이산시간 이자율기간구조모형

박정민 ( Jeong Min Park ),조재호 ( Jae Ho Cho ) 한국금융연구원 2012 금융연구 Vol.26 No.3

The term structure theory of interest rates has long been an important subject in economics and finance as it is widely used for diverse purposes such as valuing bonds and interest rate derivative securities, managing bond portfolios, and making monetary policies. Since Vasicek (1977) and Cox, Ingersoll, and Ross (1985), numerous studies have introduced dynamic term structure models (DTSMs) in various settings. DTSMs developed so far may be classified into continuous vs discrete time models on the one hand, and equilibrium vs arbitrage models on the other. This paper aims at a review of existing equilibrium DTSMs in discrete time in order to discuss some recent issues and to shed light on the direction of future research in this area. Although, since Vasicek (1977) and Cox, Ingersoll, and Ross (1985), continuous time models seem to have been more popular in both theoretical and empirical studies, a variety of discrete time models have also been developed. While continuous time models may be advantageous for obtaining closed-form solutions of bond prices, discrete time models can be more useful for empirical analyses to reflect the fact that bond prices (or interest rates) in reality are observed at discrete time intervals. The difficulty in estimating continuous time models for practical purposes arises from the facts, in particular, that it is necessary to discretize continuous time stochastic processes of latent state variables, and that it may not be possible to obtain analytical transition probability density functions of the discretized stochastic processes. In this paper, we classify discrete time DTSMs into two categories: one is the ``continuous-time model analog`` in which continuous time stochastic processes are Euler-discretized, and the other is the ``exact discrete-time model`` in which state variables follow discrete time exponential affine processes, of which the Car (compound autoregressive) process is typical. The continuous time model analogs result from approximations of stochastic processes of latent state variables via a simple discretization at the same frequency with other observable variables available. While these discretized processes might appear to have the same form as the corresponding continuous time processes, they do not preserve all the properties of their counterparts. For instance, state variables in discretized processes can be negative even if the Feller condition, which guarantees the non-negativity of continuous time state variables, is met. Moreover, the non-negativity may be obtained in discretized processes although the Feller condition is violated. Also, it may not be possible to obtain the closed-form transition probability density functions of state variables. The exact discrete time models are specified and characterized by a special class of discrete time exponential affine processes called Car processes. These processes fulfill the properties of their continuous time counterparts and make it possible to obtain closed-form transition probability density functions. Thus, the exact discrete time models resolve the problems of the continuous time model analogs. We discuss characteristics and limitations of respective models in each category by comparing with those of their continuous-time counterparts in this vein. The paper is organized as follows. Section 2 reviews some basic knowledge on the dynamic term structure theory of interest rates. Section 3 introduces continuous time model analogs, dividing them into uni-variate vs multivariate models and linear vs nonlinear models. Section 4 introduces the properties and representatives of Car processes that constitute exact discrete-time models. Also, this section surveys related studies put forth recently and compares them with continuous time model analogs. Finally, section 5 summarizes and concludes.

