• Title/Summary/Keyword: output pattern

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Performance Improvement on Short Volatility Strategy with Asymmetric Spillover Effect and SVM (비대칭적 전이효과와 SVM을 이용한 변동성 매도전략의 수익성 개선)

  • Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.26 no.1
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    • pp.119-133
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    • 2020
  • Fama asserted that in an efficient market, we can't make a trading rule that consistently outperforms the average stock market returns. This study aims to suggest a machine learning algorithm to improve the trading performance of an intraday short volatility strategy applying asymmetric volatility spillover effect, and analyze its trading performance improvement. Generally stock market volatility has a negative relation with stock market return and the Korean stock market volatility is influenced by the US stock market volatility. This volatility spillover effect is asymmetric. The asymmetric volatility spillover effect refers to the phenomenon that the US stock market volatility up and down differently influence the next day's volatility of the Korean stock market. We collected the S&P 500 index, VIX, KOSPI 200 index, and V-KOSPI 200 from 2008 to 2018. We found the negative relation between the S&P 500 and VIX, and the KOSPI 200 and V-KOSPI 200. We also documented the strong volatility spillover effect from the VIX to the V-KOSPI 200. Interestingly, the asymmetric volatility spillover was also found. Whereas the VIX up is fully reflected in the opening volatility of the V-KOSPI 200, the VIX down influences partially in the opening volatility and its influence lasts to the Korean market close. If the stock market is efficient, there is no reason why there exists the asymmetric volatility spillover effect. It is a counter example of the efficient market hypothesis. To utilize this type of anomalous volatility spillover pattern, we analyzed the intraday volatility selling strategy. This strategy sells short the Korean volatility market in the morning after the US stock market volatility closes down and takes no position in the volatility market after the VIX closes up. It produced profit every year between 2008 and 2018 and the percent profitable is 68%. The trading performance showed the higher average annual return of 129% relative to the benchmark average annual return of 33%. The maximum draw down, MDD, is -41%, which is lower than that of benchmark -101%. The Sharpe ratio 0.32 of SVS strategy is much greater than the Sharpe ratio 0.08 of the Benchmark strategy. The Sharpe ratio simultaneously considers return and risk and is calculated as return divided by risk. Therefore, high Sharpe ratio means high performance when comparing different strategies with different risk and return structure. Real world trading gives rise to the trading costs including brokerage cost and slippage cost. When the trading cost is considered, the performance difference between 76% and -10% average annual returns becomes clear. To improve the performance of the suggested volatility trading strategy, we used the well-known SVM algorithm. Input variables include the VIX close to close return at day t-1, the VIX open to close return at day t-1, the VK open return at day t, and output is the up and down classification of the VK open to close return at day t. The training period is from 2008 to 2014 and the testing period is from 2015 to 2018. The kernel functions are linear function, radial basis function, and polynomial function. We suggested the modified-short volatility strategy that sells the VK in the morning when the SVM output is Down and takes no position when the SVM output is Up. The trading performance was remarkably improved. The 5-year testing period trading results of the m-SVS strategy showed very high profit and low risk relative to the benchmark SVS strategy. The annual return of the m-SVS strategy is 123% and it is higher than that of SVS strategy. The risk factor, MDD, was also significantly improved from -41% to -29%.

On-site Output Survey and Feed Value Evaluation on Agro- industrial By-products (농산업부산물들에 대한 배출 현장 조사 및 사료적 가치 평가)

