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Hypoxemia In Liver Cirrhosis And Intrapulmonary Shunt Determination Using Tc-99m-MAA Whole Body Scan (간경화 환자에서의 저산소혈증과 Tc-99m-MAA 주사를 이용한 폐내단락 측정)

  • Lee, Kye-Young;Kim, Young-Whan;Han, Sung-Koo;Shim, Young-Soo;Kim, Keun-Youl;Han, Yong-Chol
    • Tuberculosis and Respiratory Diseases
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    • v.41 no.5
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    • pp.504-512
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    • 1994
  • Background: It is well known that severe hypoxemia is often associated with liver cirrhosis without preexisting cardiac or pulmonary diseases. Pulmonary vascular impairments, more specifically, intrapulmonary shunting have been considered as a major mechanism. Intrapulmonary shunting arises from pulmonary vascular dilatation at the precapillary level or direct arteriovenous communication and has relationship with the characteristic skin findings of spider angioma. However, these results are mainly from Western countries where alcoholic and primary biliary cirrhosis are dominant cuases of cirrhosis. It is uncertain that the same is true in viral hepatitiss associated liver cirrhosis, which is dominant causes of liver cirrhosis in Korea. We investigated the incidences of hypoxemia and orthodeoxia in Korean cirrhotic patients dominantly composed of postnecrotic cirrhosis and the significance of intrapulmonary shunting as the suggested mechanism of hypoxemia, Method: We performed the arterial blood gas analysis separately both at the supine and errect position in 48 stable cirrhotic patients without the evidences of severe complications such as ascites, variceal bleeding, and hepatic coma. According to the results of arterial blood gas analysis, all patients were divided into hypoxemic and normoxemic group. In each group, pulmonary function test and Tc-99m-MAA whole body scan were performed. The shunting fraction was calculated based on the fact that the sum of cerebral and bilateral renal blood flow is 32% of the systemic blood flow. Results: The hypoxemia of $PaO_2$ less than 80 mmHg was observed in 9 patients(18.8%) and Orthodeoxia more than 10 mmHg was observed in 8 patients(16.7%). But there was no patient with significant hypoxemia of $PaO_2$ less than 60 mmHg. $PaO_2$ was significantly decreased in the patients with spider angioma than the pathients without spider angioma and showed no correlation with the serologic type and severities of liver function test findings. Any parameters of pulmonary function test did not demonstrate the difference between normoxemic and hypoxemic group. But hypoxemic group showed significantly increased shunt fraction of $11.4{\pm}4.1%$ than normoxemic group of $4.1{\pm}2.0%$ (p<0.05). Conclusions: Hypoxemia is not infrequently observed complication in liver cirrhosis and intrapulmonary shunting is suggested to p1ay a major ro1e in the development of hypxemia. But there was no great likelihood of clinically significant hypoxemia in our domestic cirrhotic patients predominantly composed of postnecrotic type.

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The Patterns of CH4 and N2O fluxes from used Litter Stockpile from Korean Native Cattle (Hanwoo) (사용한 한우 깔짚에서 배출되는 CH4 및 N2O의 배출 특성)

