Does National Pension Service’s Trading Destabilize Korean Stock Market

박종호,엄경식 한국증권학회 2008 Asia-Pacific Journal of Financial Studies Vol.37 No.3

PIN, defined by Easley and O’Hara as the probability of information-based trading, has been used as a proxy for private-information risk on individual stocks for various fields of financial studies in the U.S. In this paper, we examine whether PIN is useful in understanding the cross-sectional relationship between stock returns and private-information risk in the Korean stock markets. Our analysis results indicate that the PIN is not useful; therefore, we further examine to find out possible reasons for this and alternative ways to measures private-information risk on individual stocks. Our analyses are as follows. •Using the method presented in Easley, Hvidkjaer, and O’Hara (2002, hereafter EHO), we estimate PIN using intraday transaction data on individual stocks. Then, we analyze the cross-sectional relationship between the estimated PIN and excess returns using two methods. The first method analyzes the fifteen portfolios formed by firm size and PIN. The second method uses an asset pricing model with beta, size, book-to-market ratio, and PIN as explanatory variables. Then, a regression analysis is conducted using the Fama and French (1992) method. To confirm the robustness of our tests, we estimate PIN for a period of six-months prior and that of three-months prior against the returns in the current period. •Based on criticism against the EHO model by Duarte and Young (2007, hereafter DY), we calculate the correlations between the number of buyer-initiated trades and that of seller-initiated trades in the Korea Exchange (KRX). Then, we compare them with the correlations inherent in the EHO and DY (2007) models. •We estimate adjusted PIN (AdjPIN) using intraday transaction data on individual stocks and conduct the same cross-sectional analyses as we have done with the PIN. The sample period of the data is from January 1997 to December 2005. The sample stocks are common stocks listed on the Securities Market Division of the KRX which have been traded during more than 60 days a year. We obtain the following results. First, the cross-sectional relationship between PIN and portfolio excess returns is economically insignificant when we analyze the relationship using PIN estimated from last year’s data and the firm size measured by market capitalization at the end of the previous year. In contrast, AdjPIN generally has an economically significant relationship with portfolio excess returns. Second, reducing the estimation interval for PIN to a quarter does not help in explaining portfolio returns. Only when we analyze the relationship between PIN in the current period and current portfolio returns, then do we understand their relationship being positive and statistically significant. This indicates that generally the PIN does not explain portfolio returns, but only useful for detecting the private-information risk that occurs during an extremely short period of time. Third, the KRX data reflects positive correlations between buyer-initiated trade and seller- initiated trade. However, the EHO-PIN model reflects negative ones, whereas the DY-AdjPIN model shows the same positive correlations as the real world results from using KRX data. This indicates that the EHO model should be revised in order to explain the empirically stylized facts found in both the KRX and US exchanges. Fourth, in contrast to PIN, the relationship between AdjPIN and portfolio excess returns is statistically significant at a 1% level from cross-sectional regressions. Although the AdjPIN does not explain the stock returns in NYSE and AMEX in DY (2007), it does seem to do so in the KRX; a difference of 10 percentage points in AdjPIN between two stocks amounts to the difference in required rate of returns of 1.20 percent per month. PIN, defined by Easley and O’Hara as the probability of information-based trading, has been used as a proxy for private-information risk on individual stocks for various fields of financial studies in the U.S. In this paper, we examine whether PIN is useful in understanding the cross-sectional relationship between stock returns and private-information risk in the Korean stock markets. Our analysis results indicate that the PIN is not useful; therefore, we further examine to find out possible reasons for this and alternative ways to measures private-information risk on individual stocks. Our analyses are as follows. •Using the method presented in Easley, Hvidkjaer, and O’Hara (2002, hereafter EHO), we estimate PIN using intraday transaction data on individual stocks. Then, we analyze the cross-sectional relationship between the estimated PIN and excess returns using two methods. The first method analyzes the fifteen portfolios formed by firm size and PIN. The second method uses an asset pricing model with beta, size, book-to-market ratio, and PIN as explanatory variables. Then, a regression analysis is conducted using the Fama and French (1992) method. To confirm the robustness of our tests, we estimate PIN for a period of six-months prior and that of three-months prior against the returns in the current period. •Based on criticism against the EHO model by Duarte and Young (2007, hereafter DY), we calculate the correlations between the number of buyer-initiated trades and that of seller-initiated trades in the Korea Exchange (KRX). Then, we compare them with the correlations inherent in the EHO and DY (2007) models. •We estimate adjusted PIN (AdjPIN) using intraday transaction data on individual stocks and conduct the same cross-sectional analyses as we have done with the PIN. The sample period of the data is from January 1997 to December 2005. The sample stocks are common stocks listed on the Securities Market Division of the KRX which have been traded during more than 60 days a year. We obtain the following results. First, the cross-sectional relationship between PIN and portfolio excess returns is economically insignificant when we analyze the relationship using PIN estimated from last year’s data and the firm size measured by market capitalization at the end of the previous year. In contrast, AdjPIN generally has an economically significant relationship with portfolio excess returns. Second, reducing the estimation interval for PIN to a quarter does not help in explaining portfolio returns. Only when we analyze the relationship between PIN in the current period and current portfolio returns, then do we understand their relationship being positive and statistically significant. This indicates that generally the PIN does not explain portfolio returns, but only useful for detecting the private-information risk that occurs during an extremely short period of time. Third, the KRX data reflects positive correlations between buyer-initiated trade and seller- initiated trade. However, the EHO-PIN model reflects negative ones, whereas the DY-AdjPIN model shows the same positive correlations as the real world results from using KRX data. This indicates that the EHO model should be revised in order to explain the empirically stylized facts found in both the KRX and US exchanges. Fourth, in contrast to PIN, the relationship between AdjPIN and portfolio excess returns is statistically significant at a 1% level from cross-sectional regressions. Although the AdjPIN does not explain the stock returns in NYSE and AMEX in DY (2007), it does seem to do so in the KRX; a difference of 10 percentage points in AdjPIN between two stocks amounts to the difference in required rate of returns of 1.20 percent per month.

