Empirical Research on the Asymmetric Multifractal Properties in Financial Market Data

학위논문 (박사)-- 서울대학교 대학원 : 공과대학 산업공학과, 2018. 2. 장우진.After the recent financial crisis, the importance of financial market analysis for financial risk management has been emphasized. Financial markets have diverse characteristics that are difficult to explain from the traditional models. Therefore, the effort on describing such characteristics is required. Specifically, many researches are actively conducted on the features of multifractal and asymmetric correlation in financial markets. Multifractal features can be characterized by various fractal features with self-similarity that does not change with scaleit is difficult to represent in a single fractal dimension. This feature can explain the complexity of stock market. The asymmetric correlation, depending on the market trend, represents the asymmetric structure of the financial market. In this context, this dissertation focuses on the asymmetric correlation of multifractal characteristics in the financial market data where the asymmetric market efficiency is measured using asymmetric multifractal property. At first, Price-based Asymmetric Multifractal Detrended Fluctuation Analysis (Price-based A-MFDFA) model is proposed to measure multifractal characteristics which asymmetrically follow the trend of market price. Given that previous models measure the multifractal characteristics based on the entire market, the price-based A-MFDFA model has its advantage by considering the asymmetrical characteristics according to different market conditions. Furthermore, the methods to investigate the cause of multifractal features and the asymmetry are also suggested based on the proposed model. The empirical results in the U.S. financial market data confirms the presence of asymmetric multifractal characteristic and the autocorrelation of the variance in uptrend market and fat-tailed distribution in downtrend market as the cause of multifractality. The results of time-varying asymmetric multifractality show that the difference between the degree of uptrend and downtrend multifractality increases during the financial crisis period. Secondly, a simulation method is applied to prove the ability of capturing the asymmetric multifractal features of the Price-based A-MFDFA model by examining the factors affecting the asymmetric multifractality. In order to mimic the stock market data, an artificial time series with asymmetric features are constructed using the Monte-Carlo simulation. Then, the asymmetric multifractality is observed for each time series using the proposed model. The results show that the proposed model can detect the artificial asymmetric characteristics. In addition, the effects of autocorrelation of time series, autocorrelation of volatility, the skewness and fat-tailed of distribution on the asymmetric long-range dependence and multifractal features are studied. Lastly, a framework for testing the existence of asymmetric long-range dependence and multifractality is proposed. The source of market inefficiency, which has not been identified in previous models, is examined through the uptrend and downtrend multifractal features. The result of thirty four countries suggests that, in the financial crisis period, the difference in the long-range dependence measure and degree of multifractality between uptrend and downtrend increases, whereas the uptrend degree of multifractality has a strong negative correlation with the stock price in financial crisis period. In addition, the relationship between asymmetric long-range dependence and rate of return is tested. In conclusion, the contribution of this dissertation is to further refine the ability of multifractal analysis on asymmetric characteristics in accordance with market conditions as well as the overall market. While past analysis of the overall market focuses on only the downtrend, it is possible to analyze both uptrend and downtrend market through the segmented asymmetric multifractal characteristics. Hence, the proposed model can provide much useful information to various market participants in the perspective of financial risk management.Chapter 1 Introduction 1 1.1 Resarch motivation and purpose 1 1.2 Theoretical background 5 1.3 Organiation of the research 9 Chapter 2 Asymmetric multi-fractality in the U.S. stock indices using the price-based model of A-MFDFA 10 2.1 Introduction 10 2.2 Price-based A-MFDFA method 13 2.3 Data description 16 2.4 Empirical results of asymmetric scaling behavior 18 2.4.1 Asymmetric fluctuation functions and their dynamics 18 2.4.2 Estimating the generalized Hurst exponent 22 2.4.3 Source of multi-fractality 24 2.4.4 Source of asymmetry 28 2.4.5 Time-varying multi-fractal asymmetry 29 2.5 Conclusion 33 Chapter 3 Study of asymmetric multifractal characteristics through various time series simulations 34 3.1 Introduction 34 3.2 Various probability distribution and time series model 36 3.2.1 Normal distribution 36 3.2.2 Skewed distribution 37 3.2.3 Students t-distribution 37 3.2.4 Autoregressive model 38 3.2.5 Autoregressive conditional heteroscedasticity model 38 3.2.6 Gereralized autoregressive conditional heteroscedasticity model 39 3.3 Method to generate time series using Monte-Carlo simulation 41 3.3.1 Homogeneous time series generating 41 3.3.2 Heterogeneous time series with previous datas sign 41 3.3.3 Heterogeneous time series with precious datas trend 41 3.4 Simulation results 43 3.4.1 Homogeneous time series simulation results 43 3.4.2 Heterogeneous time series with previous datas sign simulation results 50 3.4.3 Heterogeneous time series with precious datas trend simulation results 60 3.5 Conclusion 70 Chapter 4 Evaluating the asymmetric long-range dependence and multifractality of financial markets 72 4.1 Introduction 72 4.2 Methodology 76 4.2.1 Price-based A-MFDFA 76 4.2.2 Evaluating the existence of asymmetric long-range dependence and multifractality 78 4.3 Data description 81 4.4 Results and Discussion 84 4.4.1 Monte Carlo Simulation 84 4.4.2 The results for testing the existence of asymmetric long-range dependence and multifractality in each period 89 4.4.3 Time-varying asymmetric Hurst exponent and multifractality 95 4.5 Conclusion 99 Chapter 5 Concluding Remarks 102 5.1 Summary and contributions 102 5.2 Limitations and future work 106 References 108 Appendix 116 Abstract (in Korean) 149Docto

