Time series regression-based pairs trading in the Korean equities market

Abstract

Pairs trading is an instance of statistical arbitrage that relies on heavy quantitative data analysis to profit by capitalising low-risk trading opportunities provided by anomalies of related assets. A key element in pairs trading is the rule by which open and close trading triggers are defined. This paper investigates the use of time series regression to define the rule which has previously been identified with fixed threshold-based approaches. Empirical results indicate that our approach may yield significantly increased excess returns compared to ones obtained by previous approaches on large capitalisation stocks in the Korean equities market.     

Development of a fouling monitor for safety-related heat exchangers

Periodic safety reviews (PSRs) are performed to verify and/or improve the safety of operating nuclear power plants. When the PSR of Gori Units 3/4 in South Korea was performed, a few safety-related heat exchangers were pointed out as components in need of an ageing management program. This study shares the motivation with the necessity of the ageing management program. We developed a condition monitoring methodology for identifying one of the ageing mechanisms in the safety-related heat exchangers and named it the fouling monitor. The fouling monitor is composed of (1) the model for determining the test fouling resistance and the projected design fouling resistance at a test condition, and (2) the monitoring and detection of their deviation. The mathematical model for determining the projected design fouling resistance at a test condition needs to be considered carefully because the heat exchanger, and particularly in this study, the letdown heat exchanger, is normally tested under operating conditions that differ considerably from the design conditions. This need was met by developing independent physical and empirical correction methods of which consistency is cross-checked. Either or both correction method(s) convert the design fouling resistance into a projected fouling resistance, which is finally comparable with the test fouling resistance. The monitoring and detection method tracks the deviation of the test fouling resistance and the projected fouling resistance. Considering the stochastic characteristics of fouling phenomena, we adopted the sequential probability ratio test to determine appropriate scheduling for cost- and safety-optimized maintenance of the heat exchanger.     

Comparison of physical, chemical and cellular responses to nano- and micro-sized calcium silicate/poly(epsilon-caprolactone) bioactive composites.

In this study, we fabricated nano-sized calcium silicate/poly(epsilon-caprolactone) composite (n-CPC) and micro-sized calcium silicate/poly(epsilon-caprolactone) composite (m-CPC). The composition, mechanical properties, hydrophilicity and degradability of both n-CPC and m-CPC were determined, and in vitro bioactivity was evaluated by investigating apatite forming on their surfaces in simulated body fluid (SBF). In addition, cell responses to the two kinds of composites were comparably investigated. The results indicated that n-CPC has superior hydrophilicity, compressive strength and elastic modulus properties compared with m-CPC. Both n-CPC and m-CPC exhibited good in vitro bioactivity, with different morphologies of apatite formation on their surfaces. The apatite layer on n-CPC was more homogeneous and compact than on m-CPC, due to the elevated levels of calcium and silicon concentrations in SBF from n-CPC throughout the 14-day soaking period. Significantly higher levels of attachment and proliferation of MG63 cells were observed on n-CPC than on m-CPC, and significantly higher levels of alkaline phosphatase activity were observed in human mesenchymal stem cells (hMSCs) on n-CPC than on m-CPC after 7 days. Scanning electron microscopy observations revealed that hMSCs were in intimate contact with both n-CPC and m-CPC surfaces, and significantly cell adhesion, spread and growth were observed on n-CPC and m-CPC. These results indicated that both n-CPC and m-CPC have the ability to support cell attachment, growth, proliferation and differentiation, and also yield good bioactivity and biocompatibility.     

Antioxidant activities from the aerial parts of Platycodon grandiflorum

In order to obtain basic data necessary for the utilisation of aerial parts from Platycodon grandiflorum as a functional substance in Korea, the antioxidant activities of solvent fractions from the ethanol extract of P. grandiflorum aerial parts were examined. The butanol fraction from P. grandiflorum showed the most potent antioxidant activities in each assay, showing 91.31% in the DPPH radical scavenging method, 99.62% in the ABTS radical scavenging method, 7.84% in the reducing power method, and 1.29% in the FRAP method at a concentration of 10 mg/ml. The DPPH, ABTS, reducing power, and FRAP assay indicated that the butanol fraction of aerial parts of P. grandiflorum was the most potent radical-scavengers and reducing agents compared to the other two extracts. Therefore, our study verified that the butanol fraction has strong antioxidant activities which are correlated with its high level of phenolics, particularly luteolin-7-O-glucoside and apigenin-7-O-glucoside. This extract of P. grandiflorum aerial parts can be utilised as an effective and safe source of functional food materials such as natural antioxidants.     

Analysis of resonator phase shift for two series LC quadrature VCOs

Based on the investigation of resonator phase shift, an analytical framework to compare the phase noise between two series LC quadrature voltage-controlled oscillators (QVCOs) is presented. The bottom- series QVCO is analytically demonstrated to have lower phase noise than the top-series QVCO. Simulation data show good agreement with the presented analysis.     