ZAM 모형을 이용한 청주시 간선가로 구간의 사고모형 개발

박병호,김준용 한국도로학회 2010 한국도로학회논문집 Vol.12 No.2

This study deals with the traffic accident of the Cheongju arterial link sections. The purpose of the study is to develop the traffic accident model. In pursuing the above, this study gives particular attentions to developing the ZAM(zero-altered model) model using the accident data of arterial roads devided by 322 small link sections. The main results analyzed by ZIP(zero inflated poission model) and ZINB(zero inflated negative binomial model) which are the methods of ZAM, are as follows. First, the evaluation of various developed models by the Vuong statistic and t statistic for overdispersion parameter shows that ZINB is analyzed to be optimal among Poission, NB, ZIP(zero-inflated Poisson) and ZINB regression models. Second, ZINB is evaluated to be statistically significant in view of t, p and (0.63) values compared to other models. Finally, the accident factors of ZINB models are developed to be the traffic volume(ADT), number of entry/exit and length of median. The traffic volume(ADT) and the number of entry/exit are evaluated to be the ‘+’ factors and the length of median to be ‘-’ factor of the accident. 본 연구는 청주시의 가로구간 교통사고를 다루고 있다. 연구의 목적은 가로구간의 사고모형을 개발하는 데 있다. 이를 위해서 이 연구에서는 전체 322개 세부구간으로 분리된 간선도로의 사고 자료를 이용하여 ZAM 모형을 개발하는데 중점을 두고 있다. ZAM 모형의 일종인 ZIP(zero inflated poission model)과 ZINB(zero inflated negative binomial model)를 중심으로 분석한 연구의 주요결과는 다음과 같다. 첫째, 모형의 적합성을 결정하는 Vuong 통계 값과 과분산계수 의 t 통계 값을 바탕으로 개발된 다양한 모형을 평가한 결과, 포아송, 음이항, ZIP 및 ZINB 회귀모형 중 ZINB 모형이 최적인 것으로 나타난다. 둘째, ZINB 모형은 t, p 및 값(0.63)의 관점에서 보면, 다른 모형에 비해서 통계적으로 매우 의미 있는 모형으로 평가된다. 마지막으로, 개발된 ZINB 모형의 사고요인은 교통량, 진출입구 수 그리고 중앙분리대 길이로 분석된다. 교통량과 진출입구수는 사고발생에 ‘+’ 요인, 그리고 중앙분리대 길이는 ‘-’ 요인으로 평가된다.

