한국주식시장에서의 고차원 주가 모형 추정과 이를 이용한 최적 포트폴리오 생성 및 성능평가

학위논문 (석사) -- 서울대학교 대학원 : 자연과학대학 통계학과, 2021. 2. 이상열.In this thesis, we propose a model-driven statistical arbitrage method, with application to the Korean stock market from January, 2009 to December, 2020. Specifically, we first estimate high-dimensional systematic risks with principle component analysis. Subsequently, with the estimated systematic risks, we then employ the mean-reverting and volatility clustering strategies, which are representative characteristics frequently observable in various finance data. Unlike previous researches which attempted to model the idiosyncratic risk via stochastic process models, we instead consider a systematic risk-based autoregressive model. Moreover, based on our proposed model, we construct a conditional mean-variance optimized portfolio by building upon Markowitz's mean-variance optimized portfolio method. Our results show that our optimized portfolio outperforms other signal-based strategies throughout the analysis period.본 논문에서는 한국 주식시장의 모델 기반 통계적 차익거래전략을 연구하였다. 고차원 자료로부터 체계적 위험을 추정하기 위해 주성분 분석기법을 사용하였다. 금융자료의 주요 현상으로 관찰되는 평균 회귀와 분산 군집화와 같은 특성들이 추정된 체계적 위험 요소와 함께 평가되었다. 이런 평가로부터 개별위험기반에 확률 과정모형을 적용한 기존 연구들과는 달리 체계적 위험 기반의 자기 회귀 모형이 한국 주식의 일간 수익률을 설명하기 위해 제안되었다. 제안된 모형을 기반으로 Markowitz의 평균 분산 최적화 포트폴리오를 조건부 기대 평균 분산 최적화 방식의 포트폴리오 전략으로 개선하였다. 분석에 사용된 데이터는 한국 주식시장의 2009년 1월부터 2020년 12월 자료이며, 테스트를 포함한 분석 기간 전체에서 제안된 조건부 최적화 포트폴리오의 성능이 기존의 KOSPI와 다른 단순 신호기반의 전략들의 성능을 크게 상회하는 결과를 보여주었다.Abstract i Contents ii List of Tables iv List of Figures v 1 Introduction 1 2 Exploratory Data Analysis 4 2.1 Data Description 4 2.2 Stock returns 5 2.3 Covariance of stock returns 8 3 Quantative method for risk factors 10 3.1 The PCA approach 10 3.2 Covariance vs correlation matrix 11 3.3 Sparse PCA 13 3.4 Industry based PCA 13 4 Portfolio strategy 15 4.1 Mean reversion and momentum 15 4.2 Korea stock market; reversion vs. momentum 16 4.3 Volatility clustering 21 5 Portfolio optimization 23 5.1 Mean-variance portfolio optimization 23 6 Model description 25 6.1 Model description 25 6.2 Model selection 26 7 Results 29 8 Concluding Remark 33 Abstract (In Korean) 37Maste

센티미터 급 광역 보강항법 시스템의 반송파 위상 기반 보정정보 생성 알고리즘에 관한 연구

학위논문(박사)--서울대학교 대학원 :공과대학 기계항공공학부,2020. 2. 기창돈.Recently, the demand for high-precision navigation systems for centimeter-level service has been growing rapidly for various Global Navigation Satellite System (GNSS) applications. The network Real-Time Kinematic (RTK) is one of the candidate solution to provide high-accuracy position to user in real-time. However, the network RTK requires a lot of reference stations for nationwide service. Furthermore, it requires high-speed data-link for broadcasting their scalar-type corrections. This dissertation proposed a new concept of satellite augmentation system called Compact Wide-Area RTK, which provides centimeter-level positioning service on national or continental scales to overcoming the limitation