The Change of Practice Patterns of the Hereditary Breast Cancer Management in Korea after the Korean Hereditary Breast Cancer Study

본 논문은 2010 한국유방암학회 춘계학술대회에서 구연 발표되었음.Purpose: The objective of this study was to evaluate the change in the practice patterns for managing hereditary breast and ovarian cancer (HBOC) among Korean physicians after the Korean Hereditary Breast Cancer (KOHBRA) study. Methods: The first survey was performed from July to August 2007, at the initiation of the KOHBRA study, and the follow-up survey was conducted from July to December 2009. Members of the Korean Breast Cancer Society were invited to participate in the study by e-mail. The 2009 survey was conducted with a self-administered questionnaire concerning HBOC management and was identical to the previous questionnaire. Results: According to the 2009 survey, most physicians (60.0%) tended to draw a pedigree (48.0% in 2007 survey). The rate of genetic test recommendations for patients at risk for HBOC was higher in the 2009 survey (84.0%) than that in the 2007 survey (64.0%). Physicians tended to select a BRCA genetic testing candidate more appropriately than in the previous survey (42.4% answered right in 2007 survey; 74.4% in 2009 survey). Fifteen of 25 participants (60.0%) provided genetic counseling before their patients underwent a genetic test, which was higher than that (40.0%) in the 2007 survey. According to the 2009 survey, half of the genetic counseling was being conducted by KOHBRA study research nurses; whereas most of the genetic counseling was conducted by physicians in 2007. Conclusion: The KOHBRA study has played an important role in the appropriate selection of candidates for genetic testing. However, more effort should be placed on improving the pre-test genetic counseling rate.본 연구는 보건복지부 암정복연구비의 지원을 받아 시행되었음(과제번호 0720450).Robson ME, 2010, J CLIN ONCOL, V28, P893, DOI 10.1200/JCO.2009.27.0660Han SA, 2009, J BREAST CANCER, V12, P92, DOI 10.4048/jbc.2009.12.2.92Ko SS, 2008, J SURG ONCOL, V98, P318, DOI 10.1002/jso.21110Kim KS, 2008, J BREAST CANCER, V11, P95Kim EK, 2007, J BREAST CANCER, V10, P241Chenevix-Trench G, 2007, BREAST CANCER RES, V9, DOI 10.1186/bcr1670Fisher B, 2005, J NATL CANCER I, V97, P1652, DOI 10.1093/jnci/dji372Eisen A, 2005, J CLIN ONCOL, V23, P7491, DOI 10.1200/JCO.2004.00.7138Nelson HD, 2005, ANN INTERN MED, V143, P362Green MJ, 2004, JAMA-J AM MED ASSOC, V292, P442Choi DH, 2004, J CLIN ONCOL, V22, P1638, DOI 10.1200/JCO.2004.04.179Ahn SH, 2004, J KOREAN MED SCI, V19, P269Rebbeck TR, 2004, J CLIN ONCOL, V22, P1055, DOI 10.1200/JCO.2004.04.188Antoniou A, 2003, AM J HUM GENET, V72, P1117Rebbeck TR, 2002, NEW ENGL J MED, V346, P1616KANG HC, 2002, HUM MUTAT, V20, P235Malone KE, 2000, CANCER, V88, P1393Hartmann LC, 1999, NEW ENGL J MED, V340, P77Fisher B, 1998, J NATL CANCER I, V90, P1371Ford D, 1998, AM J HUM GENET, V62, P676Parmigiani G, 1998, AM J HUM GENET, V62, P145ShattuckEidens D, 1997, JAMA-J AM MED ASSOC, V278, P1242Dinkel MK, 1997, J CLIN ONCOL, V15, P2157Claus EB, 1996, CANCER, V77, P2318WOOSTER R, 1995, NATURE, V378, P789OH JH, 1995, J KOREAN CANC ASS, V27, P1061FRIEDMAN LS, 1994, NAT GENET, V8, P399*NAT COMPR CANC NE, NCCN CLIN PRACT GUID