웨이트트레이닝이 남자 펜싱선수의 연속동작 수행시간에 미치는 영향

옥정석,최태석,전태원,엄우섭 한국운동과학회 2002 운동과학 Vol.11 No.1

옥정석, 최태석, 전태원, 엄우성. 웨이트트레이닝이 펜싱선수의 연속 동작수행시간에 미치는 영향. 운동과학, 제11권 제1호, 221-231, 2002. 본 연구의 목적은 8주간의 웨이트트레이닝이 펜싱선수의 연속 동작수행시간에 미치는 효과를 분석하기 위함이었다. 이러한 목적을 달성하기 위해 신체적·정신적으로 건강하고 의학적으로 특별한 질환이 없는 남자 대학생 펜싱선수 30명을 무작위 추출하여 실험군과 대조군을 각 15명씩 구성하였다. 근지구력은 웨이트트레이닝 종목별로 20RM에 해당하는 무게를 1㎏ 단위로 측정하였으며, 웨이트트레이닝 프로그램 처치 전·후를 비교하였다. 또한, 펜싱 전진 이동-찌르기 두 가지 기본동작의 연속 동작수행시간, 반응시간, 그리고 동작시간은 자체 제작한 동작수행시간 측정기로 측정하였으며, 전진 이동-찌르기 동작시 웨이트트레이닝 프로그램 처치전후의 연속 동작수행시간, 반응시간, 동작시간을 비교·검토하여 다음과 같은 결과를 얻었다. 첫째, 펜싱선수들의 근지구력과 연속 동작수행시간 사이에 유의한 상관관계가 있었다. 둘째, 8주간의 웨이트트레이닝 참여에 따른 처치전·후 및 집단간의 연속 동작수행시간, 반응시간, 그리고 동작시간은 유의한 차이가 있었다. Oak, J. S., Choi, IS., Jun, T.W., Eom, W.S. The Effect of Weight Training on continuous Response Time in Male Fencing Players. Exercise Science, 11(1): 221-231, 2002. The purpose of this study was to investigate the effect of 8-week weight training on continuous response time. To achieve this purpose subjects were 30 colleges male fencing players who have not medical diseases, were divided into experiment group and control group. The muscle fitness was measured by 1㎏ unit of weight equivalent to 20RM of weight training items respectively, muscle fitness of pre weight training program treatment was compared with those of post weight training program treatment. Also response time of two basic motions of fencing forward movement-fente were measured by a self-produced response time measuring instrument, and continuous response time, reaction time, movement time of pre and post weight training program treatment during fencing forward movement-fente motion were inspected comparatively. The results of this study were as follows. First, muscle endurance and continuous response time of fencing players were correlated in significantly. Two, after 8 weeks weight training program, continuous response times, reaction time, and movement time between experiment group and control group were showed significant difference. As this results, muscle endurance was closely related to continuous response time, weight training program developed on the basis of this had an affirmative effect on continuous response time, reaction time, and movement time of the basic movement of a fencing.

Continuous Task Scheduling in Multiprocessor Real-time System using GA

김현철 경주대학교 정보전자기술연구소 2005 情報電子技術論叢 Vol.4 No.-

멀티 프로세서 시스템에서 스케줄링은 매우 중요한 부분이지만, 최적의 해를 구하는 것이 복잡하여 다양한 휴리스틱 방법들에 의한 스케줄링 알고리즘들이 제안되고 있다. 최근 유전 알고리즘을 사용한 멀티 프로세서 스케줄링 알고리즘들이 제시되고 있지만, 제시된 알고리즘 대부분은 한가지만의 목적을 가지는 단순한 알고리즘이다. 본 논문에서는 유전 알고리즘을 이용한 새로운 스케줄링 알고리즘을 제시한다. 또한, 해를 구하는 과정에서 시뮬레이티드 어닐링(simulated annealing)의 확률을 이용하여 유전 알고리즘의 성능을 개선시킨다. 제시된 알고리즘은 태스크들의 최종 수행 완료 시간(makespan)을 최소화하는 것과 사용된 프로세서의 수를 최소화하는 두 가지의 목표를 가진다. 모의 실험을 통하여 제시된 알고리즘이 다른 알고리즘보다 최종 수행 완료 시간과 사용된 프로세서의 수에서 더 나은 결과를 보임을 확인할 수 있었다. Multimedia systems combine a various information sources, such as audio, video, text, graphics and image, into the wide range of application. Video and audio data are referred to as continuous media due to their real-time delivery requirements whereas text, graphics and image data are referred to as discrete media. Real-time systems are characterized by computational activities with timing constraints and classified into two categories: hard real-time system and soft real-time system. In hard real-time system, deadline missing can be catastrophic. The goal of hard real-time scheduling algorithms is to meet all tasks'deadlines, in other words, to keep the feasibility of scheduling through admission control. However, in the case of soft real-time systems, slight violence of deadlines is not so critical. In multimedia system, especially, continuous media is one of typical task in soft real-time system. In this paper, we propose a new tasks scheduling algorithm for continuous tasks in multiprocessor soft real-time system using period-based genetic algorithm. The objective of proposed scheduling algorithm is to minimize the sum of all tasks' deadline missing time. The effectiveness of the proposed algorithm is shown through a simulation study.