  • Park, Kyu-Hyun;Choi, Dong-Yoon;Yoo, Yong-Hee
    • Journal of Animal Environmental Science
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    • v.18 no.3
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    • pp.145-150
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    • 2012
  • This study was conducted to measure methane ($CH_4$) and nitrous oxide ($N_2O$) emissions from the 6 month old litter stockpile used for korean native cattle (Hanwoo) from August 3, 2007 to October 4, 2007. Daily mean $CH_4$ emissions was peaked to 273.013 ${\mu}g\;m^{-2}\;s^{-1}$ (SE : ${\pm}1.047{\mu}g\;m^{-2}\;s^{-1}$) on first day and then gradually decreased to 2.309 ${\mu}g\;m^{-2}\;s^{-1}$ (SE : ${\pm}0.061{\mu}g\;m^{-2}\;s^{-1}$) at the end of this experiment. Daily mean $N_2O$ emissions was as little as 0.269 ${\mu}g\;m^{-2}\;s^{-1}$ (SE : ${\pm}0.018{\mu}g\;m^{-2}\;s^{-1}$) on first day, but exponentially increased up to 3.569 ${\mu}g\;m^{-2}\;s^{-1}$ (SE : ${\pm}0.454{\mu}g\;m^{-2}\;s^{-1}$) on 43rd day and then slowly decreased to 1.888 ${\mu}g\;m^{-2}\;s^{-1}$ (SE : ${\pm}0.012{\mu}g\;m^{-2}\;s^{-1}$) at the end of this experiment. Carbon dioxide equivalent ($CO_2$-eq), calculated by global warming potentials of $CH_4$ or $N_2O$, of $CH_4$ on first day occupied approximately 99% of sum of $CO_2$-eq of $CH_4$ and $N_2O$. Methane emissions decreased and $N_2O$ emissions increased so that $CO_2$-eq ratio of $CH_4$ to $N_2O$ was 50:50 on 34th day. The effect of $N_2O$ on the ratio was increase thereafter. The ratio of daily mean $CH_4$ and $N_2O$ emissions to daily error of the mean was calculated to find daily fluctuation of $CH_4$ and $N_2O$ emissions. The ratio of $CH_4$ was less than 1.0% till 11th day but increased to 10.9% on 57th day. The ratio of $N_2O$ (0.4%~51.0%) was higher than that of $CH_4$, showing high in early stage and then gradually decrease, which was different from the pattern of $CH_4$. The ratio of daily mean emissions to daily error of the mean was little in case of active $CH_4$ or $N_2O$ generation period, which would be caused by the temporal and spatial heterogeneity of composting process. Hence more air supply on early stage to decrease $CH_4$ generation and proper turning to reduce spatial heterogeneity are needed to mitigate greenhouse gas emissions.

On the vibration influence to the running power plant facilities when the foundation excavated of the cautious blasting works. (노천굴착에서 발파진동의 크기를 감량 시키기 위한 정밀파실험식)

  • Huh Ginn
    • Explosives and Blasting
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    • v.9 no.1
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    • pp.3-13
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    • 1991
  • The cautious blasting works had been used with emulsion explosion electric M/S delay caps. Drill depth was from 3m to 6m with Crawler Drill ${\phi}70mm$ on the calcalious sand stone (soft -modelate -semi hard Rock). The total numbers of test blast were 88. Scale distance were induced 15.52-60.32. It was applied to propagation Law in blasting vibration as follows. Propagtion Law in Blasting Vibration $V=K(\frac{D}{W^b})^n$ were V : Peak partical velocity(cm/sec) D : Distance between explosion and recording sites(m) W : Maximum charge per delay-period of eight milliseconds or more (kg) K : Ground transmission constant, empirically determind on the Rocks, Explosive and drilling pattern ets. b : Charge exponents n : Reduced exponents where the quantity $\frac{D}{W^b}$ is known as the scale distance. Above equation is worked by the U.S Bureau of Mines to determine peak particle velocity. The propagation Law can be catagorized in three groups. Cubic root Scaling charge per delay Square root Scaling of charge per delay Site-specific Scaling of charge Per delay Plots of peak particle velocity versus distoance were made on log-log coordinates. The data are grouped by test and P.P.V. The linear grouping of the data permits their representation by an equation of the form ; $V=K(\frac{D}{W^{\frac{1}{3}})^{-n}$ The value of K(41 or 124) and n(1.41 or 1.66) were determined for each set of data by the method of least squores. Statistical tests showed that a common slope, n, could be used for all data of a given components. Charge and reduction exponents carried out by multiple regressional analysis. It's divided into under loom over loom distance because the frequency is verified by the distance from blast site. Empirical equation of cautious blasting vibration is as follows. Over 30m ------- under l00m ${\cdots\cdots\cdots}{\;}41(D/sqrt[2]{W})^{-1.41}{\;}{\cdots\cdots\cdots\cdots\cdots}{\;}A$ Over 100m ${\cdots\cdots\cdots\cdots\cdots}{\;}121(D/sqrt[3]{W})^{-1.66}{\;}{\cdots\cdots\cdots\cdots\cdots}{\;}B$ where ; V is peak particle velocity In cm / sec D is distance in m and W, maximLlm charge weight per day in kg K value on the above equation has to be more specified for further understaring about the effect of explosives, Rock strength. And Drilling pattern on the vibration levels, it is necessary to carry out more tests.