The Breast and Ovarian Cancer Risks in Korea Due to Inherited Mutations in BRCA1 and BRCA2: A Preliminary Report

본 논문은 2007 Global Breast Cancer Conference (GBCC)에서 포스터 발표되었음.Purpose: To estimate the cumulative risk till each age (penetrance) of breast and ovarian cancers among female family members with BRCA1 and BRCA2 mutation. Methods: Among the 61 BRCA1 mutation carriers in the 42 families and 47 BRCA2 mutation carriers in 31 families identified at 5 academic breast clinics, the probands were excluded to estimate the cumulative risk till each age of breast cancer in the Korean BRCA1 and BRCA2 carriers. Using Kaplan-Meier analyses, cumulative cancer risk estimates were determined. Results: By the age 70, the female breast cancer risk for the BRCA1 and BRCA2 mutation carriers was 72.1% (95% confidence interval [CI]=59.5% to 84.8%) and 66.3% (95% CI=41.2% to 91.5%), respectively, and the ovarian cancer risk was 24.6% (95% CI=0% to 50.3%) and 11.1% (95% CI=0% to 31.6%), respectively. The contralateral breast cancer risk at 5 years after primary breast cancer was estimated as 16.2% (95% CI=9.3% to 23.1%) for the 52 breast cancer patients with the BRCA1 mutation and 17.3% (95% CI=9.7% to 24.0%) for the 35 breast cancer patients with the BRCA2 mutation. Conclusion: The penetrance of BRCA mutations in Korea is largely consistent with the previous studies on Western populations. However, the small number of the cases, the high proportions of probands in the study subjects, the short term follow-up, and large confidence intervals are the limitations of the current study. The Korean Hereditary Breast Cancer Study (KOHBRA Study) may definitely answer this question.Kim KS, 2008, J BREAST CANCER, V11, P95Kim EK, 2007, J BREAST CANCER, V10, P241Vogl FD, 2007, FAM CANCER, V6, P63, DOI 10.1007/s10689-006-9106-8Ahn SH, 2007, CANCER LETT, V245, P90, DOI 10.1016/j.canlet.2005.12.031Schlich-Bakker KJ, 2006, PATIENT EDUC COUNS, V62, P13, DOI 10.1016/j.pec.2005.08.012Metcalfe K, 2004, J CLIN ONCOL, V22, P2328, DOI 10.1200/JCO.2004.04.033Choi DH, 2004, J CLIN ONCOL, V22, P1638, DOI 10.1200/JCO.2004.04.179King MC, 2003, SCIENCE, V302, P643Antoniou A, 2003, AM J HUM GENET, V72, P1117Kauff ND, 2003, CANCER, V97, P1601, DOI 10.1002/cncr.11225Liede A, 2002, HUM MUTAT, V20, P413, DOI 10.1002/humu.10154Brose MS, 2002, J NATL CANCER I, V94, P1365IKEDA N, 2002, J BREAST CANCER, V5, P194Eng C, 2001, J MED GENET, V38, P824Risch HA, 2001, AM J HUM GENET, V68, P700ROBSON ME, 2001, CURR PROB SURG, V38, P387Ponder BAJ, 2000, BRIT J CANCER, V83, P1301Matloff ET, 2000, J CLIN ONCOL, V18, P2484Wagner TMU, 2000, BRIT J CANCER, V82, P1249Julian-Reynier C, 2000, EUR J HUM GENET, V8, P204Schrag D, 2000, JAMA-J AM MED ASSOC, V283, P617Antoniou AC, 2000, GENET EPIDEMIOL, V18, P173Arnold N, 1999, HUM MUTAT, V14, P333Newman B, 1998, JAMA-J AM MED ASSOC, V279, P915Ford D, 1998, AM J HUM GENET, V62, P676Claus EB, 1996, CANCER, V77, P2318Nieto FJ, 1996, AM J EPIDEMIOL, V143, P1059FORD D, 1995, AM J HUM GENET, V57, P1457EASTON DF, 1995, AM J HUM GENET, V56, P265FORD D, 1994, LANCET, V343, P692KAPLAN EL, 1958, J AM STAT ASSOC, V53, P457

