribute and stock antivenom. Appropriate policies can be formed to care for snakebite patients in Korea.

Application and Policy Direction of Blockchain in Logistics and Distribution Industry (물류 및 유통산업의 블록체인 활용과 정책 방향)

  • Kim, Ki-Heung;Shim, Jae-Hyun
    • The Journal of Industrial Distribution & Business
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    • v.9 no.6
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    • pp.77-85
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    • 2018
  • Purpose - The purpose of this study is to subdivide trade transaction-centered structure in a logistics/distribution industry system to apply blockchain, to establish and resolve with which types of technology, and to provide policy direction of government institution and technology to apply blockchain in this kind of industry. Research design, data, and methodology - This study was conducted with previous researches centered on cases applied in various industry sectors on the basis of blockchain technology. Results - General fields of blockchain application include digital contents distribution, IoT platform, e-Commerce, real-estate transaction, decentralized app. development(storage), certification service, smart contract, P2P network infrastructure, publication/storage of public documents, smart voting, money exchange, payment/settlement, banking security platform, actual asset storage, stock transaction and crowd funding. Blockchain is being applied in various fields home and abroad and its application cases can be explained in the banking industry, public sector, e-Commerce, medical industry, distribution and supply chain management, copyright protection. As examined in the blockchain application cases, it is expected to establish blockchain that can secure safety through distributed ledger in trade transaction because blockchain is established and applied in various sectors of industries home and abroad. Parties concerned of trade transaction can secure visibility even in interrupted specific section when they provide it as a base for distributed ledger application in trade and establish trade transaction model by applying blockchain. In case of interrupted specific section by using distributed ledger, blockchain model of trade transaction needs to be formed to make it possible for parties concerned involved in trade transaction to secure visibility and real-time tracking. Additionally, management should be possible from the time of contract until payment, freight transfer to buyers through land, air and maritime transportation. Conclusions - In order to boost blockchain-based logistics/distribution industry, the government, institutionally, needs to back up adding legal plan of shipping, logistics and distribution, reviewing standardization of electronic switching system and coming up with blockchain-based industrial road maps. In addition, the government, technologically, has to support R&D for integration with other high technology, standardization of distribution industry's blockchain technology and manpower training to expand technology development.

Determinants of Share Prices of Listed Companies Operating in the Steel Industry: An Empirical Case from Vietnam

  • NGUYEN, Phu Ha;NGUYEN, Phi-Hung;TSAI, Jung-Fa;NGUYEN, Thanh Tam;HO, Van Nguyen;DAO, Trong-Khoi
    • The Journal of Asian Finance, Economics and Business
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    • v.7 no.12
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    • pp.131-138
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    • 2020
  • In accordance with huge demand for capital to meet the expansion of steel production, there are more and more steel companies who have officially listed their stocks in HOSE and HNX. One of the key issues in successful initial public offerings and seasonal offerings for these companies is how to make stocks of steel companies become more attractive in the eyes of investors. The purpose of this research is to analyze the determinants of share prices of listed steel companies in Vietnam. This study utilized macro-economic variables, ratios and indicators representing characteristics of steel industry collected from Quarter 1/2006 to Quarter 4/2019 in association with the panel data and the feasible generalized least square (FGLS) model to evaluate the degree of these factors on the share prices. The results of the research show that ROE, Cons_rate, and CO2_rate are three main factors affecting the share prices of listed steel companies. Among which, ROE and Cons_rate have a positive effect, while CO2_rate has a negative effect on the share prices of listed steel companies. It also confirms the relationship between the environmental factor, construction industry factor and the stock prices. This lays foundations for recommendations for the future policies towards environmental protection and sustainable development.

Cultivating Status of Paeonia lactiflora Pallas in Central Part of Gyeong Bug Province (경북 중부지역에서의 작약 재배실태)

  • Kim, Se-Jong;Park, So-Deuk;Whang, Wheong-Baeg;Kim, Jae-Cheol
    • Korean Journal of Medicinal Crop Science
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    • v.3 no.3
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    • pp.259-264
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    • 1995
  • This study was carried out to find cultivation condition of peony in Euiseong district from 1994 to 1995. 1. Age distribution in cultivation of peony was from 30's to 50's and cultivated years was mainly from 5 years to 10 years, but there was more than 15 years 2. Cultivating area per house hold were 1300 pyeong average, there were moderate $400{\sim]1000$ pyeong and also those are occupied 22.6% more than 2000 pyeong. 3. The mothods of transplanting in Euiseong peony which Euiseong district was mostly divided peony but Yeongchen district used seedling stock. No. of sprout was mostly $3{\sim}4$ and planting time was mainly from Mid to Late of October. 4. The percentage of sterilization of soil and seedling stock was 77. 4%, in mulching by vinyl in tran­splanting 64. 5% in black vinyl and 25. 8% in white one. 5. Number of plant in peony planting was $3000{\sim}4000$ plant per l0a even more there was more than 8000 plant. 6. Chemical spraying time in peony field was 2 time in $1{\sim}2$ years cultivating, and $3{\sim}4$ time in $3{\sim}4$ years one. 7. Condition of fertilizer application in peony field was 40% in non-application, but $56.7{\sim}76.7%$ in 2 year to 3 years, and the time of fertilizer was mainly 3 time. 8. Drying time peony after havesting was from 12 to 24 hours by briquet stove and 24 hours by ma­chine of hot wind, also dry method of peony was mixed briquet stove and hot wind machine.

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A Study on Experiment and Structural Analysis for High-Durability of Orthotropic Steel Deck Bridge (고내구성을 위한 강바닥판교의 실험 및 해석 연구)

  • Kong, Byung-Seung;Kim, Min-Ho
    • Proceedings of the KSR Conference
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    • 2007.11a
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    • pp.462-467
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    • 2007
  • From the research which it sees verification of the whole interpretation and local interpretation of the durability steel deck bridge a static test and it produces the test body which it sells with character and it executes smallness pul lek detailed interpretation it leads and the appropriate characteristic of smallness pul lek detailed interpretation and to sleep a nominal stress price and it compares it judges it does. The stress quality from each structure region which it follows in load stock location it analyzes and from the hazard which evaluates, the objective region the length rib and the bottom grater weld zone, the length rib and width rib connection department and the width rib with the father it divided. It investigated the stress distribution of the test body from these objective location, FEM interpretation it led and the conduct against each structure state tax it analyzed. General conduct the load stock location the floor plate is located in the center with interpretation price together symmetry characteristic to seem, it cannot be like that it cannot there is one actual test price. Like this reason the length rib and width rib connection actually production even production characteristic security it is a day when it is impossible with the curvature junction department which it blows, it follows in examination body deferment condition and form feed with the fact that it is visible a big difference even with error of some it becomes. Consequently for a data and the research which are more accurate it is judged with the fact that the effort which is prudent will be necessary.

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