• 제어로봇시스템학회:학술대회논문집
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• 1991.10b
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• pp.1858-1863
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• 1991

The theory of stock option pricing has, recently, attracted attention of many researchers interested not only in finance but also in statistics and control theory. In this field, the problem of estimating stock return volatility is, above all, of great importance in calculating actual stock option value. In this paper, we assume that the stock market is represented by the stochastic volatility model which is the same as that of Hull and White. Then, we propose an approximation function of option value. It is a type of Black-Sholes option formula in which the first and the second order moments of logarithmic stock value are modified in a special form from the original model. Finally, an algorithm of estimating the parameters of the stochastic volatility model is given, and parameters are estimated by using Nikkei 225 index option data.

• Journal of Electrical Engineering and Technology
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• v.9 no.1
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• pp.60-70
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• 2014

This paper discusses the impacts of large scale grid-connected wind farm equipped with permanent magnet synchronous generator (PMSG) on power system small signal stability (SSS) incorporating wind generation uncertainty and volatility. Firstly, a practical simplified PMSG model with rotor-flux-oriented control strategy applied is derived. In modeling PMSG generator side converter, the generator-voltage-oriented control strategy is utilized to implement the decoupled control of active and reactive power output. In modeling PMSG grid side converter, the grid-voltage-oriented control strategy is applied to realize the control of DC link voltage and the reactive power regulation. Based on the Weibull distribution of wind speed, the Monte Carlo simulation technique based is carried out on the IEEE 16-generator-68-bus test system as benchmark to study the impacts of wind generation uncertainty and volatility on small signal stability. Finally, some preliminary conclusions and comments are given.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.7-14
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• 2021

This paper examines the impact of foreign ownership on stock price volatility in an emerging market, namely, Thailand. The data were obtained from SETSMART, the database of the Stock Exchange of Thailand (SET). After removing financial firms, banks, and insurance companies as well as filtering outliers, the final sample covers 1,755 firm-year observations from 371 nonfinancial firms listed on the SET over the five-year period from 2014 to 2018. The regression model consists of stock price volatility, measured by two methods, as the dependent variable, foreign ownership as the main independent variable, and firm characteristics including firm size, leverage, market-to book ratio, and stock turnover as the control variables. The pooled OLS, fixed effects, and random effects estimations are employed to examine the relationship between foreign ownership and stock price volatility. The results reveal that foreign ownership has a negative and significant impact on stock price volatility. The two-stage least squares (2SLS) are also performed to address potential endogeneity problem. The results still indicate a negative relationship between foreign ownership and stock price volatility. Taken together, the findings of this study suggest that foreign investors help reduce stock price volatility and thus stabilize share price in the Thai stock market.

• Journal of Internet Computing and Services
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• v.22 no.6
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• pp.17-24
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• 2021

The use of renewable energy sources for power generation has been steadily increasing. Power generation using renewable energy has the advantage of not generating carbon but has the disadvantage of high volatility depending on the weather. This volatility makes stable power supply difficult. Curtailment is occurring to address volatility. Various facilities are operated together to solve the loss caused by the curtailment. The existing SCADA must be modified for turbine control reflecting the conditions of various facilities. However, since it is difficult to modify SCADA, a modular control system is required. In this study, we propose Modular Control System Based on Closed-Loop Control for Wind Farms. Since the control logic can be changed without modifying SCADA, it is easy to respond to changes. The developed modular control system was evaluated as a lab test and confirmed to operate smoothly. Through future research, the experiment will be conducted by applying a modular control system to the actual wind farm.

• East Asian Journal of Business Economics (EAJBE)
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• v.6 no.3
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• pp.24-36
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• 2018

Purpose - From establishing China-Japan diplomatic relations in 1972, the relations between two states has improved a lot, from which makes the government and the people reap much benefit. Owing to this reason, this paper aims at exploiting the impact of exchange rate volatility of RMB on China's foreign direct investment to Japan. Research design and methodology - The quarterly time series data from 2003 to 2016 will be employed to conduct an empirical analysis under the vector error correction model. Meanwhile, a menu of estimated methods such the Johansen co-integration test and the Granger Causality test will be also used to explore the impact of exchange rate volatility of RMB on China's foreign direct investment to Japan. Results - The empirical analysis results exhibit that the real exchange rate has a positive effect on China's foreign direct investment to Japan in the long run. Conversely, the real exchange rate volatility of RMB, the trade openness and the real GDP have a negative effect on China's foreign direct investment to Japan in the long run. However, in the short run, the China's foreign direct investment to Japan, the real exchange rate, the trade openness and the real GDP in period have a negative effect on China's foreign direct investment to Japan in period. Oppositely, the real exchange rate volatility of RMB in period has a positive effect on China's foreign direct investment to Japan in period. Conclusions - From the empirical evidences in this paper provided, it can be concluded that an increase in the exchange rate volatility of RMB can result in a decrease in the China's foreign direct investment to Japan in the long run. However, an increase in the exchange rate volatility of RMB can lead to an increase in the China's foreign direct investment to Japan in the short run. Therefore, the China's government should have a best control of the real exchange rate volatility of RMB so as to improve China's foreign direct investment to Japan.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.12 no.1
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• pp.188-194
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• 2011

