Earticle

본 연구의 목적은 서울외환시장에서 주문흐름(order flow)과 원/달러 환율의 동태적 관계를 분석하는 것이다. 주문흐름이 사적정보의 대리변수라는 최근 미시적접근법의 주장에 따라 사적정보가 일별 원/달러 환율의 절상/절하율과 변동성에 통계적으로 유의한 영향을 끼쳤는지 분석한다. 또한 주문흐름의 변화 없이 환율만 변하는 공적정보의 유입이 환율에 미친 동태적 특징도 함께 살펴본다. 통계적 방법론은 다변량 비모수접근법과 비선형충격반응함수를 사용하였다. 분석결과 원화절하 관련 사적정보는 환율에 1일 정도 영향을 미쳐 비대칭성이 존재하였다. 원화 절하 충격은 정보의 속성과 관계없이 원/달러 환율의 변동성을 높였으나, 절상 충격은 변동성에 통계적으로 유의한 영향을 미치지 못하였다. 사적정보와 공적정보 충격은 원/달러 환율의 변동성에 각각 일주일, 3일 정도 영향을 미쳐 정보의 속성에 따라 지속기간이 상이하였다. 반면 변동성의 절대적 크기는 공적정보가 2배 이상 컸다.

Based upon daily KRW/USD exchange rate and order flow, this paper attempts empirically to disentangle the effects of the private and public information shocks on the rate. To setup private information shocks, the paper uses the change in the order flows accompanying large perturbations in the exchange rate. The public information shocks are constructed as the change in the exchange rate without changing in the flows. We use nonlinear impulse response function by Gallant, Rossi and Tauchen (1993). Empirical results show two prominent features in the Seoul foreign exchange market. Private information shocks affect the exchange rate asymmetrical way: appreciation shocks do not affect on the rate and deprecation shocks do on the contrary. Both private and public information affect commonly on the rate's volatility with different duration. The first shocks affect the volatility approximately one week but the latter have only three days persistence.

This study analyzes the relationship between the foreign exchange market and the stock market. To investigate the extended macroeconomic factor in the existing framework empirical analysis were conducted in terms of following two aspects. Firstly, we analyze the relationship between exchange rates, foreign stock trading, and stock market. Secondly, based on the analytical results of the existing linear approaches such as stationarity and causality test, we extend the test to the nonlinear model. As a result of the empirical analysis, the exchange rate risk showed a one-sided causal relationship to stock returns, and foreign trade variable showed causal relationship to the stock return. The above empirical results provide following two implications: first, in order to analyze the financial market dynamically, it is necessary to extend the theoretical model that considers foreign stock trading factors in the analysis. Second, an extended analysis is needed that includes the trader's inaction to the asset price changes.

I propose an intuitive method of measuring the characteristics of the change in volume and assessing the effect of order flow on stock price flow. The order flow has a significant impact on stock price changes. According to the results of Granger’s causality test, the change is more suitable for explanatory variables than order flow. Regression with the actual cumulative order flow based on the excess returns is significant in daily trading. The investors change the order flow on buying stocks when there is the excess returns of sector. And regressions of KOSPI 200 Index on the real cumulative order flow is also significant in daily trade only. However, there seems to be no causal relationship between cumulative order flow, the excess returns of sector and KOSPI 200 index due to time constraints on the sample.

For order acceptance and scheduling with hybrid blocking in flow shop, the improved artificial bee colony (IABC) with NEH_BV heuristic algorithm, local search and artificial bee colony (ABC) is proposed for resolving the problem. In this algorithm, we first use NEH_BV heuristic algorithm to get some initial solutions, then updating the above initial solutions with improved artificial bee colony. In updating process, employed bees, onlooker bees and scout bees are inserted heuristic will increase exploitation and exploration of the algorithm. At last, we will get the near optimal solution by IABC algorithm. The effectiveness and efficiencies of the IABC algorithm has been proved by the case’s analysis and been compared with artificial bee colony and harmony search (HS).

We present two high-order potential flow models for the evolution of the interface in the Rayleigh-Taylor instability in two dimensions. One is the source-flow model and the other is the Layzer-type model which is based on an analytic potential. The late-time asymptotic solution of the source-flow model for arbitrary density jump is obtained. The asymptotic bubble curvature is found to be independent to the density jump of the fluids. We also give the time-evolution solutions of the two models by integrating equations numerically. We show that the two high-order models give more accurate solutions for the bubble evolution than their low-order models, but the solution of the source-flow model agrees much better with the numerical solution than the Layzer model.