  • Kwak, W. S.;Yoon, J. S.
    • Journal of Animal Science and Technology
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    • v.45 no.2
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    • pp.251-264
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    • 2003
  • This study was conducted to make on-site survey on the output pattern and utilization situation of 19 by-products selected, to evaluate their nutritional characteristics, to find out a reliable index with which digestion of by-products can be predicted on the basis of chemical compositions analyzed and to diagnose the risk of using book values in the absence of the actual values analyzed for diet formulation. Production and utilization situations of by-products were quite various. Nutritionally, fruit processing by-products such as apple pomace (AP), pear pomace (PP), grape pomace (GP), and persimmon peel (PSP), and bakery by-products (BB) were classified as energy feeds. Soybean curd meal (SCM), animal by- products such as blood (BD), feather meal (FM) and poultry by-products (PB), and activated milk processing sludge (AMS) were classified as protein feeds. Soy hulls (SH), spent mushroom compost (SMC), barley malt hulls (BMH), waste paper (WP) and broiler litter (BL) were classified as roughage. Rumen contents (RC) and restaurant food waste (FW) were nutritionally analogous to complete diets for cattle and swine, respectively. Compared to soybean meal (SBM), BD and FM contained high (P<0.05) levels of amino acids and barley malt sprouts (BMS), AMS and FW contained low (P<0.05) levels of amino acids. Enzymatic (pepsin) digestibilities of proteinaceous feeds ranged between 99 and 66%. In vitro DM digestibility was high (P<0.05) in the order of FW, BB, AP, SH, PP, PSP, BMH, BMS, SCM, GP, RC, PB, BL, WP, SMC, AMS, FM and BD. In vitro DM digestibility had the highest correlation (r=0.68) with nonfibrous carbohydrate among chemical components. Differences between analyzed values of chemical components and book values were considerable. Caution is required in using book values when large amount of by-products are used in diets.

Technical Inefficiency in Korea's Manufacturing Industries (한국(韓國) 제조업(製造業)의 기술적(技術的) 효율성(效率性) : 산업별(産業別) 기술적(技術的) 효율성(效率性)의 추정(推定))

  • Yoo, Seong-min;Lee, In-chan
    • KDI Journal of Economic Policy
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    • v.12 no.2
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    • pp.51-79
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    • 1990
  • Research on technical efficiency, an important dimension of market performance, had received little attention until recently by most industrial organization empiricists, the reason being that traditional microeconomic theory simply assumed away any form of inefficiency in production. Recently, however, an increasing number of research efforts have been conducted to answer questions such as: To what extent do technical ineffciencies exist in the production activities of firms and plants? What are the factors accounting for the level of inefficiency found and those explaining the interindustry difference in technical inefficiency? Are there any significant international differences in the levels of technical efficiency and, if so, how can we reconcile these results with the observed pattern of international trade, etc? As the first in a series of studies on the technical efficiency of Korea's manufacturing industries, this paper attempts to answer some of these questions. Since the estimation of technical efficiency requires the use of plant-level data for each of the five-digit KSIC industries available from the Census of Manufactures, one may consture the findings of this paper as empirical evidence of technical efficiency in Korea's manufacturing industries at the most disaggregated level. We start by clarifying the relationship among the various concepts of efficiency-allocative effciency, factor-price efficiency, technical efficiency, Leibenstein's X-efficiency, and scale efficiency. It then becomes clear that unless certain ceteris paribus assumptions are satisfied, our estimates of technical inefficiency are in fact related to factor price inefficiency as well. The empirical model employed is, what is called, a stochastic frontier production function which divides the stochastic term into two different components-one with a symmetric distribution for pure white noise and the other for technical inefficiency with an asymmetric distribution. A translog production function is assumed for the functional relationship between inputs and output, and was estimated by the corrected ordinary least squares method. The second and third sample moments of the regression residuals are then used to yield estimates of four different types of measures for technical (in) efficiency. The entire range of manufacturing industries can be divided into two groups, depending on whether or not the distribution of estimated regression residuals allows a successful estimation of technical efficiency. The regression equation employing value added as the dependent variable gives a greater number of "successful" industries than the one using gross output. The correlation among estimates of the different measures of efficiency appears to be high, while the estimates of efficiency based on different regression equations seem almost uncorrelated. Thus, in the subsequent analysis of the determinants of interindustry variations in technical efficiency, the choice of the regression equation in the previous stage will affect the outcome significantly.