Novel Approach: Testing and Computing Periodicity of Continuous Time Signal

Ganesh Gautam,Surendra Shrestha 한국디지털융합학회 2017 IJICTDC Vol.2 No.1

Periodic signals are those which repeat itself after certain interval of time. The time after which it repeats is called as the period of the signal. Periodic signals are used almost everywhere in application of electrical engineering such as, supply of electricity means supplying AC voltage constantly. This supply of ac is periodic waveform [1]. Continuous time sinusoids are periodic if they are not truncated and period of this type of signal can be predicted in advanced just comparing the angular frequency (w). Whenever addition or multiplications of two or more sinusoids or any other continuous time signals are involved then it is not that simple to find the period of the resulting signal [2]. All the cases of addition and multiplication of different types of continuous time signals were taken into account and the result were obtained from MATLAB. Findings were analyzed and generalized being based on the result obtained from MATLAB. When addition of two or more continuous time signals takes place, the period of resulting signal is the Least Common Multiple (LCM) of the period of individual signal. When multiplication of two or more continuous time signal are involved the period of resulting signal is the half the value of Least Common Multiple (LCM) of the period of individual signal, if any one of the signal has both positive and negative amplitude. Else the period of the resulting signal is Least Common Multiple of the period of individual signal. When addition of two or more continuous time signal are involved the period of resulting signal is the value of Least Common Multiple (LCM) of the period of individual signal, even if any one of the signal has both positive and negative amplitude. Generally Continuous time Fourier series is performed to obtain the spectrum either that may be magnitude spectra or phase spectra. Periodicity and the period of the signal are vital for representing time domain signal to frequency domain.

신석정 초기시의 시간현상학적 의식 지향성 연구

강희안(Hee-ahn, Kang) 어문연구학회 2011 어문연구 Vol.69 No.-

Through Seokjeong’s early poems, 『Candle』(1939) and 『Sad Pastoral(牧歌)』(1947) the writer has seen the poet’s imaginative scheme and the transformation process where time consciousness contains. This is to validate how Seokjeong responded to the principals of the poems work and what is called colonial fetters. Because time is another reality closely accumulated by the concrete reality and refraction of consciousness that the poet faces. Consisting of reflections with historical reality revealed early on the vertical time is a quick summary of the discussion as follows. In the early poems of Seokjeong the tragic reality in the colonial domination is the default condition in understanding Seokjeong’s poetic world. When Seokjeong keeps distance from historical time, he takes the accommodative stance(↓). Thus, while it appears denying the current time accompanied by a separate self-consciousness. That is, this poetic way revealed by the disappearance of mechanism the tragedy of reality is an axis of early poetic world to recognize the reality passively. This kind of attitude toward life is the aspect of condition reflex behavior or a simple mechanical way of life. Another feature revealed in Seokjeong’s early poems is a strong vertical time of transcendent nature(↑) This kind of time is revealed as an upward attribute opposing the tragedy of reality. Time based on the so-called continuation of time aims at the attributes of religious time contrast with time of routine; continuance, deity, identity, existence and unity. That’s because the attribute of transcendence is to resolve the contrast and conflict between historical reality and ideal reality. This transcendent world means moving forward transcending space to the horizon spacially and temporally it means going back to the historical time; past, present, and future at the same time. As identified in the beginning, Seokjeong’s time in his early poems is the vertical time divided into two parts. Then while existential time is earth-oriented based on the moment of present, a transcendent time contains aspect-oriented spatialization. The lower part is refracted by the belief and commitment toward a world of death but the top part has the characteristics that is devoted to the religious world to transcend the tragic routine. This kind of time consciousness was two basic devotions that Seokjeong himself could choose, who kept consistent in the situation where he could not fight against the history in the colonial face to face.