SP 패널데이터의 Bias를 고려한 동적모델

남궁문,성수련,최기주,이백진 대한교통학회 2000 大韓交通學會誌 Vol.18 No.6

SP 데이터는 데이터 수집의 효율이 RP 데이터 보다 높고 장래의 교통 시스템의 조건이나 속성에 대한 응답자들의 태도를 조사 할 수 있다는 점에서 많이 사용되고 있으나 SP 데이터는 주요하게 두 가지 편위를 가지고 있는데 SP 설문조사시에 발생하는 응답편위와 SP 패널조사시에 발생하는 누락편위이다. 이러한 SP 데이터의 편위가 수정되지 않으면 장래의 잘못된 교통수요예측을 유발할 수 있다. 따라서 본 연구에서는 이러한 SP 모델의 편위와 상태의존을 고려한 모델을 구축하기 위하여 6개의 횡단면 모델과 동적모델을 제안하였다. 횡단면 모델 중 RP데이터의 선택결과를 고려한 모델을 이용하여 SP모델의 편위를 보완할 수 있는 모델을 구축할 수 있었으며 동적모델의 경우에 패널데이터의 상태의존도를 지수함수로 가정하여 상태의존도를 고려한 동적모델을 구축하였다. 또한 패널조사시에 필연적으로 발생하는 누락데이터에 의한 누락편위를 모델에 고려하기 위하여 WESML방법을 적용하여 모델을 구축하였으며 그 결과 상태의존도를 보다 세밀하게 제어함으로서 모델의 설명력을 개선시키고 향후 SP 패널데이터를 이용한 동적모델의 적용성을 높일 수 있음을 알 수 있었다. 본 연구에서는 모델의 유용성을 검토하기 위하여 전주시의 외각 지역인 호남제일문 방향에서 도심으로 접근하는 3개의 주경로(천변로, 기린로, 팔달로)에 대한 패널조사 자료를 바탕으로 모델을 구축하였다. Stated Preference (SP) data has been regarded as more useful than Revealed Preference (RP) data, because researchers can investigate the respondents\` Preference and attitude for a traffic condition or a new traffic system by using the SP data. However, the SP data has two bias: the first one is the bias inherent in SP data and the latter one is the attrition bias in SP panel data. If the biases do not corrected, the choice model using SP data may predict a erroneous future demand. In this Paper, six route choice models are constructed to deal with the SP biases, and. these six models are classified into cross-sectional models (model I∼IH) and dynamic models (model IV∼VI) From the six models. some remarkable results are obtained. The cross-sectional model that incorporate RP choice results of responders with SP cross-sectional model can correct the biases inherent in SP data, and also the dynamic models can consider the temporal variations of the effectiveness of state dependence in SP responses by assuming a simple exponential function of the state dependence. WESML method that use the estimated attrition probability is also adopted to correct the attrition bias in SP Panel data. The results can be contributed to the dynamic modeling of SP Panel data and also useful to predict more exact demand.

Study of Temperature Field Inhomogeneities in Parallel Wire Strand Sections under ISO834 Fire

Wei Chen,Ruili Shen 대한토목학회 2021 KSCE JOURNAL OF CIVIL ENGINEERING Vol.25 No.10

An accurate prediction of temperatures of parallel wire strands is essential to determine the fire-induced mechanical responses of cable-supported bridges. In this paper, the theoretical formula applicable to the temperature field calculation of parallel wire strand sections is established based on the basic theory of heat transfer, and its accuracy is verified. An equivalent steel round bar numerical model of the parallel wire strand is established, and the temperature history of the parallel wire strand section under ISO834 fire is analyzed using the theoretical formula and the equivalent steel round bar numerical model. The results show that the heating law of each layer steel wires of the parallel wire strand section is basically the same and all have a tendency to approach the fire source temperature with the increase of fire time. Due to the existence of thermal resistance, large temperature gradients occur in the parallel wire strand sections. The temperature field of the parallel wire strand section shows more significant inhomogeneous distribution than that of its equivalent steel round bar section due to the influence of the cavities. It indicates that the traditional equivalent steel round bar model does not genuinely reflect the inhomogeneous temperature rising characteristics of the parallel wire strand section. The temperature of the surface layer steel wires of the parallel wire strand section and its equivalent steel round bar section is very close. In contrast, the temperature difference of the inner steel wires is significant, i.e., the parallel wire strand section has a larger temperature gradient than its equivalent steel round bar section.