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Variation of Hospital Costs and Product Heterogeneity

  • Shin, Young-Soo
    • Journal of Preventive Medicine and Public Health
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    • v.11 no.1
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    • pp.123-127
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    • 1978
  • The major objective of this research is to identify those hospital characteristics that best explain cost variation among hospitals and to formulate linear models that can predict hospital costs. Specific emphasis is placed on hospital output, that is, the identification of diagnosis related patient groups (DRGs) which are medically meaningful and demonstrate similar patterns of hospital resource consumption. A casemix index is developed based on the DRGs identified. Considering the common problems encountered in previous hospital cost research, the following study requirements are estab-lished for fulfilling the objectives of this research: 1. Selection of hospitals that exercise similar medical and fiscal practices. 2. Identification of an appropriate data collection mechanism in which demographic and medical characteristics of individual patients as well as accurate and comparable cost information can be derived. 3. Development of a patient classification system in which all the patients treated in hospitals are able to be split into mutually exclusive categories with consistent and stable patterns of resource consumption. 4. Development of a cost finding mechanism through which patient groups' costs can be made comparable across hospitals. A data set of Medicare patients prepared by the Social Security Administration was selected for the study analysis. The data set contained 27,229 record abstracts of Medicare patients discharged from all but one short-term general hospital in Connecticut during the period from January 1, 1971, to December 31, 1972. Each record abstract contained demographic and diagnostic information, as well as charges for specific medical services received. The 'AUT-OGRP System' was used to generate 198 DRGs in which the entire range of Medicare patients were split into mutually exclusive categories, each of which shows a consistent and stable pattern of resource consumption. The 'Departmental Method' was used to generate cost information for the groups of Medicare patients that would be comparable across hospitals. To fulfill the study objectives, an extensive analysis was conducted in the following areas: 1. Analysis of DRGs: in which the level of resource use of each DRG was determined, the length of stay or death rate of each DRG in relation to resource use was characterized, and underlying patterns of the relationships among DRG costs were explained. 2. Exploration of resource use profiles of hospitals; in which the magnitude of differences in the resource uses or death rates incurred in the treatment of Medicare patients among the study hospitals was explored. 3. Casemix analysis; in which four types of casemix-related indices were generated, and the significance of these indices in the explanation of hospital costs was examined. 4. Formulation of linear models to predict hospital costs of Medicare patients; in which nine independent variables (i. e., casemix index, hospital size, complexity of service, teaching activity, location, casemix-adjusted death. rate index, occupancy rate, and casemix-adjusted length of stay index) were used for determining factors in hospital costs. Results from the study analysis indicated that: 1. The system of 198 DRGs for Medicare patient classification was demonstrated not only as a strong tool for determining the pattern of hospital resource utilization of Medicare patients, but also for categorizing patients by their severity of illness. 2. The wei틴fed mean total case cost (TOTC) of the study hospitals for Medicare patients during the study years was $11,27.02 with a standard deviation of $117.20. The hospital with the highest average TOTC ($1538.15) was 2.08 times more expensive than the hospital with the lowest average TOTC ($743.45). The weighted mean per diem total cost (DTOC) of the study hospitals for Medicare patients during the sutdy years was $107.98 with a standard deviation of $15.18. The hospital with the highest average DTOC ($147.23) was 1.87 times more expensive than the hospital with the lowest average DTOC ($78.49). 3. The linear models for each of the six types of hospital costs were formulated using the casemix index and the eight other hospital variables as the determinants. These models explained variance to the extent of 68.7 percent of total case cost (TOTC), 63.5 percent of room and board cost (RMC), 66.2 percent of total ancillary service cost (TANC), 66.3 percent of per diem total cost (DTOC), 56.9 percent of per diem room and board cost (DRMC), and 65.5 percent of per diem ancillary service cost (DTANC). The casemix index alone explained approximately one half of interhospital cost variation: 59.1 percent for TOTC and 44.3 percent for DTOC. Thsee results demonstrate that the casemix index is the most importand determinant of interhospital cost variation Future research and policy implications in regard to the results of this study is envisioned in the following three areas: 1. Utilization of casemix related indices in the Medicare data systems. 2. Refinement of data for hospital cost evaluation. 3. Development of a system for reimbursement and cost control in hospitals.