Uniform-in-time transition from discrete dynamics to continuous dynamics in the Cucker-Smale flocking

Ha, Seung-Yeal,Zhang, Xiongtao World Scientific Publishing Company 2018 MATHEMATICAL MODELS & METHODS IN APPLIED SCIENCES Vol.28 No.9

<P>We study a <I>uniform-in-time convergence</I> from the discrete-time (in short, discrete) Cucker-Smale (CS) model to the continuous-time CS model, which is valid for the <I>whole time interval</I>, as time-step tends to zero. Classical theory yields the convergence results which are valid only in <I>any finite-time interval</I>. Our uniform convergence estimate relies on two quantitative estimates “<I>asymptotic flocking estimate</I>” and “<I>uniform</I><TEX>$ \ell _{2}$</TEX><I>-stability estimate with respect to initial data</I>”. In the previous literature, most studies on the CS flocking have been devoted to the continuous-time model with general communication weights, whereas flocking estimates have been done for the discrete-time model with special network topologies such as the complete network with algebraically decaying communication weights and rooted leaderships. For the discrete CS model with a regular and algebraically decaying communication weight, asymptotic flocking estimate has been extensively studied in the previous literature. In contrast, for a general decaying communication weight, corresponding flocking dynamics has not been addressed in the literature due to the difficulty of extending the Lyapunov functional approach to the discrete model. In this paper, we present asymptotic flocking estimate for the discrete model using the Lyapunov functional approach. Moreover, we present a uniform <TEX>$ \ell _{2}$</TEX>-stability estimate of the solution for the discrete CS model with respect to initial data. We combine asymptotic flocking estimate and uniform stability to derive a uniform-in-time convergence from the discrete CS model to the continuous CS model, as time-step tends to zero.</P>

Modeling the Choice of Time-of-Day for Joint Social-Recreational Activities

임광균,Sivaramakrishnan Srinivasan 대한토목학회 2017 KSCE JOURNAL OF CIVIL ENGINEERING Vol.21 No.7

In modeling time of day choice, constructing choice alternatives in the case of joint tours requires the temporal synchronization of travel of all members of the travel party. This study describes how the time constraints of multiple persons can be effectively accommodated into determining the choice set and, subsequently, the choice of timing for joint social/recreational tours. Many previous studies on time-of-day choice modeling have been dominated by dividing the continuous time variable into discrete time intervals. Although the continuous representation of time in the method was proposed, their relative complexity in the estimation over the discrete choice methods is a drawback from practical perspectives. In this study, an alternate two-step approach is proposed. The first model predicts the time-window chosen for pursuing the joint discretionary tour, and the second model locates the tour within the chosen time window by determining the start- and end-hours of the tour simultaneously on a continuous scale. A MNL model within the discrete contexture is also estimated as for the predictive assessment comparison. A wide set of explanatory variables were included in the model estimations. The models developed are used to assess predictive abilities using validation samples. Overall, the fractional-split model is shown to be effective from the standpoint of predictive accuracy over the reference model based on the discrete time representations.

Dependence of the Crossing Time on the Sequence Length in the Continuous-time Mutation-selection Model

길원평 한국물리학회 2010 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.57 No.2

The dependence of the crossing time on the sequence length in the coupled and the decoupled continuous-time mutation-selection models in an asymmetric sharply-peaked landscape with a positive asymmetric parameter, r, was examined for a fixed extension parameter, E, which is defined as the average Hamming distance from the optimal allele of the initial quasispecies divided by the sequence length. Two versions of the coupled mutation-selection model, the continuous-time version and discrete-time version, were found to have the same boundary between the deterministic and the stochastic regions, which is different from the boundary between the deterministic and the stochastic regions in the decoupled continuous-time mutation-selection model. The maximum sequence length for a finite population that can evolve through the fitness barrier, e.g., within 106generations in the decoupled continuous-time mutation-selection model, increased by approximately eight sequence elements with increasing population size by a factor of a thousand when E = 0.1 and r = 0.1. The crossing time for a finite population in the decoupled model in the stochastic region was shorter than the crossing time for a finite population in the coupled model, and the maximum evolvable sequence length for a finite population in the decoupled model was longer than the maximum evolvable sequence length for a finite population in the coupled model. This suggests that a mutation allowed at any time during the life cycle might be more effective than a mutation allowed only at reproduction events when a finite population transits to a higher fitness peak through the fitness barrier in an asymmetric sharply-peaked landscape.

