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VKOSPI Forecasting and Option Trading Application Using SVM (SVM을 이용한 VKOSPI 일 중 변화 예측과 실제 옵션 매매에의 적용)

  • Ra, Yun Seon;Choi, Heung Sik;Kim, Sun Woong
    • Journal of Intelligence and Information Systems
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    • v.22 no.4
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    • pp.177-192
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    • 2016
  • Machine learning is a field of artificial intelligence. It refers to an area of computer science related to providing machines the ability to perform their own data analysis, decision making and forecasting. For example, one of the representative machine learning models is artificial neural network, which is a statistical learning algorithm inspired by the neural network structure of biology. In addition, there are other machine learning models such as decision tree model, naive bayes model and SVM(support vector machine) model. Among the machine learning models, we use SVM model in this study because it is mainly used for classification and regression analysis that fits well to our study. The core principle of SVM is to find a reasonable hyperplane that distinguishes different group in the data space. Given information about the data in any two groups, the SVM model judges to which group the new data belongs based on the hyperplane obtained from the given data set. Thus, the more the amount of meaningful data, the better the machine learning ability. In recent years, many financial experts have focused on machine learning, seeing the possibility of combining with machine learning and the financial field where vast amounts of financial data exist. Machine learning techniques have been proved to be powerful in describing the non-stationary and chaotic stock price dynamics. A lot of researches have been successfully conducted on forecasting of stock prices using machine learning algorithms. Recently, financial companies have begun to provide Robo-Advisor service, a compound word of Robot and Advisor, which can perform various financial tasks through advanced algorithms using rapidly changing huge amount of data. Robo-Adviser's main task is to advise the investors about the investor's personal investment propensity and to provide the service to manage the portfolio automatically. In this study, we propose a method of forecasting the Korean volatility index, VKOSPI, using the SVM model, which is one of the machine learning methods, and applying it to real option trading to increase the trading performance. VKOSPI is a measure of the future volatility of the KOSPI 200 index based on KOSPI 200 index option prices. VKOSPI is similar to the VIX index, which is based on S&P 500 option price in the United States. The Korea Exchange(KRX) calculates and announce the real-time VKOSPI index. VKOSPI is the same as the usual volatility and affects the option prices. The direction of VKOSPI and option prices show positive relation regardless of the option type (call and put options with various striking prices). If the volatility increases, all of the call and put option premium increases because the probability of the option's exercise possibility increases. The investor can know the rising value of the option price with respect to the volatility rising value in real time through Vega, a Black-Scholes's measurement index of an option's sensitivity to changes in the volatility. Therefore, accurate forecasting of VKOSPI movements is one of the important factors that can generate profit in option trading. In this study, we verified through real option data that the accurate forecast of VKOSPI is able to make a big profit in real option trading. To the best of our knowledge, there have been no studies on the idea of predicting the direction of VKOSPI based on machine learning and introducing the idea of applying it to actual option trading. In this study predicted daily VKOSPI changes through SVM model and then made intraday option strangle position, which gives profit as option prices reduce, only when VKOSPI is expected to decline during daytime. We analyzed the results and tested whether it is applicable to real option trading based on SVM's prediction. The results showed the prediction accuracy of VKOSPI was 57.83% on average, and the number of position entry times was 43.2 times, which is less than half of the benchmark (100 times). A small number of trading is an indicator of trading efficiency. In addition, the experiment proved that the trading performance was significantly higher than the benchmark.

A Study on Regional Revitalization Effects of Street Improvement Projects through Comparison of the Types of Citizen Participation (거리정비사업의 주민참여방식 비교를 통한 지역활성화 효과 연구)