A combined procedure for two-dimensional Delaunay mesh generation algorithm and an adaptive remeshing technique with higher-order compressible flow solver is presented. A pseudo-code procedure is described for the adaptive remeshing technique. The flux-difference splitting scheme with a modified multidimensional dissipation for high-speed compressible flow analysis on unstructured meshes is proposed. The scheme eliminates nonphysical flow solutions such as the spurious bump of the carbuncle phenomenon observed from the bow shock of the flow over a blunt body and the oscillation in the odd-even grid perturbation in a straight duct for the Quirk's odd-even decoupling test. The proposed scheme is further extended to achieve higher-order spatial and temporal solution accuracy. The performance of the combined procedure is evaluated on unstructured triangular meshes by solving several steady-state and transient high-speed compressible flow problems.

In this paper, the new higher order wall boundary conditions are proposed for solving the incompressible flows. The square driven cavity flows are simulated by using the variable order method of lines with the present wall boundary conditions. The variable order method of lines is constructed by the spatial discretization, i.e., the variable order proper convective scheme for convective terms and the modified differential quadrature method for diffusive terms, and time integration. The 2nd, 4th, and 6th order solutions are presented and these results show this higher order boundary conditions are very promising for the incompressible flow simulations.

In this computational study, the convergence, stability and order of accuracy of several different numerical schemes are assessed and compared. All of the schemes considered were developed using a normalized variable diagram. Two test cases are considered: (1) two-dimensional steady incompressible laminar flow of a Newtonian fluid in a square lid-driven cavity; and (2) creeping flow of a PTT-linear fluid in a lid-driven square cavity. The governing equations are discretized to varying degrees of refinement using uniform grids, and solved by using the finite volume technique. The momentum interpolation method (MIM) is employed to evaluate the face velocity. Coupled mass and momentum conservation equations are solved through an iterative SIMPLE (Semi-Implicit Method for Pressure-Linked Equation) algorithm. Among the higher-order and bounded schemes considered in the present study, only the CLAM, COPLA, CUBISTA, NOTABLE, SMART and WACEB schemes provide a steady converged solution to the prescribed tolerance of $1{ \times}10^{-5}$ at all studied Weissenberg ($We$) numbers, using a very fine mesh structure. It is found that the CLAM, COPLA, CUBISTA, SMART and WACEB schemes provide about the same order of accuracy that is slightly higher than that of the NOTABLE scheme at low and high Weissenberg numbers. Moreover, flow structures formed in the cavity, $i.e.$ primary vortex, are captured accurately up to $We$ = 5 by all converged schemes.

A reduced-order linear feedback controller, which is used to control the linear disturbance in two-dimensional plane Poiseuille flow, is applied to a boundary layer flow for stability control. Using model reduction and linear-quadratic-Gaussian/loop-transfer-recovery control synthesis, a distributed controller is designed from the linearized two-dimensional Navier-Stokes equations. This reduced-order controller, requiring only the wall-shear information, is shown to effectively suppress the linear disturbance in boundary layer flow under the uncertainty of Reynolds number. The controller also suppresses the nonlinear disturbance in the boundary layer flow, which would lead to unstable flow regime without control. The flow is relaminarized in the long run. Other effects of the controller on the flow are also discussed.

Springing is the resonance phenomenon of a ship hull girder with incoming waves having the same natural frequency of the ship. In this study, a simple and reliable calculation method was developed based on quadratic strip theory using the Timoshenko beam approach as an elastic hull girder. Second-order hydrodynamic forces and Froude-Krylov forces were applied as the external force. To improve the accuracy of the strip method, the variation in the added mass along the ship hull longitudinal direction, so called tip-effect, was considered. The J-factor was also employed to compensate for the effect of three-dimensional fluid motion on the two-node vibration of the ship. Using the developed method, the first- and second-order vertical bending moments of the Flokstra ship were compared. A comparative study was also carried out for a uniform barge ship and a 10,000 TEU container ship with the respective methods including the J-factor and tip-effect.

가압 경수로의 주요 기기에서 발생할 수 있는 과도 2상 유동(Two-phase flow) 현상에 대한 해석을 수행하기 위해 원자로 기기 열수력 해석 코드를 개발 중에 있다. 개발 중인 기기 열수력 해석 코드는 지배 방정식으로 Two-phase, three-field model을 사용하고 있으며, 복잡한 기하학적 형상의 원자로 기기를 모사하기 위해 비정렬 격자계(Unstructured grid)를 활용하고 있다. 수치해석 기법으로는, 원자로 계통 해석코드 RELAP5가 사용 중이며 대부분의 원자로 내 2상 유동 조건에서 안정적이며 정확하다고 알려진 Semi-implicit 방법을 적용하였다. 그러나 기존의 Semi-implicit 방법은 1차원, 엇갈림격자(Staggered grid)에 대해 개발되었기 때문에, 이를 다차원, 비정렬, 비엇갈림 격자(Non-staggered grid)에 적용하기 위해 기존의 Semi-implicit 방법을 수정하였다. 본 논문에서는 Semi-implicit 방법의 대류항을 이차정확도를 갖도록 확장하였으며, 이차정확도에 의한 수치확산의 감소를 평가하기 위해 수행된 수치시험의 결과를 기술하였다. 이차정확도 및 일차정확도로 계산된 값을 해석해 또는 격자 수렴성 시험을 통해 평가해 본 결과, 이차정확도 계산시 수치 확산의 감소 확인하였다.