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Studies on the Early Growth of Rockfish, Sebastes schlegeli (조피볼락, Sebastes schlegeli의 초기성장에 관한 연구)

  • Hyun Choung-Hun;Rho Sum
    • Journal of Aquaculture
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    • v.9 no.1
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    • pp.25-42
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    • 1996
  • The study has been conducted to know an appropriate feeding strategy and effects of the rearing density on larval growth of the rockfish, Sebastes schlegeli. The results obtained are as fellowed ; 1. Thirty-day-old larvae reached at $25.25{\pm}3.76$ mm in total length and $0.23{\pm}0.07$ g in body weight in experiment A, at which rotifer was provided from the beginning to the end of 30-day experiment, Anemia from 3th to 18th day, and artificial feed from 13th to 30th day after hatching. When rotifer was provided for 30 days, Artemia from 6th to 18th day, and artificial feed from 18th to 30th day after hatching (experiment B), these larvae grew up to $27.52{\pm}2.50$ mm in total length and $0.26{\pm}0.06$ g in body weight. On the other hand, when rotifer and artificial feed were supplied with the same time schedule as shown in experiment B, and Artemia was feed from 6th to 30th day after hatching (experiment C), the total length and body weight of those larvae were $23.22{\pm}3.44$ mm and $0.15{\pm}0.05$ g, respectively. The best result for larval growth was obtained from experiment B. The survival rates estimated were $57.6\%$ in experiment A, $66.4\%$ in experiment B, and $44.4\%$ in experiment C. 2. The growth in total length of the larvae according to their rearing days could be represented by the following equations : Experiment A : Y=4.350+0.116X+$1.887X^2$ (r=0.993) Experiment B : Y=4.500+8.931X+$2.221X^2$ (r=0.994) Experiment C : Y=4.478+5.734X+$1.881X^2$(r=0.990) The average number of Artemia nauplius intaken by the larvae was rapidly increased between 15th and 20th day afer hatching, and 9, 212, 242, 750, and 1,171 nauplius were found in the different sizes of larvae, whose total length were 5.65, 6.81, 9.45, 14.96, and 24.52 mm, respectively. 3. Larval growth in total length and body weight reared at four different densites (A: 1.8 $kg/m^3$, B; 4.0 $kg/m^3$, C; 5.0 $kg/m^3$, D; 6.2 $kg/m^3$) indicated that the best growth was found in experiment A, at which the larval were reared at the lower density and the final survival rates extimated were $92.9\%$ in exp. A, $99.5\%$ in exp. C, $89.0\%$ in exp. B, and $88.2\%$ in exp. D. The amount of production per cubic meter turned out to be 30.45 kg in exp. D, 25.89 kg in exp. C, 20.75 kg in exp. B and 10.48 kg in exp. A. therefore, considering both larval growth and survival rate, higher yields seemed to be attainable at the relatively high-rearing density.