Perforation Effect on the Bending Behaviour of Cold-Formed Steel Hat-Purlin Section

Fatimah De’nan,Kok Keong Choong,Jin Ying Ling,Nor Salwani Hashim 한국강구조학회 2022 International Journal of Steel Structures Vol.22 No.1

Many structural members, for example, cold-formed steel members, hot-rolled steel members, and composite beams were extensively used in steel construction due to economic development in cities building design. This was to allow fl exible installation of ductwork, piping and other systems. Substantial research has been performed on Channel and Zee cold-formed steel sections, but the papers on Hat section steel purlins turned out to be few only, especially Hat-purlin with perforations. Hence, numerical study on cold-formed Hat section steel purlin with perforation was carried out to investigate the eff ect of perforation to bending behaviour of such sections. Finite element method using LUSAS software was chosen to carry out the research study. Five diff erent perforation shapes were selected, which were circle, diamond, C-hexagon, square and elongated circle. Perforation depth was fi xed at 0.5D2, where D2 is the inclined web depth of the section. The results showed that perforated section had lower bending moment than that of the section without perforation, with a percentage diff erence of not more than 4%. Most of the perforated sections had similar bending characteristic despite of the diff erence in perforation shapes, where the yield moment diff erence was less than 2%. Critical opening length played a crucial role in aff ecting the bending behaviour of section. Furthermore, the location of perforation also infl uenced the bending behaviour of Hat-purlin. Regardless of perforation spacing, the perforated sections with equal number of perforations behaved similar elastic characteristic before yielding. Section with diamond perforation had higher bending moment than other perforated section whereas section with elongated circle perforation had the lowest bending moment. The presence of perforations gives minor eff ect on the bending behaviour of cold-formed steel Hat-purlin.

정전류 부하 모델을 이용한 배전계통의 구간부하 추정기법

이혜규,황평익 대한전기학회 2024 전기학회논문지 Vol.73 No.8

The section load corresponds to the total load in a section that is surrounded by a circuit breaker CB) and/or automatic switches ( (ASWs). Because various applications provided by an advanced distribution management system, such as volt/var optimization and dynamic network reconfiguration, require accurate distribution system model including the power consumption of loads, the importance of the accurate section load estimation is increasing. If the active and reactive power measurements are accurate, the section load can be estimated with simple methods. However, the voltage magnitude measured by an ASW is often inaccurate, leading to erroneous active and reactive power measurements. Thus, only the current magnitude and the power factor angle, which are more accurate, are generally used to estimate the section load in the actual system. The main idea of the proposed method is that the reliable measurements of ASWs correspond to the parameters for a constant current load model, i.e., current magnitude and power factor angle. Therefore, ASWs can be modeled as constant current loads in the estimation problem. Based on this idea, a new section load estimation method is proposed, utilizing the forward/backward sweep power flow method, which is easy to incorporate with the constant current load model. Simulation results verify that the accuracy of the section load estimation is improved with the proposed method compared to a conventional method.

Total Cross Sections for Neutron Nucleus Scattering

S. V. Suryanarayana,H. Naik,S. Ganesan,S. Kailas,R. K. Choudhury,김귀년 한국물리학회 2011 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.59 No.23

Ramsauer model is well known and widely applied to understand systematics of neutron nucleus total cross sections. In this work, we examined the role of nuclear effective radius parameter (r_0) on Ramsauer model fits of neutron total cross sections. We examined the Ramsauer model global analysis of the experimental neutron total cross sections reported by W. P. Abfalterer, F. B. Bateman, et. al., from 20 MeV to 550 MeV for nuclei ranging from Be to U. The global fits predict within ±8% deviation to data.It has been observed that a finer adjustment of r_0 parameter alone can give very good Ramsauer model description of neutron total scattering data within ±4% deviation. The required r_0 values for Ramsauer model fits are provided as a function of nuclear mass number. In optical model study, we have modified the real part of Koning-Deleroche potentials to fit the neutron total cross sections using SCAT2 code. The modified potentials have a different energy dependence beyond 200 MeV of neutron energy and fit the neutron total cross sections from C to Bi.

Neutron Cross Section Evaluation on Dy Isotopes

Lee, Y.D.,Chang, J.H. 한국원자력학회 2002 Nuclear Engineering and Technology Vol.34 No.2