of the legacy network RTK methods. Using the wide-area network of multiple reference stations whose distance is 200~1,000 km, the proposed system generates three types of carrier-phase-based corrections: satellite orbit corrections, satellite code/phase clock (CPC) corrections, tropospheric corrections. Through the strategy of separating the scalar-type corrections of network RTK into vector forms of each error component, it is enable to expand network RTK coverage to continental scale using a similar number of reference stations as legacy meter-level Satellite-Based Augmentation System (SBAS). Furthermore, it is possible to broadcast their corrections over a wide-area using geosynchronous (GEO) satellite with extremely low-speed datalink of 250 bps likewise of legacy SBAS. To sum up, the proposed system can improve position accuracy by centimeter-level while maintaining the hardware infrastructure of the meter-level legacy SBAS. This study mainly discussed on the overall system architecture and core algorithms for generating satellite CPC corrections and tropospheric corrections. This study proposed a new Three-Carrier Ambiguity Resolution (TCAR) algorithm using ionosphere-free combinations to correctly solve the integer ambiguity in wide-area without any ionospheric corrections. The satellite CPC corrections are calculated based on multiple stations for superior and robust performance under communication delay and outage. The proposed algorithm dramatically reduced the latency compensation errors and message amounts with compare to conventional RTK protocols. The tropospheric corrections of the compact wide-area RTK system are computed using GPS-estimated precise tropospheric delay and weather data based model together. The proposed algorithm adopts spherical harmonics function to significantly reduce the message amounts and required number of GPS reference stations than the network RTK and Precise Point Positioning-RTK (PPP-RTK), while accurately modeling the spatial characteristic of tropospheric delay with weather data together. In order to evaluate the user domain performance of the compact wide-area RTK system, this study conducted the feasibility test on mid-west and south USA using actual GPS measurements. As a result, the 95% horizontal position error is about 1.9 cm and the 95% vertical position error is 7.0 cm after the integer ambiguity is correctly fixed using GPS-only signals. The user ambiguity resolution takes about 2 minutes, and success-fix rate is about 100 % when stable tropospheric condition. In conclusion, the compact wide-area RTK system can provide centimeter-level positioning service to wide-area coverage with extremely low-speed data link via GEO satellite. We hope that this new system will consider as candidate solution for nationwide centimeter-level service such as satellite augmentation system of the Korea Positioning System (KPS).