한국산 밑빠진벌레아과, 큰턱밑빠진벌레아과의 분류학적 연구 및 밑빠진벌레과의 계통학적 분석

학위논문 (석사)-- 서울대학교 대학원 : 농업생명과학대학 농생명공학부, 2018. 8. 이승환.This thesis consists of two main themes: i) taxonomic review of the Korean Nitidulinae and Prometopinaeii) molecular phylogeny of Nitidulidae. In the first chapter, the subfamily Nitidulinae was reviewed as 38 species of 19 genera from Korea, including two new species, Cyllodes sp. nov., Pallodes sp. nov. and 9 unrecorded species, Nitidula rufipes (Linnaeus), Soronia lewisi Reitter, Ipidia sibirica (Reitter) Stelidota multiguttata Reitter, Atarphia fasciculata Reitter, Hebasculinus japonus (Reitter) Xenostrongylus variegatus (Fairmaire), Neopallodes vicinus Grouvelle and Pocadites rufobasalis Reitter. Subfamily Prometopinae Böving and Craighead, 1931 is recorded from Korea for the first time with 2 species from different genera, Prometopia unidentata Hisamatsu, Parametopia x-rubrum Reitter. Descriptions for all species, illustrations of habitus and genitalia, key to tribes, genera and species from Korea are provided. In the second part, phylogenetic study of family Nitidulidae is conducted based on the molecular data. Family Nitidulidae is the second largest family in Cucujoidea which includes ten subfamilies. Because of their morphological and biological diversity, the phylogenetic relationship within Nitidulidae is one of the most debated topics among Cucujoidea phylogeny and yet, is still open to many questions. To recover the internal relationship of Nitidulidae, we performed ML and BI analyses that targeted on five gene regions (COI, 28s, CAD, H3, Wingless) for 77 taxa. Our research also included the 7 outgroups and 67 ingroups which contain the nine out of ten currently recognized subfamilies of Nitidulidae. The results of our phylogenetic analysis suggest the three following conclusions i) Subfamilial status of Prometopinae is reconfirmedii) Epuraeinae is paraphyletic with inclusion of Calonecrinaeiii) Nitidulinae is paraphyletic with inclusion of Meligethinae and Cillaeinae. In addition, the generic relationships within Nitidulidae and the evolutionary history of their feeding behaviors are also briefly discussed.PART I. Systematic Study of Subamily Nitidulinae and Prometopinae (Coleoptera: Cucujoidea: Nitidulidae) in Korea 1 Abstract 1 1. Introduction 2 1.1. General introduction of the Family Nitidulidae 2 1.2. Historical review 7 1.2.1. Taxonomic transition of the Subamily Nitidulinae 7 1.2.2. Taxonomic transition of the Subamily Prometopinae 8 1.2.3. History of Korean Nitidulinae 9 2. Materials and methods 12 2.1. Material examined 12 2.2. Terminology 14 2.3. Abbreviations of localities in the Korean Peninsula 16 3. Results 17 Family Nitidulidae 17 Subfamily Nitidulinae 18 Tribe Nitidulini 18 Genus Nitidula 20 Genus Omosita 22 Genus Soronia 31 Genus Stelidota 39 Genus Ipidia 41 Genus Phenolia 47 Genus Ussuriphia 52 Genus Aethina 54 Genus Atarphia 67 Genus Hebasculinus 71 Genus Physoronia 74 Genus Pocadites 76 Genus Pocadius 81 Tribe Cychramini 84 Genus Cychramus 84 Genus Xenostrongylus 86 Tribe Cyllodini 89 Genus Cyllodes 89 Genus Pallodes 102 Genus Coxollodes 106 Genus Neopallodes 109 Subfamily Prometopinae 114 Genus Parametopia 115 Genus Prometopia 118 4. Discussion 121 PART II. Molecular phylogeny of family Nitidulidae (Coleoptera: Cucujoidea) 124 Abstract 124 1. Introduction 125 2. Materials and Methods 130 2.1. Taxon sampling 130 2.2. Laboratory work 130 2.2.1. DNA extractions 130 2.2.2. PCR amplification and sequencing 131 2.2.3. Sequencing alignments 132 2.3. Phylogenetic analyses 133 2.4. Evolution of food preferences 133 3. Results 138 3.1. Phylogenetic analyses 138 3.2. Evolution of food preference 139 4. Discussion 143 4.1. Cryptarchinae 143 4.2. Prometopinae 144 4.3. Carpophilinae+Amphicrossinae+Epuraeinae+Calonecrinae 145 4.4. Nitidulinae+Meligethinae+Cillaeinae 146 4.5. Evolution of food preference 147 Literature cited 148 국문초록 190Maste

