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Understanding Stock Price Movement on the COVID-19 Period Using Dynamic Time Warping Algorithm
Gunhee Lee,Jongwook Song 한국APEC학회 2021 Journal of APEC Studies Vol.13 No.1
Unlike the impact of MERS or SARS, the COVID-19 has had a huge impact on both social and economic environments. This study investigated the COVID-19 economic impact using the S&P 500 index by applying the DTW (Dynamic Time Warping) algorithm, an artificial intelligence technique. The DTW algorithm is designed for the identification of events the capital market impact resembles in the past. It is shown that the impact of the capital market on COVID-19 showed a completely different pattern from the patterns seen in MERS and SARS. Also, the results showed patterns similar to those of the 2015 China’s Stock Market Crash, the 2019 U.S.-China Trade Dispute, the 2008 Global Financial Crisis, which are specifically referred to as financial crises. However, it was unexpectedly similar to the shock of the U.S.-North Korea Conflict and the 2001 9·11 Terror. They were treated as political and diplomatic crises. These events are closely related to APEC countries, meaning that APEC countries’ economic and political activities are essential in the global economic crisis. The results imply that the policies implemented by APEC countries to overcome the economic crises are important to resolve the global economic crisis from COVID-19.
Development of Matching Priors for P(X < Y) in Exprnential dlstributions
Lee, Gunhee The Korean Statistical Society 1998 Journal of the Korean Statistical Society Vol.27 No.4
In this paper, matching priors for P(X < Y) are investigated when both distributions are exponential distributions. Two recent approaches for finding noninformative priors are introduced. The first one is the verger and Bernardo's forward and backward reference priors that maximizes the expected Kullback-Liebler Divergence between posterior and prior density. The second one is the matching prior identified by matching the one sided posterior credible interval with the frequentist's desired confidence level. The general forms of the second- order matching prior are presented so that the one sided posterior credible intervals agree with the frequentist's desired confidence levels up to O(n$^{-1}$ ). The frequentist coverage probabilities of confidence sets based on several noninformative priors are compared for small sample sizes via the Monte-Carlo simulation.
Higher Moments in Postmodern Portfolio Asset Allocation
Gunhee Lee(이군희),Ian Sutherland(이안 서더렌드),Woohyung Lee(이우형) 대한산업공학회 2017 대한산업공학회 춘계학술대회논문집 Vol.2017 No.4
While modern portfolio theory (MPT) uses standard deviation as the measure of risk, Post-Modern Portfolio Theory (PMPT) develops the idea of risk further to only include that of downside-risk. Intuitively this makes sense, because investors are more worried about negative returns, and therefore, the deviation in negative returns is more important to investors. Since returns have been shown historically to not follow the normal distribution, with fatter tails and higher downside risk, the extension of the meanvariance model to incorporate mixed higher moments (i.e. coskewness and cokurtosis) in the allocation of assets has allowed investors to investigate downside risk of assets, particularly for assets that have a larger departure from normality. To evaluate negative risk, mixed higher moments (i.e. coskewness and cokurtosis) are used to optimize asset allocation. The optimization of asset allocation using higher moments is a complex problem which can be solved fairly easily through optimization software or algorithms. We use Quadratic Programming (QP) through R Optimization Infrastructure (ROI) to solve for the quadratic optimization of incorporating four moments into a asset allocation for a portfolio. Adding to the evidence of other studies, our results show that the optimization using higher moments results in drastically different weights for assets, particularly in a manner that minimizes risk. We compare the results between several optimization methods using lower and higher moments.
Lee, Hohyoung,Lee, Jeongbeom,Park, Gijung,Han, Yunseok,Lee, Youngwook,Cho, Gunhee,Kim, Hanam,Chang, Hongyoung,Min, Kyoungwook American Institute of Physics 2015 Review of scientific instruments Vol.86 No.8
<P>A high-speed impedance measurement system was developed, which enables the measurement of various characteristics of CW and pulsed plasmas with time resolution of less than a microsecond. For this system, a voltage and current sensor is implemented in a printed circuit board to sense the radio frequency signals. A digital board, which has a high-speed analog to digital converter and a field-programmable gate-array, is used to calculate the impedance of the signal. The final output of impedance is measured and stored with a maximum speed of 3 Msps. This sensor system was tested in a pulsed-plasma by applying it to the point between the matching box and the plasma chamber. The experimental equipment was constructed connecting the matching box, a 13.56 MHz generator, a 2 MHz generator that produced pulsed power, and a pulse-signal generator. From the temporal behavior of the measured impedance, we were able to determine the time intervals of transient states, especially of the initial active state. This information can be used to set the pulse frequency and duty for plasma processing.</P>
Higher Moments in Postmodern Portfolio Asset Allocation
Gunhee Lee(이군희),Ian Sutherland(이안 서더렌드),Woohyung Lee(이우형) 한국경영과학회 2017 한국경영과학회 학술대회논문집 Vol.2017 No.4
While modern portfolio theory (MPT) uses standard deviation as the measure of risk, Post-Modern Portfolio Theory (PMPT) develops the idea of risk further to only include that of downside-risk. Intuitively this makes sense, because investors are more worried about negative returns, and therefore, the deviation in negative returns is more important to investors. Since returns have been shown historically to not follow the normal distribution, with fatter tails and higher downside risk, the extension of the meanvariance model to incorporate mixed higher moments (i.e. coskewness and cokurtosis) in the allocation of assets has allowed investors to investigate downside risk of assets, particularly for assets that have a larger departure from normality. To evaluate negative risk, mixed higher moments (i.e. coskewness and cokurtosis) are used to optimize asset allocation. The optimization of asset allocation using higher moments is a complex problem which can be solved fairly easily through optimization software or algorithms. We use Quadratic Programming (QP) through R Optimization Infrastructure (ROI) to solve for the quadratic optimization of incorporating four moments into a asset allocation for a portfolio. Adding to the evidence of other studies, our results show that the optimization using higher moments results in drastically different weights for assets, particularly in a manner that minimizes risk. We compare the results between several optimization methods using lower and higher moments.
Lee Minho,Lee Gunhee,Kang Hee Gyung,서진순 한국유전학회 2021 Genes & Genomics Vol.43 No.9
Background Immunoglobulin A nephropathy (IgAN) is one of the most common primary forms of glomerulonephritis, while IgA vasculitis (IgAV) is the most common systemic vasculitis in children. Objective Herein we aimed to uncover single nucleotide polymorphism (SNP) markers associated with these two related diseases by applying association tests and Sanger sequencing. Methods Within the discovery stage, genomic DNA in blood samples from 101 enrolled patients were genotyped by the Korean Biobank Array. Association tests were performed with 397 Korean reference genomes. In the validation stage, 26 independent samples were genotyped by Sanger sequencing. Results Four SNPs were identifed (P<5× 10–8) in the discovery stage. To determine whether the genotypes determined by SNP array were accurate, additional genotyping via Sanger sequencing was performed. As a result, only one SNP, rs9428555, was properly genotyped. In the validation stage, the minor allele (A>G) was found in as many as 15 out of 26 samples (minor allele frequency=0.288), even though this minor allele is rare in East Asians (<3%). Conclusions We found rs9428555 as a novel susceptible locus associated with the development of both IgAN and IgAV in Koreans. Though we cannot conclude rs9428555 is the unique susceptible locus of IgAN and IgAV, it is likely a good marker as the minor allele of this SNP occurred much more often in the patient group here versus within East Asians as a whole.