  • Chae, Jin-Hae;Kim, Seong-Hak;Yang, Byoung-E
    • Journal of the Korean Institute of Landscape Architecture
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    • v.39 no.2
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    • pp.52-64
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    • 2011
  • In this study, the effects of street improvement projects in particular regions are carefully scrutinized, classified, and compared based on the types of citizen participation in those projects which are offered as one of several urban regeneration methods. The Wonju and Siheung Street Improvement Projects were selected for case studies, and in-depth interviews and a survey are conducted in both regions. As a result of in-depth interviews, the Wonju project is the community initiative type in which the community has responsibilities and decision-making abilities. On the other hand, Siheung is the community participative type in which the opinions of the community have been limited The survey targeted more than 100 local merchants, and they were asked to answer to the questions which were categorized into 21 items with a 5-point Likert scale. The analysis method was carried out through a reliability test, regression. average analysis on each group, and a T-test by SPSS 18.0. Factor analysis results show four factors: physical, partnership, community, and economical revitalization. These results reveal that the social factor can be sub-divided into a community factor and partnership factor. As a result of revitalization factors by citizen participation type, the resident initiative type is more revitalized than the resident participative type in all four factors, and shows positive responses in physical and economical revitalization factors. In particular, the physical revitalization factor has a big impact on resident satisfaction regardless of type. The community revitalization factor also has an impact on two types. It reveals that the communication is as important as physical improvement. However, it shows that no type of project affects partnership revitalization. As a result of this study, if we considered only physical improvement as project achievement, you can achieve the desired outcome without consideration of residents' participation types. Furthermore, if regional revitalization is the goal of a street improvement project, we must consider other factors such as a partnership and community revitalization.

Assessment of Visual Characteristics of Urban Bridges using Landscape Simulations - A Case Study of Yanghwaro in the Gyeongui Railroad Area - (경관시뮬레이션을 이용한 도시교량의 시각적 특성 평가 - 경의선 폐철구간 양화로 지역을 대상으로 -)

  • Chun, Hyun-Jin;Kim, Sung-Kyun
    • Journal of the Korean Institute of Landscape Architecture
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    • v.38 no.3
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    • pp.75-82
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    • 2010
  • This study formed an estimation of the visual characteristics of urban bridges in Yanghwaro in the Gyeongui Railroad Area using a landscape simulation. Existing theses have formerly only suggested directions for design based on visual preference, but there is as yet no research on the practical process of landscape design. As a result, it is difficult to directly apply this to bridge design. This study found a potential bridge site and presented a direction for bridge design in order to improve the image of the surrounding urban landscape by surveying the visual effects and landscape preferences of different bridge types. An urban landscape was produced using a landscape simulation model and was made the background for the survey. Five bridge types--Girder, Arch, Truss, Cable and Suspension--were selected and presented. The shapes of the bridges were selected based on the floor plan. The results of this study are as follows. In a preference analysis, every bridge except Girder was evaluated as a positive influence. When rating the image, 'artificial' was rated significantly higher than other traits when assessing the background image. When the Girder Bridge was introduced, 'stable' and 'orderly' were both rated highly while 'stable', 'beautiful', 'orderly' and 'interesting' were high with the introduction of the Arch Bridge. 'Beautiful', 'stable', and 'orderly' were given a high value in the introduction of the Truss Bridge and every image except 'natural', 'harmony' and 'orderly' were highly rated in the introduction of the Cable Bridge. Further, every image but 'natural' was highly rated with the introduction of the Suspension Bridge. Based on the analysis of the landscape, there is a difference in preference before and after modeling a bridge type, while the bridge itself is an influence when it is the main object of the simulated scene. This study researched only the shape of the bridge as a part of the landscape but other elements such as stability, economics, and construction are also factors in the design of a bridge. Stability, economics, construction and other factors must be considered when selecting a bridge type in the future.

The Effect of Scratch Programming Education for Middle School Students on the Information Science Creative Personality and Technological Problem Solving Tendency (스크래치 프로그래밍 교육이 중학생의 정보과학 창의적 성향과 기술적 문제해결 성향에 미치는 영향)