정규화 변환을 지원하는 스트리밍 시계열 매칭 알고리즘

노웅기(Woong-Kee Loh),문양세(Yang-Sae Moon),김영국(Young-Kuk Kim) 한국정보과학회 2006 정보과학회논문지 : 데이타베이스 Vol.33 No.6

최근에 센서 및 모바일 장비들의 발전으로 인하여 이러한 장비들로부터 생성된 대량의 데이타 스트림(data stream)의 처리가 중요한 연구 과제가 되고 있다. 데이타 스트림 중에서 연속되는 시점에 얻어진 실수 값들의 스트림을 스트리밍 시계열(streaming time-series)이라 한다. 스트리밍 시계열에 대한 유사성 매칭은 여러 가지 고유 특성에 의하여 기존의 시계열 데이타와는 다르게 처리되어야 한다. 본 논문에서는 정규화 변환(normalization transform)을 지원하는 스트리밍 시계열 매칭 문제를 해결하기 위한 효율적인 알고리즘을 제안한다. 기존에는 스트리밍 시계열을 아무런 변환 없이 비교하였으나, 본 논문에서는 정규화 변환된 스트리밍 시계열을 비교한다. 정규화 변환은 절대적인 값은 달라도 유사한 변동 경향을 가지는 시계열 데이타를 찾기 위하여 유용하다. 본 논문의 공헌은 다음과 같다. (1) 기존의 정규화 변환을 지원하는 서브시퀀스 매칭 알고리즘[4]에서 제시된 정리(theorem)를 이용하여 정규화 변환을 지원하는 스트리밍 시계열 매칭 문제를 풀기 위한 간단한 알고리즘을 제안한다. (2) 검색 성능을 향상시키기 위하여 간단한 알고리즘을 k (≥ 1) 개의 인덱스를 이용하는 알고리즘으로 확장한다. (3) 주어진 k에 대하여, 확장된 알고리즘의 검색 성능을 최대화하기 위해 k 개의 인덱스를 생성할 최적의 윈도우 길이를 선택하기 위한 근사 방법(approximation)을 제시한다. (4) 스트리밍 시계열의 연속성(continuity) 개념[8]에 기반하여, 현재 시점 t?에서의 스트리밍 서브시퀀스에 대한 검색과 동시에 미래 시점 (t? + m - 1) (m ≥ 1)까지의 검색 결과를 한번의 인덱스 검색으로 구할 수 있도록 재차 확장한 알고리즘을 제안한다. (5) 일련의 실험을 통하여 본 논문에서 제안된 알고리즘들 간의 성능을 비교하고, k 및 m 값의 변화에 따라 제안된 알고리즘들의 검색 성능 변화를 보인다. 본 논문에서 제시한 정규화 변환 스트리밍 시계열 매칭 문제에 대한 연구는 이전에 수행된 적이 없으므로 순차 검색(sequential scan) 알고리즘과 성능을 비교한다. 실험결과, 제안된 알고리즘은 순차 검색에 비하여 최대 13.2배까지 성능이 향상되었으며, 인덱스의 개수 k가 증가함에 따라 검색 성능도 함께 증가하였다. According to recent technical advances on sensors and mobile devices, processing of data streams generated by the devices is becoming an important research issue. The data stream of real values obtained at continuous time points is called streaming time-series. Due to the unique features of streaming time-series that are different from those of traditional time-series, similarity matching problem on the streaming time-series should be solved in a new way. In this paper, we propose an efficient algorithm for streaming time-series matching problem that supports normalization transform. While the existing algorithms compare streaming time-series without any transform, the algorithm proposed in the paper compares them after they are normalization-transformed. The normalization transform is useful for finding time-series that have similar fluctuation trends even though they consist of distant element values. The major contributions of this paper are as follows. (1) By using a theorem presented in the context of subsequence matching that supports normalization transform[4], we propose a simple algorithm for solving the problem. (2) For improving search performance, we extend the simple algorithm to use k ( ≥ 1) indexes. (3) For a given k, for achieving optimal search performance of the extended algorithm, we present an approximation method for choosing k window sizes to construct k indexes. (4) Based on the notion of continuity[8] on streaming time-series, we further extend our algorithm so that it can simultaneously obtain the search results for m ( ≥ 1) time points from present t? to a time point (t? + m - 1) in the near future by retrieving the index only once. (5) Through a series of experiments, we compare search performances of the algorithms proposed in this paper, and show their performance trends according to k and m values. To the best of our knowledge, since there has been no algorithm that solves the same problem presented in this paper, we compare search performances of our algorithms with the sequential scan algorithm. The experiment result showed that our algorithms outperformed the sequential scan algorithm by up to 13.2 times. The performances of our algorithms should be more improved, as k is increased.