A two-phase (gas and liquid) flow analysis solver, named CUPID, has been developed for a realistic simulation of transient two-phase flows in light water nuclear reactor components. In the CUPID solver, a two-fluid three-field model is adopted and the governing equations are solved on unstructured grids for flow analyses in complicated geometries. For the numerical solution scheme, the semi-implicit method of the RELAP5 code, which has been proved to be very stable and accurate for most practical applications of nuclear thermal hydraulics, was used with some modifications for an application to unstructured non-staggered grids. This paper is concerned with the effects of interpolation schemes on the simulation of two-phase flows. In order to stabilize a numerical solution and assure a high numerical accuracy, the second-order upwind scheme is implemented into the CUPID code in the present paper. Some numerical tests have been performed with the implemented scheme and the comparison results between the second-order and first-order upwind schemes are introduced in the present paper. The comparison results among the two interpolation schemes and either the exact solutions or the mesh convergence studies showed the reduced numerical diffusion with the second order scheme.

Motivated by the high-resolution properties of high-order Weighted Essentially Non-Oscillatory (WENO) and flux limiter (FL) for steep-gradient problems and the robust convergence of Jacobian-free Newton-Krylov (JFNK) methods for nonlinear systems, the preconditioned JFNK fully implicit high-order WENO and FL schemes are proposed to solve the transient two-phase two-fluid models. Specially, the second-order fully-implicit BDF2 is used for the temporal operator and then the third-order WENO schemes and various flux limiters can be adopted to discrete the spatial operator. For the sake of the generalization of the finite-difference-based preconditioning acceleration methods and the excellent convergence to solve the complicated and various operational conditions, the random vector instead of the initial condition is skillfully chosen as the solving variables to obtain better sparsity pattern or more positions of non-zero elements in this paper. Finally, the WENO_JFNK and FL_JFNK codes are developed and then the two-phase steep-gradient problem, phase appearance/disappearance problem, U-tube problem and linear advection problem are tested to analyze the convergence, computational cost and efficiency in detailed. Numerical results show that WENO_JFNK and FL_JFNK can significantly reduce numerical diffusion and obtain better solutions than traditional methods. WENO_JFNK gives more stable and accurate solutions than FL_JFNK for the test problems and the proposed finite-difference-based preconditioning acceleration methods based on the random vector can significantly improve the convergence speed and efficiency.

This paper studies on the effect of DSC(Differential Scanning Calorimeter) analysis condition on the glass transition temperature of silica filled epoxy network polymer used for ultra-high voltage apparatus. The effects of temperature scanning rate specimen size and gas flow rate on measured glass transition temperature have been studied in order to select optimum thermal analysis condition.

본 연구는 Easley, López de Prado, and O’Hara(2012)가 제시한 독성 주문 흐름 지표인 VPIN 방법론을 KOSPI200 지수옵션시장에 최초로 적용하였다. 이를 위해 옵션들을 실시간 가격도에 따라 분류하였으며, 각 옵션 가격도 집단의 독성 주문 흐름 지표의 시장 변동성에 대한 정보성을 추정하였다. 그 결과, 가격 변화로부터 추정된 독성 주문 흐름 지표가 실제 주문 불균형을 바탕으로 추정된 독성 주문 흐름 지표에 비해 시장 변동성에 대해 높은 정보성을 가지고 있었다. 이러한 정보성은 대체로 콜옵션보다는 풋옵션에서 크게 나타났으며, 특히 외가격 풋옵션이 시장 변동성에 대해 가장 많은 정보를 가지고 있었다. 또한 시장 변동성이 작은 상황보다는 큰 상황에서 독성 주문 흐름 지표의 시장 변동성 예측력이 훨씬 더 명확하게 나타났다. 독성 주문 흐름 지표의 시장 변동성에 대한 정보성은 2012년 옵션거래승수 인상 이후 크게 감소하였으나, 점차 정보성이 다시 증가하는 추세가 존재하였다.