  • Kim, Ki-Yeol
    • 대한공업교육학회지
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    • v.41 no.2
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    • pp.119-133
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    • 2016
  • This study is aimed at verifying the effect of scratch programming education for middle school students on their information science creative personality and technological problem solving tendency. The results of such study can be used as basic data for raising 'future creative talents' armed with problem-solving capability they honed in software education. The results of this research are as follows. First, a statistically significant difference was confirmed between ex ante and ex post samples in a t-test which was performed to verify information science creative personality of the middle school students (t(37)=4.305, p<.01). Their information science creative personality was high in the average score as it dropped from 3.00 in the ex-ante test to 2.51 in the ex post test. It was confirmed that the education of scratch programming influences information science creative personality for middle school students positively, suggesting that middle school students are interested in new problematic situations they found in information science and discover new problem-solving methods in the programming education, thereby showing positive feedback in the education performance. However, it was revealed that the middle school students were unable to immerse themselves in the scratch programming course completely and change their psychological states. Second, a statistically significant difference was confirmed between ex ante and ex post samples in a t-test which was performed to verify their technological problem solving tendency (t(37)=3.074, p<.01). Their technological problem solving tendency was high in the average score as it dropped from 4.06 in the ex-ante test to 3.55 in the ex post test. It was confirmed that the education of scratch programming influences technological problem solving tendency for middle school students positively: they understood problems associated with technology, explored diverse breakthroughs for the identified problems and assessed and improved resolutions. Third, a moderate correlation was confirmed between their information science creative personality and technological problem solving tendency (r=.343, p<.05). Therefore, it is judged that the middle school students who took scratch programming education demonstrated its influence in the correlation between the imagination for problem solving, positivity in the information science creative personality and the confidence for problem solving in the technological problem solving tendency.

Relationships of Achievement Goal Orientation with Academic Self-efficacy of Specialized High School Students (특성화고등학교 학생의 성취목표지향성과 학업적 자기효능감의 관계)

  • Yang, Jin-Sik;Song, Nak-Hyun;Lee, Chang-Hoon
    • 대한공업교육학회지
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    • v.43 no.2
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    • pp.79-96
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    • 2018
  • In this study, we look at the effect that the achievement goal of specialized high school students has on academic self-efficacy and the difference in academic self-efficacy depending on achievement goal orientation. The purpose of this research is to help students to efficiently increase their academic self-efficacy, develop research and study life guidance measures to improve negative factors, and select professors and learning methods. To achieve the purpose, survey was conducted with achievement goal orientation measurement tools(26 questions) and academic self-efficacy measurement tools(28 questions) for 745 students of 18 specialized technical high school students in 5 districts. The results of this study are as follows. First, preference to task difficulty and self-controlling efficacy have highly positive correlations with mastery goal orientation and confidence and mastery avoidance goal orientation have highly negative correlations each other. Second, achievement goal orientation form of specialized high school students were divided into 5 forms; 'execution avoidance(34.8%)', 'mastery orientation(20.8%)', 'approach(17%)', 'avoidance competition(14.9%)', and'mastery avoidance(12.5%)'. In preference to task difficulty, 'approach'group showed the highest average point and 'mastery avoidance'showed the lowest average point. The average point of 'approach' group was higher than other groups in confidence, but 'mastery orientation' group showed the highest average point. Through the results of this study, academic self-efficacy makes an effect by a certain direction in accordance with achievement goal orientation and it's necessary to access academic problems differently according to student's goal directivity. Therefore, it's necessary to provide educational method by student type based on explanation about academic self-efficacy of achievement goal orientation of specialized high school students and analysis on achievement goal orientation form.

A Study on the Effectiveness and Possibility of Chemistry Inquiry Programs Based on Reverse Science Principle (RSP(Reverse Science Principle)기반 화학 탐구 프로그램의 효과 및 가능성 탐색)