비온의 연구에 나타난 시간성의 정신분석적 의미 : 버지니아 울프의 소설 『등대로』를 중심으로

이은도(Lee, Eun?Do),이준호(Lee, Joon?Ho) 한국현대정신분석학회 2020 현대정신분석 Vol.22 No.1

“시간이 흐른다”는 것은 자연 속에 존재하는 당연한 현상이므로 그 정신분석적 의미는 간과되기 쉽지만 비온은 그 의미에 대해 논한 바 있다. 비온의 연구에서 시간성은 사고의 발달 과정에서 나타난다. 시간의 측정은 좌절을 견딜 수 있는 유아에게 가능하며, 부재하는 젖가슴과 젖가슴 사이의 간격 측정과 “무의식적 깨어 생각하기”의 과정을 거쳐 유아의 내면에 시간의 흐름에 대한 관념이 생겨난다. 본 논문에서는 시간의 흐름에 대한 관념은 사고의 발달이 가능한 표지로서 기능할 수 있다고 보았고, 사고의 방향성이 가진 시간적 측면에 따라 시간을 K시간과 O시간으로 나누었다. 시간에 대한 인식의 실패는 O로의 변형에 필연적으로 수반되는 시간의 분열에서 생겨날 수 있으며, O로의 변형을 시도하였으나 좌절을 견디지 못하여 –K로 도피하였을 경우에도 생겨난다. 이때 K시간을 방어로서 사용할 수 있다. 이러한 시간에 대한 인식의 실패가 있는 경우 시간에 대한 특정한 증상으로 발현될 수 있다. 본 논문에서는 이러한 사례로 버지니아 울프의 작가 일기 「로드멜 1926」을 선정하였다. 「로드멜 1926」은 버지니아 울프의 자전적 소설인 『등대로』를 집필하던 당시의 일기로, 소설 속에는 버지니아 울프의 알파 기능, O에 직면하고 이를 변형하려고 시도하는 모습, 좌절을 견디지 못하여 –K로 도피하는 모습, 그 과정에서 나타난 시간의 분열과 멸절의 양상이 잘 드러나 있다. 「로드멜 1926」에 나타난 시간적 측면의 증상은 버지니아 울프가 소설 속에서 보여준 시간에 대한 인식의 실패가 현실로 발현된 사례로 볼 수 있을 것이다. “Time flows” is a natural phenomenon. But it’s psychoanalytic implications may not be obvious. In Bion’s study, measurement of time becomes possible for infants who can endure frustration, and through the process of “Unconscious wakeful thinking”, the notion on continuity of time is created in the infant’s mind. Time is classified as K time and O time according to the thought’s direction upon the aspect of time in this article. Failure of recognition of time can be generated from the splitting of time that is inevitably accompanied with the transformation of O, and it is generated when one tries to transform into O but cannot endure the frustration so as to escape into –K. In this case, K time can be used as a defense. When failure of recognition of time occurs, it can manifest as a certain symptom related to time. Virginia Woolf’s diary, “Rodmell 1926” would be this case. “Rodmell 1926” is Virginia Woolf’s diary when she wrote her autobiographical novel, To the Lighthouse. In the novel, her alpha function, the confrontation and attempt at transformation of O, the escape to –K due to intolerance of frustration, and splitting of time and annihilation were well illustrated. The symptoms of time that appeared in “Rodmell 1926” can be considered as the case of failure of recognition of time that Virginia Woolf wrote about in her novel, which was expressed in reality.