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Nutritional Status and Health Risks of Low Income Elderly Women in Gwangju Area (광주지역 저소득층 여자노인의 영양상태와 건강위험요인에 관한 연구)

  • Yang, Eun-Ju;Bang, Hee-Myung
    • Journal of Nutrition and Health
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    • v.41 no.1
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    • pp.65-76
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    • 2008
  • This study was performed to identify association between nutritional status and health risks of the elderly. This was a cross-sectional study involving low income elderly women in Gwangju, Korea (${\geq}$65y, n = 92). Socio-demographics, life style characteristics, health conditions, dietary intakes based on 24h-recall method, anthropometric measures, and clinical biochemistry parameters were examined. Anthropometric and clinical parameters included wt, ht, waist, hip, body protein, body fat, abdominal fat, total cholesterol, HDL-cholesterol, triglyceride, total protein, albumin, hemoglobin, hematocrit, fasting blood glucose, ferritin, IL-2, IL-6, TNF-${\alpha}$, CRP, TAS, TBARS, systolic blood pressure, and diastolic blood pressure. The subjects were divided into three groups based on age (65-74y, 75-84y, 85y${\leq}$) and were divided into two groups according to the sum of the Nutrition Screening Initiative (NSI) checklist score (adequate nutritional status, NSI score ${\leq}$3; at risk of malnutrition, NSI score >3). Mean and frequency of variables were estimated. Analysis of Variance, Tukey test, Chi-square test, and Multiple linear regression analyses were performed. Mean BMI and body fat were 25.1 $kg/m^2$ and 40.0%, respectively. However, for over 80% of subjects, the intakes of energy, fiber, thiamin, riboflavin, niacin, folate, Ca, K, and Zn were less than the Korean DRI (EAR or AI). The subjects who had lower NSI score tended to have better health status, eat meals frequently, have less depression, and exercise regularly. The subjects who had higher NSI score tended to have tooth problems, to eat alone most of time, and to be physically unable to cook or feed. Serum IL-6 and TNF-${\alpha}$ were significantly related with nutritional status which suggested higher tendency of inflammatory response. Serum IL-2, TAS, and glucose were significantly correlated with body fat (%) or abdominal fat (%). These results suggest that improving the nutritional status, increasing regular exercise, maintaining normal weight are beneficial to health care of low income elderly women.

Research on The Utility of Acquisition of Oblique Views of Bilateral Orbit During the Dacryoscintigraphy (눈물길 조영검사 시 양측 안 와 사위 상 획득의 유용성에 대한 연구)

  • Park, Jwa-Woo;Lee, Bum-Hee;Park, Seung-Hwan;Park, Su-Young;Jung, Chan-Wook;Ryu, Hyung-Gi;Kim, Ho-Shin
    • The Korean Journal of Nuclear Medicine Technology
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    • v.18 no.1
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    • pp.76-81
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    • 2014
  • Purpose: Diversity and the lachrymal duct deformities and the passage inside the nasal cavity except for anterior image such as epiphora happens during the test were able to express more precisely during the dacryoscintigraphy. Also, we thought about the necessity of a method to classify the passage into the naso-lachrymal duct from epiphora. Therefore, we are to find the validity of the method to obtain both oblique views except for anterior views. Materials and Methods: The targets of this research are 78 patients with epiphora due to the blockage at the lachrymal duct from January 2013 to August 2013. Average age was $56.96{\pm}13.36$. By using a micropipette, we dropped 1-2 drops of $^{99m}TcO4^-$ of 3.7 MBq (0.1 mCi) with $10{\mu}L$ of each drop into the inferior conjunctival fold, then we performed dynamic check for 20 minutes with 20 frames of each minute. In case of we checked the passage from both eyes to nasal cavity immediately after the dynamic check, we obtained oblique view immediately. If we didn't see the passage in either side of the orbit, we obtained oblique views of the orbit after checking the frontal film in 40 minutes. The instrument we used was Pin-hole Collimator with Gamma Camera(Siemens Orbiter, Hoffman Estates, IL, USA). Results: Among the 78 patients with dacryoscintigraphy, 35 patients were confirmed with passage into the nasal cavity from the anterior view. Among those 35 patients, 15 patients were confirmed with passage into the nasal cavity on both eyes, and it was able to observe better passage patterns through oblique view with a result of 8 on both eyes, 2 on left eye, and 1 on right eye. 20 patients had passage in left eye or right eye, among those patients 10 patients showed clear passage compared to the anterior view. 13 patients had possible passage, and 30 patients had no proof of motion of the tracer. To sum up, 21 patients (60%) among 35 patients showed clear pattern of passage with additional oblique views compared to anterior view. People responded obtaining oblique views though 5 points scale about the utility of passage identification helps make diagnoses the passage, passage delayed, and blockage of naso-lachrymal duct by showing the well-seen portions from anterior view. Also, when classifying passage to naso-lachrymal duct and flow to the skin, oblique views has higher chance of classification in case of epiphora (anterior:$4.14{\pm}0.3$, oblique:$4.55{\pm}0.4$). Conclusion: It is considered that if you obtain oblique views of the bilateral orbits in addition to anterior view during the dacryoscintigraphy, the ability of diagnose for reading will become higher because you will be able to see the areas that you could not observe from the anterior view so that you can see if it emitted after the naso-lachrymal duct and the flow of epiphora on the skin.