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Nutrient Load Balance in Large-Scale Paddy Fields during Rice Cultivation (경지 정리된 광역 논에서 영양물질 수지와 배출 특성)

  • Kim, Min-Kyeong;Roh, Kee-An;Lee, Nam-Jong;Seo, Myung-Chul;Koh, Mun-Hwan
    • Korean Journal of Soil Science and Fertilizer
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    • v.38 no.3
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    • pp.164-171
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    • 2005
  • The aim of this study was to evaluate the load of nutrient from paddy fields. Water management practices that can reduce eutrophication and meet water quality requirements will also be addressed. Continuous monitoring from May to September in 2002 and 2003 was conducted for water quantification and qualification at the intensive paddy fields in Icheon, Gyunggi province of Korea. Water balance and concentration variation of nitrogen and phosphorus in the water were independently compared for water quality assessment at each rice cultivation period. Rice land preparation and transplanting periods usually marked the highest water demand when compared to other periods of cultivation. Overall, a greater net irrigation ratio was observed during the transplanting period in 2002 (92.3%) and 2003 (87.2%). The measured total N loads of precipitation, irrigation, drainage, and percolation during the rice cultivation period were 9.9, 41.6, 22.1, and $5.5kg\;ha^{-1}$ for 2002 and 15.8, 55.4, 17.3, and $7.5kg\;ha^{-1}$ for 2003, respectively. The measured total P loads of precipitation, irrigation, drainage, and percolation during the rice cultivation period were 2.1, 13.0, 3.6, and $1.8kg\;ha^{-1}$ for 2002 and 1.6, 15.0, 5.0, and $1.2kg\;ha^{-1}$ for 2003, respectively. Daily nutrient load followed the pattern of surface drainage water, but this pattern was changed by rainfall events. The nutrient load in drainage water depends on rainfall and surface drainage water amount from the paddy fields. Interestingly, the load of total N and total P output was smaller than the input load due to the natural infiltration that Occurred during the rice cultivation period. It is concluded that the paddy fields have a beneficial effect on the ecosystem and can reduce eutrophication in the water.

Expression of the Circadian Clock Genes in the Mouse Gonad (생쥐 생식소의 발달 단계에 따른 일주기성 유전자 발현에 관한 연구)

  • Chung Mi-Kyung;Choi Yoon-Jeong;Jung Kyenng-Hwa;Kim Eun-Ah;Chung Hyung-Min;Lee Sook-Hwan;Yoon Tae-Ki;Chai Young-Gyu
    • Development and Reproduction
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    • v.8 no.1
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    • pp.57-64
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    • 2004
  • This study was carried out to examine the expression of the circadian clock genes in the mouse ovary and testis at different developmental stages. Expression of Period1(Per 1), Period2(Per2), Period3(Per3), Cryptochrome1(Cry1), Cyptochrome2(Cry2), Clock Small and Prokineticin1 and Prokineticin2 receptor(Prok1r, Prok2r) genes in mouse ovary was explored by semiquantitative reverse transcription Polymerase chain reaction(RT-PCR) according to the developmental stage(post partum day; ppd 1, 7, 10, 21 and 35). Immunohistochemistry using PER1 antibody was also analyzed. The differential expression pattern of clock genes was presented according to stages of the mouse ovarian development (ppd 1, 7, 10, 21 and 35). In the cases of ovaries, at the starting point of follicle growth at ppd 7 and 10, the clock gene expression patterns were changed vastly. According to the developmental stages, the clock genes were highly expressed at ppd 7 and 10 in mouse testis also. Receptors for Prok2, the circadian output molecule of SCN, were also expressed in ovary at ppd 7 and in testis at ppd 1 and 7, respectively. Immnunohistochemical analysis of PER1 showed positive signals in the cytoplasm of oocytes and granulosa cells. The level or PER1 expression was increased in cells at the spermatogonia and the condensing spermatids. The expression pattern of Perl and localization of PER1 were showed similar patterns according to the developmental stages in ovary and testis. Taken together, it could be observed that the expression of clock genes was highly correlated with gonadal development and germ cell differentiation in mice. Therefore, in this study, circadian programming of the genes in the ovary and testis is strongly imposed across a wide range of core reproductive cycles and normal development of gametes. Although the existence of circadian genes is clearly investigated, further studies on the direct evidence is required for the understanding of the relationship between circadian genes and regulation of gonadal differentiation and germ cell development.