  • Jo, Eun-ji;Yang, Heesun;Kang, Seong-Joo
    • Journal of the Korean Chemical Society
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    • v.62 no.4
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    • pp.299-313
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    • 2018
  • Inquiry-centered education is important in science education, but in the actual education field, scientific research is being done in a uniform manner due to realistic difficulties. In this study, we use RS (Reverse Science) as a secondary chemistry class to provide opportunities for students to engage in inquiry learning and scientific thinking through process-oriented activities. In this study, we developed and applied it to explore the effects on the scientific inquiry abilities of middle school students and checked the students' perception of it. For the application of the program, 128 students were selected from 6 classes of the 2nd grade in D district middle school, 64 from the experimental group and 64 from the comparative group. The experimental group taught RSP-based the chemistry inquiry programs and the comparative group taught instructor-led classes and verification experiments on the same topic over the seventh hour with three themes. In addition, we analyzed the results of the pre- and post-test by using the science inquiry ability test, and discussed the effects of the program based on the students' perceptions through class observation, student activity area, questionnaire and interview. As a result, the class using the program showed statistically significant changes in the science inquiry ability of secondary school students. Specifically, the experimental group was found to be significant in its prediction among the subcomponents of basic exploration ability compared to the comparative group. The differences have also been shown to be significant in terms of data translation, hypothesis setup and variable control, which are subcomponents of integrated exploration capabilities (p <. 05). In addition, students became interested in the process of creating the theory of science, and were highly interested in collaborating with their friends. It also provided students with opportunities to experience scientific thinking through process-oriented inquiry. Finally, based on the positive impact of the RSP-based chemistry inquiry program on students, we were able to identify the potential use of the program.

A Relationship Between Dentistry Consumers' Knowledge and Expectation of Dental Implants (치과의료소비자의 임플란트에 대한 지식과 기대도의 관련성)

  • Yoo, Eun-Mi;Shim, Hyun-ju
    • Journal of dental hygiene science
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    • v.10 no.4
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    • pp.219-225
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    • 2010
  • The purpose of this study was to examine the patients' knowledge and expectation of dental implants and to provide effective consulting and accurate information on implants to them. To that end, between March 23, 2008 and June 5, 2008, patients who were visiting dental clinics (hospitals) in Seoul, Gyeonggi-do, and Incheon areas were surveyed. 84.7% of subjects said that they recognized implants, and the largest number of them (26.7%) of subjects came to know via friends. According to an analysis of subjects' knowledge of the dental implant operation, the maximum value was 4.06, and the minimum value was 3.05. The opinion value on the need to have regular examination after the implant operation was highest at 4.06. Regarding expectation over the implant operation, the maximum value was 4.42, and the minimum value was 1.78. The opinion value on considering the implant operation capability the most important was the highest at 4.42. The relationship between the knowledge of and expectation over implants was significant. By gender, females had a significantly higher level of knowledge than males. Regarding preference, females scored 3.27 points, and males scored 3.23 points. By occupation, professionals earned the highest score of 3.55 in knowledge, and professionals earned the highest score of 3.31 in expectation. According to an analysis of the relation between variables of knowledge of and variables of expectation over implants, the correlation coefficient (r) between the two factors was 0.362, indicating a positive relevancy(+)(p<.01).

Effects of Social Support, Sleep Quality, and Oral Health Impact Profile on Depression among Pregnant Women (일부 임신부의 사회적 지지, 수면의 질 및 구강건강영향지수가 우울수준에 미치는 영향)

  • Han, Se-Young;Han, Yang-Keum
    • Journal of dental hygiene science
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    • v.17 no.2
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    • pp.134-141
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    • 2017
  • This study examined 191 pregnant women before delivery in an obstetrics and gynecology clinic in North Gyeongsang Province from May to September 2016 by using a questionnaire after obtaining informed consent for voluntary participation in the study. The study was performed to investigate the association of depression with sociodemographic characteristics, pregnancy-related characteristics, social support, sleep quality and Oral Health Impact Profile (OHIP) in pregnant women. The prevalence of depression among the pregnant women was 25.1% in the healthy group and 74.9% in the depression group. The depression level was significantly higher in women in the depression group who were unsatisfied with their marriage life, had no occupation, had lower social support, had poor sleep quality and had higher OHIP scores. The results of the logistic regression analysis indicated that, the risk ratio for more severe depression was significantly higher in the group with no experience of miscarriage and induced childbirth than in the group with childbirth experience. Conversely, the risk ratio for more severe depression was significantly lower in the group with high social support than in the group with low social support. Depression in the respondents significantly positively correlated with sleep quality and OHIP score but significantly negatively correlated with social support. The multiple regression analysis revealed that the depression level was significantly higher by 22.3% among pregnant women with lower marital satisfaction, no childbirth experience, lower social support and higher OHIP scores. In summary, depression was related to marital satisfaction, childbirth experience, social support, and OHIP score, among others, in pregnant women in this study. Therefore, further investigation is warranted to construct programs and measures that will help build positive thinking by designing and verifying a three-dimensional study model by taking into consideration various variables to reduce the incidence of depression in pregnant women.