This study estimates the VPIN (volume-synchronized probability of informed trading) of the KOSPI200 index options, the measure of order flow toxicity suggested by Easley et al. (2012), for the first time. To apply the VPIN approach, options are categorized by their real- time moneyness. I examine the predictive power of VPIN for the future stock market volatility using time-series regression analysis. The empirical result shows that the toxic order flow measure estimated by price changes has more information than that estimated by the actual order imbalance. In general, put options contain more information than call options, and the toxic order flow measure of OTM (out-of-the-money) put options contains the most significant information about the future stock market volatility. In addition, the predictive power of toxic order flow measure is much significant in the highly volatile than in the stable market. The volatility predictability of toxic order flow measure declined significantly after the option multiplier increase, whereas it has gradually recovered over time.

본 연구의 목적은 새로운 정보 거래 확률 측정치인 VPIN(Volume-Synchronized Probability of Informed Trading)을 사용하여 고빈도 KOSPI200 지수 선물 시장의 독성 주문 흐름을 확인하는 것이다. VPIN은 PIN(Probability of Information-based Trading)과 같이 최우추정법으로 관찰 불가능한 모수들을 추정할 필요가 없고 거래량 시간(volume time)을 기준으로 구성하기 때문에 고빈도 시장에 적용하기 용이하다. 고빈도 KOSPI 200 지수 선물 시장의 VPIN과 선물 시장 변동성 간의 관계를 상관계수와 조건부 확률 분포로 분석하였는데, KOSPI200 지수 선물 VPIN이 지속적으로 높을 때, 선물 시장 변동성이 커질 가능성이 높은 것으로 나타났다. 이는 VPIN이 독성 주문 흐름으로 인한 선물 시장 변동성 예측에 유용함을 나타낸다.

This study presents a new informed trading probability measure VPIN (Volume-Synchronized Probability of Informed Trading) to estimate toxic order flow of KOSPI200 index futures in a high frequency world. This measure does not require to estimate non-observable parameters as PIN. Also, it is estimated based on volume time, so it can estimate toxicity of order flow in a high frequency world. We show a relation between KOSPI200 index futures VPIN and futures market volatility using correlation and conditional probability distribution. A main empirical result is that persistently high VPIN signifies a high risk of subsequent large futures market volatility. It means that VPIN is a useful measure to estimate a toxicity induced volatility.

본 연구는 최근에 발명된 교차시장 모형을 활용하여, KOSPI200 지수옵션시장의호가스프레드와 그 구성요소를 지수선물 및 지수옵션시장의 주문흐름정보를 동시에 활용하여 추정하고 조사한다. 본 논문은 Ryu(2011)에서 제시된 교차시장 모형을바탕으로, 옵션의 가격도 및 일중 거래시간대별로 스프레드와 구성요소의 변화를살펴보고, 이를 주문주도형 시장에서 널리 활용되는 단일시장 모형인 MRR 모형(Madhavan et al., 1997)의 결과와 비교 분석하였다. 본 연구의 실증분석 결과는, 선물시장에서의 주문흐름정보를 추가적으로 이용하는교차시장 모형을 옵션시장에 적용하면, 우리나라 옵션시장에 단일시장 모형을 적용한 기존의 연구에서 발생할 수 있는 추정상의 문제점을 일부 개선시킬 수 있을 가능성을 제시하고 있다. 즉, 교차시장 모형은 레버리지의 효과가 큰 외가격 옵션시장에서 정보거래가 설명하는 영구적 요소의 과소추정문제 및 유동성이 결핍된 내가격 옵션 시장에서 가격충격으로 인한 영구적 요소의 과대추정문제가 완화시킬 수 있음을 암시하고 있다. 또한, 교차시장 모형의 추정결과는 선물시장에서의 주문정보흐름이 옵션스프레드의 영구적 요소의 형성에 옵션의 가격도와 일중의 시간대에 따라 다른 정도로 영향을 미치는 것을 보여주고 있으며, 이는 선물주문흐름이 정보거래비중이 상대적으로 높은 장 초반의 시점이나 (심)내가격 옵션의 경우에 대하여 보다 더 유의한 영향을 미치는 것을 의미한다.

This study examines the bid/ask spread and its components in the KOSPI200 options market under the framework of the cross-market model, which utilizes the order flow information of both KOSPI200 futures and options markets. We also compare the results by the single-market model (MRR model; Madhavan et al., 1997) and by the cross-market model (Ryu(2011)’s extension). This comparison suggests that the cross-market approach can mitigate the underestimation of the permanent spread component of OTM options and the overestimation of the component of ITM options, which are often detected when we directly apply the single market model into the KOSPI200 options market where the ITM options are relatively illiquid while the OTM options are extremely liquid. We also find that the effect of the order flow information of the futures market on the option spread and its permanent spread component will vary depending on the option moneyness and the intraday time period. This implies that the order flow of the futures market has more significant effects if the degree of informed trading is relatively high.