http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
코스피 200 주가지수옵션 데이터의 효율적 가공을 통한 다양한 옵션 전략들의 사후검증에 관한 연구
송치우,오경주,Song, Chi-Woo,Oh, Kyong-Joo 한국데이터정보과학회 2009 한국데이터정보과학회지 Vol.20 No.6
주가지수 옵션투자는 과학적인 투자기법이며 다양한 지표 및 투자전략이 개발되어 있다. 본 연구의 목적은 현재 까지 시장에 소개된 다양한 옵션투자 기법들을 적용하여 과거 옵션 데이터를 통해 사후 검증하는데 있다. 옵션 데이터는 2001년 9월부터 2007년 1월까지 실제 증권거래소에서 거래되었던 틱 데이터를 기반으로 하고 있으며 비주얼 베이직을 활용하여 옵션 백 테스팅 모델을 제안하였다. 사후 검증은 틱 데이트를 10분봉으로 변형하여 실증분석 하였으며 옵션에 관한 모든 전략을 모델에 적용시킨 만큼 전략의 유용성을 쉽게 알아 볼 수 있다. 옵션투자는 레버리지가 높아 높은 위험, 높은 이익 구조를 가치는 만큼 시장상황에 맞게 옵션전략을 구사한다면 낮은 위험으로 안정적 수익을 추구할 수 있다. Stock price index option investing is a scientific investment method and various index and investment strategies have been developed. The purpose of this study is to apply the variety of option investment strategies that have been introduced in the market and validate them using past option trading data. Option data was based on an actual stock exchange market tick data ranging from September 2001 to January 2007. Visual Basic is used to propose an option back-testing model. Validation process was carried out by transferring the tick data into ten-minute intervals and empirically analyzed. Furthermore, most option-related strategies have been applied to the model, and the usefulness of each strategies can be easily evaluated. As option investment has high leverage followed by high risks and profit, the optimal option investment strategy should be used according to the market condition at the time to make stable profit with minimum risk.
변동성 지수기반 유전자 알고리즘을 활용한 계층구조 포트폴리오 최적화에 관한 연구
변현우,송치우,한성권,이태규,오경주,Byun, Hyun-Woo,Song, Chi-Woo,Han, Sung-Kwon,Lee, Tae-Kyu,Oh, Kyong-Joo 한국데이터정보과학회 2009 한국데이터정보과학회지 Vol.20 No.6
국내 금융시장의 변동성의 확대는 개인투자자들의 직접투자를 어렵게 만들면서 펀드를 통한 간접 투자 비중을 증가시켰다. 본 연구의 목적은 여러 가지 형태의 펀드 중에서도 인덱스펀드를 바탕으로 초과수익을 추구하는 인핸스드 인덱스 펀드 모델을 구축하는데 있다. 유전자알고리즘을 활용하여 인덱스펀드 관리를 위한 포트폴리오 최적화 모델을 제안하고, 이렇게 얻은 인덱스펀드의 수익에 초과수익을 얻을 수 있도록 기준지수의 일별 거래대금과 종가를 활용하였다. 실증분석 결과 본 연구의 제안모델은 코스피 200의 움직임을 잘 반영하고 있으며, 이를 활용한 전략은 순수 인덱스펀드에 의한 단순매수 후 보유 전략보다 적절한 개수의 종목을 편입시킨다면 높은 수익률을 가져다줌을 알 수 있었다. The expansion of volatility in Korean Stock Market made it more difficult for the individual to invest directly and increased the weight of indirect investment through a fund. The purpose of this study is to construct the EIF(enhanced index fund) model achieves an excessive return among several types of fund. For this purpose, this paper propose portfolio optimization model to manage an index fund by using GA(genetic algorithm), and apply the trading amount and the closing price of standard index to earn an excessive return add to index fund return. The result of the empirical analysis of this study suggested that the proposed model is well represented the trend of KOSPI 200 and the new investment strategies using this can make higher returns than Buy-and-Hold strategy by an index fund, if an appropriate number of stocks included.
류진우(Jin Woo Yoo),정융(Yoong Jeong),김귀택(Gwi Taek Kim),송치우(Chi Woo Song),윤필현(Pil Hyun Yoon),사용철(Yong Cheol Sa),김민수(Min Soo Kim) 대한설비공학회 2017 대한설비공학회 학술발표대회논문집 Vol.2017 No.6
In air heat pumps, frost naturally forms when the surface temperature of evaporator is lower than ice point. Judging the proper time of defrosting operation is one of the important task for air heat pump systems. Many different method were suggested previously but most of them are not cost-effective or realistic solution. In this study, a new method for determination of defrosting start time was suggested which calculates frost volume at evaporator. The frost volume was calculated with a dry bulb temperature and a humidity of outdoor air, evaporator temperature and degree of superheat (DSH). This method appropriately judge the start time of defrosting at the point within 15 minutes the system performance starts to decrease.
습도센서를 이용한 VRF 시스템의 고효율 쾌적 부하 대응 운전에 관한 연구
장지영(Ji Young Jang),송치우(Chi Woo Song),윤필현(Phil Hyun Yoon),사용철(Yong Cheol Sa) 대한설비공학회 2017 대한설비공학회 학술발표대회논문집 Vol.2017 No.6
With the increase of energy saving for HVAC in building, the use of VRF system increases gradually. A humidity sensor was applied to a VRF system that can be operated by a single outdoor unit with multi indoor unit. The outdoor temperature, indoor humidity, temperature difference between the set and room temperature were using into optimized control logic. As a test result, the required cooling load decreased as the humidity was lower during cooling operation and the maximum efficiency improvement of about 36% was obtained in the low humidity region at the room temperature condition of 27℃. Also, considering the dew point temperature according to the outdoor temperature and the humidity during heating operation, an automatic frost delay control logic was established and the delay effect of about 12% was obtained at frost test condition
초정밀 위치 제어를 이한 이중 서보 시스템의 보상기 설계
최현석(Hyeun Seok Choi),송치우(Chi Woo Song),한창수(Chang Soo Han),최태훈(Tae Hoon Choi),이낙규(Nak Kyu Lee),나경환(Kyung Whan Na) 대한기계학회 2003 대한기계학회 춘추학술대회 Vol.2003 No.4
The high precision positioning mechanism is used in various industrial fields. It is used in semiconductor<br/> manufacturing line, test instrument, Bioengineering, and MEMS and so on. This paper presents a positioning<br/> mechanism with dual servo system. Dual servo system consists of a coarse stage and a fine motion stage. The<br/> course stage is driven by VCM and the actuator of fine stage is the PZT. The purposes of dual servo system<br/> are stability, higher bandwidth, and robustness. Lead compensator is applied to this control system, and is<br/> designed by PQ method. Designed compensator can improve property of positioning mechanism.