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Efficiency Analysis of Spiral Structured Twist Screen (식품분말 진동선별기 개선을 위한 구조물 효율 분석)

  • Park, In-soon;Na, En-soo;Jang, Dong-soon;Paek, Young-soo
    • Food Engineering Progress
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    • v.14 no.2
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    • pp.85-91
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    • 2010
  • In the food process, twist screen is widely used to divide particles on the basis of size. As screen equipped in the twist screen perfoms an important part in the particle size distribution mechanism, the contact area of screen and particles, retention time of particles on the screen, mesh and string thickness of screen and the flow pattern of particles on the screen are major points of the separation efficiency. To improve the separation efficiency, increase the retention time and control the flow pattern of particles, screen frame dam and spiral blockage are installed on the sieve of twist screen ${\emptyset}$ 1200 and ${\emptyset}$ 1500. Twist screen ${\emptyset}$ 1500 with frame dam treated similar separation capacity, 37% higher separation ratio and less non-separated particles of product output 1 than general twist screen. Twist screens with frame dam and spiral blockage showed less treatment capacity, three times higher division ratio and entire separation than general twist screen.

A Time Series Graph based Convolutional Neural Network Model for Effective Input Variable Pattern Learning : Application to the Prediction of Stock Market (효과적인 입력변수 패턴 학습을 위한 시계열 그래프 기반 합성곱 신경망 모형: 주식시장 예측에의 응용)

  • Lee, Mo-Se;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.24 no.1
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    • pp.167-181
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    • 2018
  • Over the past decade, deep learning has been in spotlight among various machine learning algorithms. In particular, CNN(Convolutional Neural Network), which is known as the effective solution for recognizing and classifying images or voices, has been popularly applied to classification and prediction problems. In this study, we investigate the way to apply CNN in business problem solving. Specifically, this study propose to apply CNN to stock market prediction, one of the most challenging tasks in the machine learning research. As mentioned, CNN has strength in interpreting images. Thus, the model proposed in this study adopts CNN as the binary classifier that predicts stock market direction (upward or downward) by using time series graphs as its inputs. That is, our proposal is to build a machine learning algorithm that mimics an experts called 'technical analysts' who examine the graph of past price movement, and predict future financial price movements. Our proposed model named 'CNN-FG(Convolutional Neural Network using Fluctuation Graph)' consists of five steps. In the first step, it divides the dataset into the intervals of 5 days. And then, it creates time series graphs for the divided dataset in step 2. The size of the image in which the graph is drawn is $40(pixels){\times}40(pixels)$, and the graph of each independent variable was drawn using different colors. In step 3, the model converts the images into the matrices. Each image is converted into the combination of three matrices in order to express the value of the color using R(red), G(green), and B(blue) scale. In the next step, it splits the dataset of the graph images into training and validation datasets. We used 80% of the total dataset as the training dataset, and the remaining 20% as the validation dataset. And then, CNN classifiers are trained using the images of training dataset in the final step. Regarding the parameters of CNN-FG, we adopted two convolution filters ($5{\times}5{\times}6$ and $5{\times}5{\times}9$) in the convolution layer. In the pooling layer, $2{\times}2$ max pooling filter was used. The numbers of the nodes in two hidden layers were set to, respectively, 900 and 32, and the number of the nodes in the output layer was set to 2(one is for the prediction of upward trend, and the other one is for downward trend). Activation functions for the convolution layer and the hidden layer were set to ReLU(Rectified Linear Unit), and one for the output layer set to Softmax function. To validate our model - CNN-FG, we applied it to the prediction of KOSPI200 for 2,026 days in eight years (from 2009 to 2016). To match the proportions of the two groups in the independent variable (i.e. tomorrow's stock market movement), we selected 1,950 samples by applying random sampling. Finally, we built the training dataset using 80% of the total dataset (1,560 samples), and the validation dataset using 20% (390 samples). The dependent variables of the experimental dataset included twelve technical indicators popularly been used in the previous studies. They include Stochastic %K, Stochastic %D, Momentum, ROC(rate of change), LW %R(Larry William's %R), A/D oscillator(accumulation/distribution oscillator), OSCP(price oscillator), CCI(commodity channel index), and so on. To confirm the superiority of CNN-FG, we compared its prediction accuracy with the ones of other classification models. Experimental results showed that CNN-FG outperforms LOGIT(logistic regression), ANN(artificial neural network), and SVM(support vector machine) with the statistical significance. These empirical results imply that converting time series business data into graphs and building CNN-based classification models using these graphs can be effective from the perspective of prediction accuracy. Thus, this paper sheds a light on how to apply deep learning techniques to the domain of business problem solving.