Using cross-section of 83 countries, this paper empirically examines the relationship between corruption and government expenditure volatility. A country's corruption is denoted by either control of corruption, compiled by Kaufmann et al. (2008), or corruption perceptions index, provided by Transparency International. In addition, a country's government expenditure volatility is measured by the standard deviation of the change ratio of government expenditure from 1990 to 2005. Regression results suggest that a country's control of corruption and corruption perceptions index (higher ratings signifying more transparency) are significantly and negatively associated with the volatility of government expenditure. However, the estimated coefficients of corruption perceptions index show somewhat reduced statistical significances. The results are robust to the sub-sample of countries excluding European OECD countries. Therefore, the regression results suggest corrupt bureaucrats are able to periodically change economic rules of the game, which results in the possibility of a higher variance in government expenditure.

• East Asian Economic Review
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• v.20 no.4
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• pp.469-491
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• 2016

In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared. A key result from our analysis is that the long term effect of exchange rate movements on firm values is greater than the short term effect. And we find very similar results from using other exchange rate variables such as the U.S. dollar exchange rate, etc. Second, we add exchange rate volatility as a control variable and find that the extent of exposure is not much changed. Third, we examine the changes in exposure to exchange rate volatility with an increase in return horizon. Consequently the ratio of firms with significant exposures increases with the return horizons. Interestingly, the increase of exposure with the return horizons is faster for exposure to volatility than for exposure to exchange rate itself. Taken as a whole, our findings suggest that the socalled "exposure puzzle" may be a matter of the methodology used to measure exposure.

• Journal of the Korean Society of Safety
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• v.18 no.3
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• pp.94-100
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• 2003

Gel-like compounds containing flammable solvents were prepared to use fur cleaning agents in field of innovative industries and general purposes. And experiments were conducted to improve the defects of liquified flammable solvents from the view point of safety and health hazards. Flammable solvents used in this study were several single component flammable solvents(turpentine oil, N-methyl-2-pyrrolidone(NMP), d-limonene) and multi component flammable solvent(gasoline and ethanol). For gelation of flammable solvents, commercially Known as Aerosil(equation omitted) 200 fumed silica and triethanolamine(TEA) were used as gelation agent dispersant. The analyses on properties of gel-like compounds was studied by gelation and viscosity test pH test, volatility test and differential scanning calorimetry(DSC) measurement. The experimental results indicate that gel-like compounds containing flammable solvents have pH stability, high viscosity, volatile organic compounds(VOC) control by the decrease of volatility and odor component generation, fluidity control etc. From the experimental values, it can be predicted that the safety in the working place is improved by manufacturing flammable solvents into gel-like compounds.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.261-277
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• 2003

The Korean Stock Market Surveillance System is desinged to control the volatility of stocks by drawing investor's attention and suppressing disguised demand, when stocks run up so rapidly in short period of time. Yet the Surveillance System has not been under empirical examination about its role and evolved in line with the Price Limit System. This study looks at the security returns under surveillance designation for 1995 -2001 period. The results indicate that the volatility of stocks has not been affected after surveillance designation. The constraints against the disguised demand, however, seems to limit the security returns rather than volatilities. These findings raises a question about the role of The Korean Stock Market Surveillance System for the control of volatility. The Surveillance System needs to be examined thoroughly about its role, function, and its conditions. Otherwise, the shareholders with less information could be placed at a disadvantage. This paper suggests that the system should be amended in an effort to make the volatility of stocks under control.

• Proceedings of the Korean Society of Tribologists and Lubrication Engineers Conference
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• 1999.06a
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• pp.359-365
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• 1999

We have evaluated the performance and some physical properties of 25 automotive engine oils (21 domestic and 5 imported products) which are purchased on the market to verify the API(American Petroleum Institute) or ILSAC(International Lubricant Standardization and Approval Committee) certification marks attached on the products and to determine the necessity of the quality control of the engine oils on the market. 12 test items are chosen according to API engine oil specification, which are flash point, pour point, cold cranking simulator apparent viscosity, pumping viscosity, gelation index, HTHS(High Temperature High Shear viscosity), foam, high temperature foam, filterability, volatility, high temperature deposit(TEOST), phosphorus content. We have found one product which did not meet the API specification on gelation index, one on HTHS, four on foam, and one on volatility, which implies that the quality control system is in need to check the fidelity of the certification marks attached on the engine oils being marketed. In addition, this works raises the necessity of the upgrade of the present Korean engine oil specification.