Influence of Dental Hygienists' Core Competencies on Job Performance (치과위생사의 핵심역량이 직무성과에 미치는 영향)

  • Park, Jung Hyun;Lee, Yu Hee
    • Journal of dental hygiene science
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    • v.17 no.2
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    • pp.142-149
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    • 2017
  • This study targeted 123 dental hygienists working at the university and dental hospital as well as the dental clinic in Busan. The study ran for 5 months beginning July 23, 2016. The purpose of the study was to understand the relationship between core competencies and job performance for dental hygienists. The major core competencies of dental hygienists were interpersonal relation competency (3.61) was the highest, followed by management and educational competency (3.59), organizational relation competency (3.57), and basic dental hygiene management competency (3.56). Regarding the subjects' job performance, 'the task requested by a boss could be finished by the deadline' (3.93) was the highest, followed by 'there has been no case where others were harmed owing to carelessness' (3.76). 'The performance exceeding the targets set by the boss' (3.11) was relatively low. The group working for dental hospitals showed higher job performance than the group working for dental clinics (p=0.009) while there were high correlations between core competencies and job performance (p=0.733). Also, analysis for understanding relevant variables of core competencies that affected job performance revealed that the interpersonal relation competency (p=0.25), self-control competency (p=0.32), and basic dental hygiene competency (p=0.15) were significant. In summary, reinforcement of the dental hygienists' core competencies has a positive effect on job performance. Improved job performance in turn should improve patient care as well as the performance of the healthcare organization overall which will be eventually helpful to the provision of high-quality medical service to patients, and helpful for the hospital organization Helpful in making their performance better. Therefore, it would be necessary to establish administrative/educational support to facilitate dental hygiene education to develop major competencies and vocational basic abilities, as well as reinforce diverse competency educational programs for the current dental hygienists.

Rethinking University Dining Services: Role of Value in the Formation of Customer Satisfaction and Revisit Intention (대학 푸드 서비스의 재고찰: 고객만족도와 재방문의도 형성에서 가치의 역할)

  • Ham, Seon-Ok
    • Journal of the East Asian Society of Dietary Life
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    • v.22 no.1
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    • pp.133-146
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    • 2012
  • University dining services have received less attention than commercial food services or other institutional food services. Marketing practitioners and researchers recognize the major impact that perceived value has on consumer behavior. The mediating role of value has not been verified in relation to satisfaction in university dining establishments, including Korea. This study intends to investigate the relationships among value, satisfaction and revisit intention of university dining attributes. This study also examines whether university dining service attributes dimensions influence value. Further, this study verifies the role of value as a mediator in the formation of customer satisfaction and revisit intention. Structural Equation Modeling has been applied to the collected data from students of three universities in Korea. The study resulted in that university dining attributes, such as food, menu and convenience, positively affected value of the university dining services. Further analysis with examination of indirect effects confirmed the positive impact of value on satisfaction in university dining services. This study verified the mediating role of value on satisfaction as student's satisfaction is enhanced through the elevation of value of university food services. Enhanced satisfaction via value also led to improvement in revisit intention. This study contributes to the academia by verifying the mediating role of value in the formation of customer satisfaction in a university dining context. This study also offers practical implications to the industry, such as suggestions on developing strategies for value-added products and services to the university dining establishments. This value research for university dining services is also meaningful by triggering future research on market segmentation, product differentiation and positioning policies. In the long run, improving value and satisfaction with university dining services need to be realized to enhance overall college experiences and other competitive advantages, such as student recruitment and enrollment, student academic evaluations, and university reputation.