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REFERENCE LINKING PLATFORM OF KOREA S&T JOURNALS
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Journal of Korean Institute of Industrial Engineers
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Journal DOI :
Korean Institute of Industrial Engineers
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Volume & Issues
Volume 38, Issue 4 - Dec 2012
Volume 38, Issue 3 - Sep 2012
Volume 38, Issue 2 - Jun 2012
Volume 38, Issue 1 - Mar 2012
Selecting the target year
Investment Strategies for KOSPI200 Index Futures Using VKOSPI and Control Chart
Ryu, Jaepil ; Shin, Hyun Joon ;
Journal of Korean Institute of Industrial Engineers, volume 38, issue 4, 2012, Pages 237~243
DOI : 10.7232/JKIIE.2012.38.4.237
This paper proposes quantitative investment strategies for KOSPI200 index futures using VKOSPI and control chart. Stochastic control chart is employed to decide when to take a position as well as what position out of long and short should be taken by monitoring whether VKOSPI or difference of VKOSPI touches the control limit lines. The strategies include 4 approaches, which are traditional control chart and 2-Area control chart coupled with VKOSPI and its difference, respectively. Computational experiments using real KOSPI200 futures index for recent 3 years are conducted to show the excellence of the proposed investment strategies under control chart framework.
An Iterative Method for American Put Option Pricing under a CEV Model
Lee, Seungkyu ; Jang, Bong-Gyu ; Kim, In Joon ;
Journal of Korean Institute of Industrial Engineers, volume 38, issue 4, 2012, Pages 244~248
DOI : 10.7232/JKIIE.2012.38.4.244
We present a simple numerical method for pricing American put options under a constant elasticity of variance (CEV) model. Our analysis is done in a general framework where only the risk-neutral transition density of the underlying asset price is given. We obtain an integral equation of early exercise premium. By exploiting a modification of the integral equation, we propose a novel and simple numerical iterative valuation method for American put options.
Valuation of American Option Prices Under the Double Exponential Jump Diffusion Model with a Markov Chain Approximation
Han, Gyu-Sik ;
Journal of Korean Institute of Industrial Engineers, volume 38, issue 4, 2012, Pages 249~253
DOI : 10.7232/JKIIE.2012.38.4.249
This paper suggests a numerical method for valuation of American options under the Kou model (double exponential jump diffusion model). The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the conventional numerical method, the finite difference method for PIDE (partial integro-differential equation).
Optimal Introductive Sequence of Hedge Fund Baskets in the Korean Market
Kwon, Do-Gyun ; Park, Hee Hwan ; Kang, Dong Hun ; Kim, Min Jeong ;
Journal of Korean Institute of Industrial Engineers, volume 38, issue 4, 2012, Pages 254~257
DOI : 10.7232/JKIIE.2012.38.4.254
Hedge funds can be established in Korea after the deregulation about setting up private equity funds on September, 2011. Although the variety of asset allocation strategies is the strength of hedge funds, most of Korean hedge funds uses only the equity long/short strategy. Therefore, it is need to introduce other strategies into Korea hedge funds, however all strategies can not be adopted at once because of the infrastructure of Korea financial market. In this paper, we find the optimal introductive order of strategies for Korea hedge fund in view of individual or institutional investors. For this analysis, HFRI data are used for the historical return of each hedge fund strategy and three methods (network visualization, principle component analysis and efficient frontier optimization) are used for finding the optimal order.
Dynamic Asset Allocation by Applying Regime Detection Analysis
Kim, Woo Chang ;
Journal of Korean Institute of Industrial Engineers, volume 38, issue 4, 2012, Pages 258~261
DOI : 10.7232/JKIIE.2012.38.4.258
In this paper, I propose a new asset allocation framework to cope with the dynamic nature of the financial market. The investment performance can be much improved by protecting the capital from the market crashes, and such crashes can be pre-identified with high probabilities by regime detection analysis via a specialized unsupervised machine learning technique.
A Multistage Metaheuristic Scheduling Algorithm in LCD Module Lines Composed of Processes
Suh, Jungdae ;
Journal of Korean Institute of Industrial Engineers, volume 38, issue 4, 2012, Pages 262~275
DOI : 10.7232/JKIIE.2012.38.4.262
This paper develops a multistage scheduling algorithm for the module operation of the LCD(Liquid Crystal Display) production systems and tests the efficiency of the proposed algorithm. The module operation is a multistage form composed of multiple sub operations of processes, and each stage is consists of multiple lines with the same kinds of machines. This paper presents a mathematical modeling reflecting the constraints of the LCD module operation and develops a multistage scheduling algorithm based on tabu search metaheuristic approach. For this purpose, an production order is assigned to a line of the sub operations and a sequence of the assigned order is rearranged to draw an efficient schedule. Simulation experiments test performance measures and show the efficiency of the proposed algorithm.
Missing Value Imputation based on Locally Linear Reconstruction for Improving Classification Performance
Kang, Pilsung ;
Journal of Korean Institute of Industrial Engineers, volume 38, issue 4, 2012, Pages 276~284
DOI : 10.7232/JKIIE.2012.38.4.276
Classification algorithms generally assume that the data is complete. However, missing values are common in real data sets due to various reasons. In this paper, we propose to use locally linear reconstruction (LLR) for missing value imputation to improve the classification performance when missing values exist. We first investigate how much missing values degenerate the classification performance with regard to various missing ratios. Then, we compare the proposed missing value imputation (LLR) with three well-known single imputation methods over three different classifiers using eight data sets. The experimental results showed that (1) any imputation methods, although some of them are very simple, helped to improve the classification accuracy; (2) among the imputation methods, the proposed LLR imputation was the most effective over all missing ratios, and (3) when the missing ratio is relatively high, LLR was outstanding and its classification accuracy was as high as the classification accuracy derived from the compete data set.
Tighter Throughput Lower Bounds of Connectivity-Based Reliable Multicast MAC Protocol for IEEE 802.11 Wireless LANs
Choi, Woo-Yong ;
Journal of Korean Institute of Industrial Engineers, volume 38, issue 4, 2012, Pages 285~288
DOI : 10.7232/JKIIE.2012.38.4.285
The connectivity-based reliable multicast MAC protocol was proposed for IEEE 802.11 wireless LANs and the formulae for the lower bounds of the multicast downlink throughput and the uplink throughput of the connectivity-based reliable multicast MAC protocol were derived in our previous study. We provide the tighter throughput lower bounds of the connectivity-based reliable multicast MAC protocol than the lower bounds presented in our previous study.