• Science of Emotion and Sensibility
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• v.1 no.1
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• pp.93-103
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• 1998

In this paper, we present change of human sensiblity when the 26 healthy female subjects were exposed with visual picture stimulus. We used Intermational Affective Picture System as the visual stimulus. The methods are AutoRegressive(AR) spectrum which is a linear method and Return Map which is a nonlinear mithod. SR spectrum may variability(HRV). The LF/HF of HRV and the variation of Return Map were analyzed from ECG signal of the female subjects. Return Map of RR intervals were analyzed by computiong the variation. When the subjets were stimulated by the pleasant pictures, LF/HF and variation were decreased compared with unpleasant stimulus, We may obtain good parameters for the measurement of the change of human sensibility for the visual picture stimulus.

• Journal of Korean Institute of Industrial Engineers
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• v.39 no.6
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• pp.535-545
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• 2013

The goal of stock investment is earning high rate or return with stability. To accomplish this goal, using a portfolio that distributes stocks with high rate of return with less variability and a stock price prediction model with high accuracy is required. In this paper, three methods are suggested to require these conditions. First of all, in portfolio re-balance part, Max-Return and Min-Risk (MRMR) model is suggested to earn the largest rate of return with stability. Secondly, Entering/Leaving Rule (E/L) is suggested to upgrade portfolio when particular stock's rate of return is low. Finally, to use outstanding stock price prediction model, a model based on Semi-Supervised Learning (SSL) which was suggested in last research was applied. The suggested methods were validated and applied on stocks which are listed in KOSPI200 from January 2007 to August 2008.

• Management & Information Systems Review
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• v.26
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• pp.1-26
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• 2008

Since Capital Asset Pricing Model(CAPM) was proposed in the early 1960s by William Sharpe(1964) and John Lintner(1965) researchers have investigated the validity of the model. The results of empirical researches do not show that expected returns of stocks seem to be determined solely by systematic risk of the stocks as precicted by CAPM. In this paper the relationship between transaction volume and expected returns of stocks was investigated. Empirical cross-sectional analysis about the data collected from Stock Market of Korea Exchange shows transaction volume and variability of stock returns play an important role in pricing assets. The well-known variables which were used traditionally to explain the differences of expected returns among stocks such as the size and beta of a stock seems to be unimportant in pricing assets.

• Korean Management Science Review
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• v.31 no.3
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• pp.1-12
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• 2014

This study suggests the two types DEA models such as DEA CCR model and Super Efficiency model to evaluate the value of a company and to apply them for the investments. 14 kinds of real data of companies such as EV/EBITDA, EPS growth rate, PCR, PER, dividend yield, PBR, stock price/net current asset, debt ratio, current ratio, ROE, operating margin, inventory turnover, accounts receivable turnover, and sales growth ratio were used as input variables of DEA models. 12 year data from December 30, 2000 up to December 30, 2012 were collected, and the data with negative, missing and 0 values were removed reflecting the characteristics of the DEA. In order to verify the effectiveness of the models, we compared the historical variability and rate of return of both models those of the market. Study results are as follows. First, two DEA models are more stable than market in terms of rate of return because the historical variability of both models are less than that of market. Second, Super Efficiency model is more stable than CCR model. Lastly, the cumulative rate of return of Super Efficiency model (434%) is greater than that of the CCR model (420%) and that of the market (269%).

• Atmosphere
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• v.33 no.1
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• pp.1-20
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• 2023

Holding the longest observation data from April 1904, Busan is one of the essential points to understand the climate variability of the Korean Peninsula without missing data since implementing the modern weather observation of the South Korea. Busan is featured by coastal areas and affected by various climate factors and fluctuations. This study aims to investigate climate variability and changes in climatic variables, extremes, and several weather indexes. The statistically significant change points in daily mean rainfall intensity and temperature were found in 1964 and 1965. Based on the change point detection, 117 years were divided into two periods for daily mean rainfall intensity and temperature, respectively. In the long-term temperature analysis of Busan, the increasing trend of the daily maximum temperature during the period of 1965~2021 was larger than the daily mean temperature and the daily minimum temperature. Applying Ensemble Empirical Mode Decomposition, daily maximum temperature is largely affected by the decadal variability compared to the daily mean and minimum temperature. In addition, the trend of daily precipitation intensity from 1964~2021 shows a value of about 0.50 mm day^-1, suggesting that the rainfall intensity has increased compared to the preceding period. The results in extremes analysis demonstrate that return values of both extreme temperatures and precipitation show higher values in the latter than in the former period, indicating that the intensity of the current extreme phenomenon increases. For Wet-Bulb Globe Temperature (effective humidity), increasing (decreasing) trend is significant in Busan with the second (third)-largest change among four stations.