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The Geochemical and Zircon Trace Element Characteristics of A-type Granitoids in Boziguoer, Baicheng County, Xinjiang (중국 신장 위그루자치구 바이청현 보즈구얼의 A형화강암류의 지화학 및 지르콘 미량원소특징에 대한 연구)

  • Yin, Jingwu;Liu, Chunhua;Park, Jung Hyun;Shao, Xingkun;Yang, Haitao;Xu, Haiming;Wang, Jun
    • Economic and Environmental Geology
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    • v.46 no.2
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    • pp.179-198
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    • 2013
  • The Boziguoer A-type granitoids in Baicheng County, Xinjiang, belong to the northern margin of the Tarim platform as well as the neighboring EW-oriented alkaline intrusive rocks. The rocks comprise an aegirine or arfvedsonite quartz alkali feldspar syenite, an aegirine or arfvedsonite alkali feldspar granite, and a biotite alkali feldspar syenite. The major rock-forming minerals are albite, K-feldspar, quartz, arfvedsonite, aegirine, and siderophyllite. The accessory minerals are mainly zircon, pyrochlore, thorite, fluorite, monazite, bastnaesite, xenotime, and astrophyllite. The chemical composition of the alkaline granitoids show that $SiO_2$ varies from 64.55% to 72.29% with a mean value of 67.32%, $Na_2O+K_2O$ is high (9.85~11.87%) with a mean of 11.14%, $K_2O$ is 2.39%~5.47% (mean = 4.73%), the $K_2O/Na_2O$ ratios are 0.31~0.96, $Al_2O_3$ ranges from 12.58% to 15.44%, and total $FeO^T$ is between 2.35% and 5.65%. CaO, MgO, MnO, and $TiO_2$ are low. The REE content is high and the total ${\sum}REE$ is $(263{\sim}1219){\times}10^{-6}$ (mean = $776{\times}10^{-6}$), showing LREE enrichment HREE depletion with strong negative Eu anomalies. In addition, the chondrite-normalized REE patterns of the alkaline granitoids belong to the "seagull" pattern of the right-type. The Zr content is $(113{\sim}1246){\times}10^{-6}$ (mean = $594{\times}10^{-6}$), Zr+Nb+Ce+Y is between $(478{\sim}2203){\times}10^{-6}$ with a mean of $1362{\times}10^{-6}$. Furthermore, the alkaline granitoids have high HFSE (Ga, Nb, Ta, Zr, and Hf) content and low LILE (Ba, K, and Sr) content. The Nb/Ta ratio varies from 7.23 to 32.59 (mean = 16.59) and the Zr/Hf ratio is 16.69~58.04 (mean = 36.80). The zircons are depleted in LREE and enriched in HREE. The chondrite-normalized REE patterns of the zircons are of the "seagull" pattern of the left-inclined type with strong negative Eu anomaly and without a Ce anomaly. The Boziguoer A-type granitoids share similar features with A1-type granites. The average temperature of the granitic magma was estimated at $832{\sim}839^{\circ}C$. The Boziguoer A-type granitoids show crust-mantle mixing and may have formed in an anorogenic intraplate tectonic setting under high-temperature, anhydrous, and low oxygen fugacity conditions.