Flux concentrating axial ferrite magnet motor

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축방향 자속형 전동기에서 연자성복합체 코어와 적층 전기강판 코어 철손 비교

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매입형 영구자석 전동기의 최고속도 맞춤 설계를 위한 D-축 인덕턴스 최적화

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Flux Concentrating Axial Flux Ferrite Permanent Magnet Motor Design

Master2가지 자화 방법을 이용한 이중 외각 고정자와 안쪽 회전자 구조의 축 방향 전동기를 연구하였다. 회전자 자석으로 ferrite 자석중 높은 에너지 생산량을 보이는 NMF-12G를 사용하였다. 제안된 모터는 20극, 24슬롯 구조이고, 집중권 권선을 사용하였다. 고정자의 각 teeth는 서로 다른 세가지 전기강판을 적층하여 만들수 있고 팬 케이크 형의 고정자 back iron과 조립하여 제작이 가능하다. 본 논문은 자속 집중형과 축 방향 자화 회전자를 자속 사용량과 토크 리플에 관하여 비교, 연구하였다. 간략화한 전동기 모델을 분석하여 최적 자석 비율을 찾아내었다. 자속 집중형 방법이 영구자석 사용양을 감소하는데 더 적합하였지만, 축 방향 자화에 비해 더 많은 토크 리플를 보였다. 15% 더 적은 사용양으로 제안된 자속 집중형 전동기는 기존의 축방향 자화 전동기와 비슷한 성능을 보였다. 축방향 자속 전동기의 고정자 재료로 기존의 SMC는 전기 강판에 비해 낮은 투자율, 높은 손실과 강성을 가져 제작성에서 불리하다. 대신에 전기 강판을 사용하여 철손을 크게 감소시켰다. 시뮬레이션은 3-D 유한요소법(FEM)을 이용하여 검증하였다.Two stator axial motors are studied over different magnetization methods. As the rotor magnets, a high energy product ferrite (NMF-12G) is used. It has a 20 pole, 24 slot structure, and concentrated pole windings. Each piece of tooth is made by stacking three different size of sheets, and can be assembled into the pan cake type back iron disk. The back iron is made by rolling a long thin steel strip. Throughout the paper, flux concentrating and axial magnetizations are compared in magnet usage and torque ripple. Proper magnet ratio is found by analyzing the simplified linear motor model. The flux concentrating method is more favorable in reducing the permanent magnet (PM) usage, but it has more torque ripple. The saving amount is more than 15%. To compare iron loss analysis, two axial flux permanent magnet (AFPM) machines using soft magnetic composite (SMC) and lamination steel are studied. SMC cores have much larger loss values than lamination steel cores because SMC core is not laminated. The iron losses in two machines using SMC and laminated steel were studied and shown that laminated steel can reduce iron losses considerably. Simulations were carried out by a commercial 3-D FEM tool