차량 속도를 이용한 도로 구간분할에 따른 고속도로 사고빈도 모형 개발 연구

황경성,최재성,김상엽,조원범,김용석,허태영 대한교통학회 2010 대한교통학회지 Vol.28 No.2

This paper presents a research result that was performed to develop a more accurate freeway crash prediction model than existing models. While the existing crash models only focus on developing crash relationships associated with highway geometric conditions found on a short section of a crash site, this research applies a different approach considering the upstream highway geometric conditions as well. Theoretically, crashes occur while motorists are in motion, and particularly at freeways vehicle speed at one specific point is very sensitive to upstream geometric conditions. Therefore, this is a reasonable approach. To form the analysis data base, this research gathers the geometric conditions of the West Seaside Freeway 269.3 km and six years crash data ranging 2003-2008 for these freeway sections. As a result, it is found that crashes fit well into Negative Binomial Distribution, and, based on the developed model, total number of crashes is inversely proportional to highway curve length and radius. Contrarily, crash occurrences are proportional to tangent length. This result is different from existing crash study results, and it seems to be resulted from this research assumption that a crash is influenced greatly by upstream geometric conditions. Also, this research provides the expected effects on crash occurrences of the length of downgrade sections, speed camera placements, and the on- and off- ramp presences. It is expected that this research result is useful for doing more reasonable highway designs and safety audit analysis, and applying the same research approach to national roads and other major roads in urban areas is recommended. 본 논문은 기존 모형들보다 더 정확한 고속도로 사고 예측 모형을 개발하기 위해 수행한 연구 결과를 제시하고 있다. 기존 모형들은 도로 기하구조와 사고 건수 간 연관성을 밝히기 위해 해당 사고 지점 주변의 도로 특성만을 고려하는 반면, 본 연구에서는 해당 사고지점 전방에 위치한 도로 구간을 합쳐서 고려하는 점이 다르다. 차량 교통사고는 주행 중인 상황에서 발생하고, 특히 고속도로의 경우 한 지점의 차량 속도는 전방 도로 상황에 따라 민감하게 변하기 때문에 본 연구에서 적용한 기법은 상당히 현실적이라 할 수 있다. 모형을 구축하기 위해 서해안고속도로 4차로 구간 269.3km를 선정하여 기하구조 데이터를 구축하였고, 해당 구간에서 2003∼2008년 6년 동안 발생한 1,664건의 교통사고를 매칭시켰다. 본 데이터의 사고 발생 특성은 포아송분포보다 음이항분포를 따르는 것으로 분석되었으며, 본 연구에서 개발한 모형에 따르면 교통사고 발생은 곡선길이와 곡선반경에 반비례 관계인 것으로 나타났다. 한편 교통사고 발생은 직선부의 직선길이에 비례하는 것으로 나타났다. 이 결과는 기존 연구 결과와는 다른 결과로서, 본 연구에서 가정했던대로 교통사고 발생은 해당 사고지점 전방에 위치한 도로 구간 상황에 의존한다는 것을 알 수 있다. 그 외에도 본 연구에서는 내리막 직선길이, 과속카메라 설치 여부, 분류부와 합류부의 교통사고 발생에 미치는 영향에 대해서도 중요한 결과를 도출했다. 본 연구 결과는 고속도로 도로 설계와 안전 진단 사업에 도움이 될 것으로 기대하며, 향후 본 연구 기법을 일반 국도나 도시내 주요 도로들에 대해서도 적용해 보는 것이 바람직할 것이다.

Prediction Model for Massive Transfusion in Placenta Previa during Cesarean Section

강지은,김혜심,이은비,어영,한경희,박은영,이향아,강대용,정인배,최성진 연세대학교의과대학 2020 Yonsei medical journal Vol.61 No.2

Purpose: Recently, obstetric massive transfusion protocols have shifted toward early intervention. This study aimed to develop aprediction model for transfusion of ≥5 units of packed red blood cells (PRBCs) during cesarean section in women with placentaprevia. Materials and Methods: We conducted a cohort study including 287 women with placenta previa who delivered between September2011 and April 2018. Univariate and multivariate logistic regression analyses were used to test the association between clinicalfactors, ultrasound factors, and massive transfusion. For the external validation set, we obtained data (n=50) from another hospital. Results: We formulated a scoring model for predicting transfusion of ≥5 units of PRBCs, including maternal age, degree of previa,grade of lacunae, presence of a hypoechoic layer, and anterior placentation. For example, total score of 223/260 had a probability of0.7 for massive transfusion. Hosmer-Lemeshow goodness-of-fit test indicated that the model was suitable (p>0.05). The area underthe receiver operating characteristics curve (AUC) was 0.922 [95% confidence interval (CI) 0.89–0.95]. In external validation,the discrimination was good, with an AUC value of 0.833 (95% CI 0.70–0.92) for this model. Nomogram calibration plots indicatedgood agreement between the predicted and observed outcomes, exhibiting close approximation between the predicted and observedprobability. Conclusion: We constructed a scoring model for predicting massive transfusion during cesarean section in women with placentaprevia. This model may help in determining the need to prepare an appropriate amount of blood products and the optimal timingof blood transfusion.