Scale and Scope Economies and Prospect for the Korea's Banking Industry (우리나라 은행산업(銀行産業)의 효율성분석(效率性分析)과 제도개선방안(制度改善方案))

  • Jwa, Sung-hee
    • KDI Journal of Economic Policy
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    • v.14 no.2
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    • pp.109-153
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    • 1992
  • This paper estimates a translog cost function for the Korea's banking industry and derives various implications on the prospect for the Korean banking structure in the future based on the estimated efficiency indicators for the banking sector. The Korean banking industry is permitted to operate trust business to the full extent and the security business to a limited extent, while it is formally subjected to the strict, specialized banking system. Security underwriting and investment businesses are allowed in a very limited extent only for stocks and bonds of maturity longer than three year and only up to 100 percent of the bank paid-in capital. Until the end of 1991, the ceiling was only up to 25 percent of the total balance of the demand deposits. However, they are prohibited from the security brokerage business. While the in-house integration of security businesses with the traditional business of deposit and commercial lending is restrictively regulated as such, Korean banks can enter the security business by establishing subsidiaries in the industry. This paper, therefore, estimates the efficiency indicators as well as the cost functions, identifying the in-house integrated trust business and security investment business as important banking activities, for various cases where both the production and the intermediation function approaches in modelling the financial intermediaries are separately applied, and the banking businesses of deposit, lending and security investment as one group and the trust businesses as another group are separately and integrally analyzed. The estimation results of the efficiency indicators for various cases are summarized in Table 1 and Table 2. First, security businesses exhibit economies of scale but also economies of scope with traditional banking activities, which implies that in-house integration of the banking and security businesses may not be a nonoptimal banking structure. Therefore, this result further implies that the transformation of Korea's banking system from the current, specialized system to the universal banking system will not impede the improvement of the banking industry's efficiency. Second, the lending businesses turn out to be subjected to diseconomies of scale, while exhibiting unclear evidence for economies of scope. In sum, it implies potential efficiency gain of the continued in-house integration of the lending activity. Third, the continued integration of the trust businesses seems to contribute to improving the efficiency of the banking businesses, since the trust businesses exhibit economies of scope. Fourth, deposit services and fee-based activities, such as foreign exchange and credit card businesses, exhibit economies of scale but constant returns to scope, which implies, the possibility of separating those businesses from other banking and trust activities. The recent trend of the credit card business being operated separately from other banking activities by an independent identity in Korea as well as in the global banking market seems to be consistent with this finding. Then, how can the possibility of separating deposit services from the remaining activities be interpreted? If one insists a strict definition of commercial banking that is confined to deposit and commercial lending activities, separating the deposit service will suggest a resolution or a disappearance of banking, itself. Recently, however, there has been a suggestion that separating banks' deposit and lending activities by allowing a depository institution which specialize in deposit taking and investing deposit fund only in the safest securities such as government securities to administer the deposit activity will alleviate the risk of a bank run. This method, in turn, will help improve the safety of the payment system (Robert E. Litan, What should Banks Do? Washington, D.C., The Brookings Institution, 1987). In this context, the possibility of separating the deposit activity will imply that a new type of depository institution will arise naturally without contradicting the efficiency of the banking businesses, as the size of the banking market grows in the future. Moreover, it is also interesting to see additional evidences confirming this statement that deposit taking and security business are cost complementarity but deposit taking and lending businesses are cost substitute (see Table 2 for cost complementarity relationship in Korea's banking industry). Finally, it has been observed that the Korea's banking industry is lacking in the characteristics of natural monopoly. Therefore, it may not be optimal to encourage the merger and acquisition in the banking industry only for the purpose of improving the efficiency.