하위 도메인 분석을 이용한 영구자석 동기 모터의 최적화

Doctor본 논문에서는 하위 영역 분석 (Subdomain analysis)과 자속등가회로 (Magnetic Equivalent Circuit) 방법을 이용한 하이브리드 해석을 고속 압축기 모터의 설계의 최적화에 활용됩니다. 영구자석(PM)은 Halbach 배열로 배열되며, 탄소 섬유 슬리브로 둘러싸여 있습니다. 고정자 코어는 슬롯 구조가 없어 철손을 줄이는 데 유리합니다. 코어 포화가 발생하기 때문에 MEC는 고정자 요크의 자속 밀도에 따른 투자율을 찾는 데 사용됩니다. 또한, 코어는 하위 영역 분석에서 무한 투과성이 아니 므로 전체 하위 영역 영역 (샤프트, PM, 에어 갭, 코일 및 고정자 요크)에서 솔루션을 얻습니다. 하이브리드 해석의 결과는 유한 요소 해석(FEA)의 결과와 비교됩니다. 요크 포화 상태에서도 자속 밀도와 토크에서 매우 근접한 일치 결과를 얻을 수 있습니다. 고정자 요크 높이는 회전자 외부 반경에 대해 최적화되어 토크, 전력 밀도 및 효율성이 극대화되는 반면 고정자 외부 반경, 스택 길이 및 코일 면적은 고정됩니다. 본 논문의 두번째 장으로, 복잡한 형상을 가진 델타-IPM 회전자에 대한 하위 영역 해석 모델을 제시하고 제안된 모델은 로터 브리지의 PM 누출량을 고려할 수 있습니다. 그리고 균일한 슬롯 고정자를 가진 모터에 대한 토크 리플 감소 설계에 하위 영역 해석을 사용합니다. 토크 리플의 크기는 공극 필드 고조파 간의 위상차에 크게 의존합니다. 두 개의 지배적인 고조파 성분이 서로 상쇄될 때 리플이 최소화됩니다. 이러한 사실을 바탕으로 토크 리플을 최소화하기 위한 조건 개발합니다. 토크 리플최소화 솔루션은 하위 도메인 시간 단계별 분석에 의해 얻어진 레벨 차트에서 찾을수 있습니다. FEA는 매우 유사한 최소화 솔루션을 제공합니다. 하위 영역 분석은 한 설계 사례에 대한 토크 리플을 분석하는 데 5초가 소요된 반면, FEA는 270초가 소요되었습니다. 시제품 모터를 제작하고, 그 성능을 실험을 통해 검증합니다.In this thesis, a high speed motor optimization is studied using the magnetic equivalent circuit (MEC) and subdomain analysis. The stator core is slotless and the rotor PMs have the two step Halbach array. To reflect the stator core saturation, MEC’s are used iteratively until the permeability matches with the corresponding field density of the characteristic B-H curve of the core material. The stator core, being a cylindrical shape, is defined as a single subdomain. Furthermore, the coil subdomain has the circumferential field component at the boundary, as well as the radial field. Thereby, the r-edge problem is set for subdomain analysis. Through repeated use of subdomain analysis, the optimal solution is found. The analytical results are close to the the FEA results. This analytical design method is especially useful for slotless machine while saving the design time, which would be required with FEA. In the second part of thesis, the subdomain analysis is utilized to minimize the torque ripple for uniform slotted stator motor. Since the slot opening is large in the uniform slot machine, the torque ripple generated by overlapping or misaligning with the rotor cavity is remarkably large in the case of interior permanent magnet (IPM) machine. The magnitude of torque ripple depends strongly on the phase difference between air-gap field harmonics: The ripple is minimized when the two dominant harmonic components cancel each other. Based on this fact, a condition is developed to minimize torque ripple by adjusting the d-flux barrier width and the q-flux channel width. The torque ripple minimum solution is found from a level chart made by subdomain time-stepping analysis. FEA also gives a very similar minimum solution. The subdomain analysis took 5 seconds to analyze the torque ripple for one design case, whereas the FEA took 270 seconds. A prototype machine is manufactured, and its performances are validated through experiments

고출력 고속 시동발전기의 설계변수 선정 및 회전자 최적 설계

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