Effects of Heat Treatment on the Microstructures and High Temperature Mechanical Properties of Hypereutectic Al–14Si–Cu–Mg Alloy Manufactured by Liquid Phase Sintering Process

Hypereutectic Al–Si alloy is an aluminum alloy containing at least 12.6 wt.% Si. It is necessary to evenly control the primary Si particle size and distribution in hypereutectic Al–Si alloy. In order to achieve this, there have been attempts to manufacture hypereutectic Al–Si alloy through a liquid phase sintering. This study investigated the microstructures and high temperature mechanical properties of hypereutectic Al–14Si–Cu–Mg alloy manufactured by liquid phase sintering process and changes in them after T6 heat treatment. Microstructural observation identified large amounts of small primary Si particles evenly distributed in the matrix, and small amounts of various precipitation phases were found in grain interiors and grain boundaries. After T6 heat treatment, the primary Si particle size and shape did not change significantly, but the size and distribution of CuAl₂ (θ) and AlCuMgSi (Q) changed. Hardness tests measured 97.36 HV after sintering and 142.5 HV after heat treatment. Compression tests were performed from room temperature to 300 °C. The results represented that yield strength was greater after heat treatment (RT?~?300 °C: 351?~?93 MPa) than after sintering (RT?~?300 °C: 210?~?89 MPa). Fracture surface analysis identified cracks developing mostly along the interface between the primary Si particles and the matrix with some differences among temperature conditions. In addition, brittle fracture mode was found after T6 heat treatment.     

Microstructure,Tensile and Fatigue Properties of Al–5 wt.%Mg Alloy Manufactured by Twin Roll Strip Casting

This study investigated the microstructure, tensile and fatigue properties of Al–5 wt.%Mg alloy manufactured by twin roll strip casting. Strips cast as a fabricated (F) specimen and a specimen heat treated (O) at 400 °C/5 h were produced and compared. In the F specimen, microstructural observation discovered clustered precipitates in the center area, while in the O specimen precipitates were relatively more evenly distributed. Al, Al₆(Mn, Fe), Mg₂Al₃ and Mg₂Si phases were observed. However, most of the Mg₂Al₃ phase in the heat-treated O specimen was dissolved. A room temperature tensile test measured yield strength of 177.7 MPa, ultimate tensile strength of 286.1 MPa and elongation of 11.1% in the F specimen and 167.7 MPa (YS), 301.5 MPa (UTS) and 24.6% (EL) in the O specimen. A high cycle fatigue test measured a fatigue limit of 145 MPa in the F specimen and 165 MPa in the O specimen, and the O specimen achieved greater fatigue properties in all fatigue stress conditions. The tensile and fatigue fracture surfaces of the above-mentioned specimens were observed, and this study attempted to investigate the tensile and fatigue deformation behavior of strip cast Al–5 wt.%Mg based on the findings.     

Impacts of climate and land‐cover changes on water resources in a humid subtropical watershed: a case study from East Texas,USA

This study investigates the response of water resources regarding the climate and land‐cover changes in a humid subtropical watershed during the period 1970–2009. A 0.7°C increase in temperature and a 16.3% increase in precipitation were observed. Temperature had a lower increase trend, and precipitation showed definite increasing trend compared to previous studies. The main trend of land‐cover change was conversion of vegetation and barren lands to developed and crop lands affected by human intervention, and forest and grass to bush/shrub which considered to be caused by natural climate system. Hydrologic responses to climate and land‐cover changes resulted in increases of surface run‐off (15.0%), soil water content (2.7%), evapotranspiration (20.1%) and a decrease in groundwater discharge (9.2%). We found that surface run‐off is relatively stable with precipitation, whereas groundwater discharge and soil water content are sensitive to changes in land cover, especially land cover brought about by human intervention.     

CdS Quantum Dots in Glass: “Modification of Photoluminescence by Silver Doping”

Silicate glasses containing CdS and Ag₂O were made by the melt-quenching method. CdS quantum dots (QDs) were precipitated inside the glass matrix by heat treatment at 570–590 °C for 10 h, and the influence of Ag on photoluminescence (PL) of CdS QDs was investigated. The emission located at 478–493 nm in wavelength originated from the direct recombination of electron/hole pairs was quenched due to charger transfer between Ag and CdS QDs. Modification of PL from CdS QDs by Ag provides potentials toward developing the color changing materials for light-emitting diodes (LEDs).     

Synthesis and characterization of fluorene-carbazole and fluorene-phenothiazine copolymers with carbazole and oxadiazole pendants for organic light emitting diodes

We report the synthesis and characterization of new series of the fluorene based polymers with carbazole and oxadiazole pendants for the generation of the white emission out of the EL device. In the fluorene backbone, hole transporting units such as carbazole or phenothiazine were incorporated to improve the EL brightness and efficiency. The PFCzOxd-co-PCzs and PFCzOxd-co-PPTZs in EL spectra showed maximum peaks at around 430 nm and additional large peaks at around 530 and 500 nm, respectively. In case of PFCzOxd-alt-PCz and PFCzCzPCz-co-PFOxdOxdPCz, the EL spectra of the polymers showed two distinct peaks comprising the maximum at 427 nm, which corresponds to the EL spectra of the conjugated backbone, and additional broad peaks at around 540 and 530 nm, respectively. The CIE coordinates of the devices from PFCzOxd-alt-PCz and PFCzCzPCz-co-PFOxdOxdPCz were (0.28, 0.33) and (0.25, 0.32), respectively, approaching the value of the standard white of National Television System Committee (NTSC) (0.33, 0.33).