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A Study on Developing a VKOSPI Forecasting Model via GARCH Class Models for Intelligent Volatility Trading Systems (지능형 변동성트레이딩시스템개발을 위한 GARCH 모형을 통한 VKOSPI 예측모형 개발에 관한 연구)

  • Kim, Sun-Woong
    • Journal of Intelligence and Information Systems
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    • v.16 no.2
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    • pp.19-32
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    • 2010
  • Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.

Machine learning-based corporate default risk prediction model verification and policy recommendation: Focusing on improvement through stacking ensemble model (머신러닝 기반 기업부도위험 예측모델 검증 및 정책적 제언: 스태킹 앙상블 모델을 통한 개선을 중심으로)

  • Eom, Haneul;Kim, Jaeseong;Choi, Sangok
    • Journal of Intelligence and Information Systems
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    • v.26 no.2
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    • pp.105-129
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    • 2020
  • This study uses corporate data from 2012 to 2018 when K-IFRS was applied in earnest to predict default risks. The data used in the analysis totaled 10,545 rows, consisting of 160 columns including 38 in the statement of financial position, 26 in the statement of comprehensive income, 11 in the statement of cash flows, and 76 in the index of financial ratios. Unlike most previous prior studies used the default event as the basis for learning about default risk, this study calculated default risk using the market capitalization and stock price volatility of each company based on the Merton model. Through this, it was able to solve the problem of data imbalance due to the scarcity of default events, which had been pointed out as the limitation of the existing methodology, and the problem of reflecting the difference in default risk that exists within ordinary companies. Because learning was conducted only by using corporate information available to unlisted companies, default risks of unlisted companies without stock price information can be appropriately derived. Through this, it can provide stable default risk assessment services to unlisted companies that are difficult to determine proper default risk with traditional credit rating models such as small and medium-sized companies and startups. Although there has been an active study of predicting corporate default risks using machine learning recently, model bias issues exist because most studies are making predictions based on a single model. Stable and reliable valuation methodology is required for the calculation of default risk, given that the entity's default risk information is very widely utilized in the market and the sensitivity to the difference in default risk is high. Also, Strict standards are also required for methods of calculation. The credit rating method stipulated by the Financial Services Commission in the Financial Investment Regulations calls for the preparation of evaluation methods, including verification of the adequacy of evaluation methods, in consideration of past statistical data and experiences on credit ratings and changes in future market conditions. This study allowed the reduction of individual models' bias by utilizing stacking ensemble techniques that synthesize various machine learning models. This allows us to capture complex nonlinear relationships between default risk and various corporate information and maximize the advantages of machine learning-based default risk prediction models that take less time to calculate. To calculate forecasts by sub model to be used as input data for the Stacking Ensemble model, training data were divided into seven pieces, and sub-models were trained in a divided set to produce forecasts. To compare the predictive power of the Stacking Ensemble model, Random Forest, MLP, and CNN models were trained with full training data, then the predictive power of each model was verified on the test set. The analysis showed that the Stacking Ensemble model exceeded the predictive power of the Random Forest model, which had the best performance on a single model. Next, to check for statistically significant differences between the Stacking Ensemble model and the forecasts for each individual model, the Pair between the Stacking Ensemble model and each individual model was constructed. Because the results of the Shapiro-wilk normality test also showed that all Pair did not follow normality, Using the nonparametric method wilcoxon rank sum test, we checked whether the two model forecasts that make up the Pair showed statistically significant differences. The analysis showed that the forecasts of the Staging Ensemble model showed statistically significant differences from those of the MLP model and CNN model. In addition, this study can provide a methodology that allows existing credit rating agencies to apply machine learning-based bankruptcy risk prediction methodologies, given that traditional credit rating models can also be reflected as sub-models to calculate the final default probability. Also, the Stacking Ensemble techniques proposed in this study can help design to meet the requirements of the Financial Investment Business Regulations through the combination of various sub-models. We hope that this research will be used as a resource to increase practical use by overcoming and improving the limitations of existing machine learning-based models.