Study on the Effects of R&D Activities on the Exports of Korean Economy (R&D투자가 한국경제 수출에 미치는 영향 분석)

  • Kim Byung-Woo
    • Journal of Technology Innovation
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    • v.14 no.1
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    • pp.31-66
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    • 2006
  • The country with a relative abundance of human capital conducts relatively more R&D in the steady state than its partner. This country acquires the know-how to produce a relatively wider range of innovative goods. High technology comprises a large share of the national economy in the human-capital rich country and real output growth is faster. This prediction would seem to accord weakly with empirical observation of Korean economy.

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Patient Setup Aid with Wireless CCTV System in Radiation Therapy (무선 CCTV 시스템을 이용한 환자 고정 보조기술의 개발)

  • Park, Yang-Kyun;Ha, Sung-Whan;Ye, Sung-Joon;Cho, Woong;Park, Jong-Min;Park, Suk-Won;Huh, Soon-Nyung
    • Radiation Oncology Journal
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    • v.24 no.4
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    • pp.300-308
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    • 2006
  • $\underline{Purpose}$: To develop a wireless CCTV system in semi-beam's eye view (BEV) to monitor daily patient setup in radiation therapy. $\underline{Materials\;and\;Methods}$: In order to get patient images in semi-BEV, CCTV cameras are installed in a custom-made acrylic applicator below the treatment head of a linear accelerator. The images from the cameras are transmitted via radio frequency signal (${\sim}2.4\;GHz$ and 10 mW RF output). An expected problem with this system is radio frequency interference, which is solved utilizing RF shielding with Cu foils and median filtering software. The images are analyzed by our custom-made software. In the software, three anatomical landmarks in the patient surface are indicated by a user, then automatically the 3 dimensional structures are obtained and registered by utilizing a localization procedure consisting mainly of stereo matching algorithm and Gauss-Newton optimization. This algorithm is applied to phantom images to investigate the setup accuracy. Respiratory gating system is also researched with real-time image processing. A line-laser marker projected on a patient's surface is extracted by binary image processing and the breath pattern is calculated and displayed in real-time. $\underline{Results}$: More than 80% of the camera noises from the linear accelerator are eliminated by wrapping the camera with copper foils. The accuracy of the localization procedure is found to be on the order of $1.5{\pm}0.7\;mm$ with a point phantom and sub-millimeters and degrees with a custom-made head/neck phantom. With line-laser marker, real-time respiratory monitoring is possible in the delay time of ${\sim}0.17\;sec$. $\underline{Conclusion}$: The wireless CCTV camera system is the novel tool which can monitor daily patient setups. The feasibility of respiratory gating system with the wireless CCTV is hopeful.