• Journal of Korean Society of Disaster and Security
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• v.15 no.2
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• pp.45-56
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• 2022

The countermeasure for the shortage of water during dry season and drought period has not been considered with return flowrate in detail. In this study, the outflow of STP was predicted through a data-based machine learning model, LSTM. As the first step, outflow, inflow, precipitation and water elevation were utilized as input data, and the distribution of variance was additionally considered to improve the accuracy of the prediction. When considering the variability of the outflow data, the residual between the observed value and the distribution was assumed to be in the form of a complex trigonometric function and presented in the form of the optimal distribution of the outflow along with the theoretical probability distribution. It was apparently found that the degree of error was reduced when compared to the case not considering where the variance distribution. Therefore, it is expected that the outflow prediction model constructed in this study can be used as basic data for establishing an efficient river management system as more accurate prediction is possible.

• Communications for Statistical Applications and Methods
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• v.15 no.6
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• pp.925-937
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• 2008

In this study, we considered the clustering analysis for stock return traded in the stock market. Most of financial time-series data, for instance, stock price and exchange rate have conditional heterogeneous variability depending on time, and, hence, are not properly applied to the autoregressive moving-average(ARMA) model with assumption of constant variance. Moreover, the variability is font and center for stock investors as well as academic researchers. So, this paper focuses on the generalized autoregressive conditional heteroscedastic(GARCH) model which is known as a solution for capturing the conditional variance(or volatility). We define the metrics for similarity of unconditional volatility and for homogeneity of model structure, and, then, evaluate the performances of the metrics. In real application, we do clustering analysis in terms of volatility and structure with stock return of the 11 Korean companies measured for the latest three years.

• Asia-Pacific Journal of Business
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• v.13 no.1
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• pp.247-262
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• 2022

Purpose - The purpose of this study is to examine the impact of the Pandamic Declaration on 'untact firms' listed in KOSPI and KOSDAQ market in order to verify Investor Mania Hypothesis. Design/methodology/approach - This study collected financial data for 44 untact firms in KOSPI and KOSDAQ market. Then, we employed ESM(Event Study Methodology), EGARCH model and DID(Difference-In-Difference) for analysis. Findings - First, in contrast with the benchmarking index, KOSPI 200 which shows a negative (-) abnormal return trend, the untact firms have positive abnormal return trend consistently. Second, after the Pandemic Declaration, the variability of abnormal return for the untact firms is found to be significantly positive. Third, we find that the cumulative abnormal return and volatility of the untact firms significantly increase after the Pandemic Declaration. Research implications or Originality - Based on the Investor Mania Hypothesis, we confirm that the market potential of untact firms after the Pandemic Declaration is observed when compared with the KOSPI 200.

• Atmosphere
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• v.32 no.1
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• pp.1-15
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• 2022

Recently, Japan's Meteorological Research Institute presented the d4PDF database (Database for Policy Decision-Making for Future Climate Change, d4PDF) through large-scale climate ensemble simulations to overcome uncertainty arising from variability when the general circulation model represents extreme-scale precipitation. In this study, the change of precipitation characteristics between the historical and future climate conditions in the Yongdam-dam basin was analyzed using the d4PDF data. The result shows that annual mean precipitation and seasonal mean precipitation increased by more than 10% in future climate conditions. This study also performed an analysis on the change of the return period rainfall. The annual maximum daily rainfall was extracted for each climatic condition, and the rainfall with each return period was estimated. In this process, we represent the extreme-scale rainfall corresponding to a very long return period without any statistical model and method as the d4PDF provides rainfall data during 3,000 years for historical climate conditions and during 5,400 years for future climate conditions. The rainfall with a 50-year return period under future climate conditions exceeded the rainfall with a 100-year return period under historical climate conditions. Consequently, in future climate conditions, the magnitude of rainfall increased at the same return period and, the return period decreased at the same magnitude of rainfall. In this study, by using the d4PDF data, it was possible to analyze the change in extreme magnitude of rainfall.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.26 no.2
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• pp.72-80
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• 2014

The approximately highest high water(AHHW), which has been used frequently as a basis of the design sea level, has not only ambiguous return period but also spatio-temporal problems induced by sea level rise and the spatial variability of tidal characteristics. The ratios of 4 major constituents with other constituents were investigated. In addition, tidal data were analyzed by probability density function. The temporal variability may be cured by using the latest tidal data. And the AHHW at summer was examined to lessen the spatial variability. The results show that the design sea levels need to increase by 10 cm or more at the Southern Coast and by 15~25 cm at the East Coast.