최근 자율주행자동차, 무인 드론 배송, 충돌 회피, 무인트랙터를 이용한 스마트 무인 경작 등 위성항법시스템(GNSS, Global Navigation Satellite System)을 사용하는 다양한 응용분야에서 수 cm 수준의 정밀 위치 정보에 대한 요구가 급격히 증가하고 있다. 본 학위논문에서는 1 m 급의 정확하고 신뢰성 높은 위치 서비스를 제공하는 기존의 정지궤도위성 기반 광역 보강항법 시스템(SBAS, Satellite-Based Augmentation System)의 기준국 인프라를 유지하면서 항법 성능을 수 cm 수준으로 향상시키기 위해 반송파 위상 기반의 초정밀 보정정보 생성 알고리즘에 관한 연구를 수행하였다. 실시간 정밀 측위(RTK, Real-Time Kinematic)는 반송파 위상 측정치에 포함된 미지정수를 정확하게 결정하여 수 cm 수준의 정밀 항법 서비스를 가능하게 하는 대표적인 기법이다. 그 중에서도 약 50~70 km 간격으로 분포된 다수의 기준국 정보를 활용하는 Network RTK 기법은 동적 사용자의 빠르고 정확한 위치 결정이 가능한 인프라로서 주목받고 있다. 하지만 스칼라 형태로 구성된 Network RTK 보정정보는 각 기준국 별로 관측된 위성 수에 따라 생성이 되기 때문에 보정 데이터 량이 상당히 방대하다. 메시지 전송에 필요한 데이터 량이 많을수록 고속의 통신 환경을 필요로 하며, 메시지 시간 지연이나 통신 단절에 매우 취약한 문제를 가지고 있다. 또한 스칼라 형태의 보정정보는 사용자와 기준국 간의 거리가 멀어질수록 보정 오차가 크게 발생하기 때문에 대륙 혹은 나라 규모의 광역에서 서비스하기 위해서는 수십~수백 개 이상의 기준국 인프라 구축이 필수적이다. 예를 들어, SBAS가 한반도 지역 서비스를 위해 5~7개의 기준국이 필요한 반면 Network RTK는 90~100개의 기준국이 필요하다. 즉 Network RTK는 시스템 구축 및 유지 비용이 SBAS 대비 약 15배 정도 많이 들게 된다. 본 논문에서는 기존 Network RTK의 문제점을 해결하기 위한 방법으로 대륙 급 광범위한 영역에서 실시간으로 cm급 초정밀 위치결정 서비스 제공이 가능한 Compact Wide-Area RTK 라는 새로운 개념의 광역보강항법시스템 아키텍처를 제안하였다. Compact Wide-Area RTK는 약 200~1,000 km 간격으로 넓게 분포된 기준국 네트워크를 활용하여 반송파 위상 기반의 정밀한 위성 궤도 보정정보, 위성 Code/Phase 시계 보정정보, 대류층 보정정보를 생성하는 시스템이다. 기존 스칼라 형태의 Network RTK 보정정보 대신 오차 요소 별 벡터 형태의 정밀 보정정보를 생성함으로써 데이터 량을 획기적으로 절감하고 서비스 영역을 확장할 수 있다. 최종적으로 SBAS와 마찬가지로 250 bps의 저속 통신 링크를 가진 정지궤도위성을 통해 광역으로 보정정보 방송이 가능하다. 본 논문에서는 3가지 보정정보 중 위성 Code/Phase 시계 보정정보와 대류층 보정정보 생성을 위한 핵심 알고리즘에 대해 중점적으로 연구하였다. 반송파 위상 기반의 정밀 보정정보 생성을 위해서는 먼저 미지정수를 정확하게 결정해야 한다. 본 논문에서는 삼중 주파수 반송파 위상 측정치의 무-전리층 조합을 활용하여 전리층 보정정보 없이도 정확하게 미지정수 결정 가능한 새로운 방법을 제안하였다. 위성 Code/Phase 시계 보정정보는 통신 지연 및 고장 시 우수하고 강건한 성능을 위해 다중 기준국의 모든 측정치를 활용하여 추정된다. 이 때 각 기준국 별 서로 다른 미지정수 때문에 발생하는 문제는 앞서 정확하게 결정된 기준국 간 이중차분 된 미지정수를 활용하여 수준을 조정하는 과정을 통해 해결이 가능하다. 그 결과 생성된 위성 Code/Phase 보정정보 메시지의 크기, 변화율, 잡음 수준이 크게 개선되었고, 통신 지연 시 오차 보상 성능이 기존 RTK 프로토콜 보다 99% 향상 됨을 확인하였다. 대류층 보정정보는 적은 수의 기준국 만을 활용하여 정확하게 대류층을 모델링하기 위해 자동 기상관측시스템으로부터 수집한 기상 정보를 추가로 활용하여 생성된다. 본 논문에서는 GNSS 기준국 네트워크로부터 정밀하게 추정된 반송파 위상 기반 수직 대류층 지연과 기상정보 기반으로 모델링 된 수직 대류층 지연을 함께 활용할 수 있는 새로운 알고리즘을 제안하였다. 구면조화함수를 사용하여 Network RTK 및 PPP-RTK 보다 필요한 메시지 양과 기준국 수를 크게 감소시키면서도 RMS 2 cm 수준으로 정확한 보정정보 생성이 가능함을 확인하였다. 본 논문에서 제안한 Compact Wide-Area RTK 시스템의 항법 성능을 검증하기 위해 미국 동부 지역 6개 기준국의 실측 GPS 데이터를 활용하여 테스트를 수행하였다. 그 결과 제안한 시스템은 미지정수 결정 이후 사용자의 95% 수평 위치 오차 1.9 cm, 95% 수직 위치 오차 7.0 cm 로 위치를 정확하게 결정하였다. 사용자 미지정수 결정 성능은 대류층 안정 상태에서 약 2분 내로 100% 의 성공률을 가진다. 본 논문에서 제안한 시스템이 향후 한국형 위성항법 시스템(KPS, Korean Positioning System)의 전국 단위 센티미터 급 서비스를 위한 알고리즘으로 활용되기를 기대한다.CHAPTER 1. Introduction 1 1.1 Motivation and Purpose 1 1.2 Former Research 4 1.3 Outline of the Dissertation 7 1.4 Contributions 8 CHAPTER 2. Overview of GNSS Augmentation System 11 2.1 GNSS Measurements 11 2.2 GNSS Error Sources 14 2.2.1 Traditional GNSS Error Sources 14 2.2.2 Special GNSS Error Sources 21 2.2.3 Summary 28 2.3 GNSS Augmentation System 29 2.3.1 Satellite-Based Augmentation System (SBAS) 29 2.3.2 Real-Time Kinematic (RTK) 32 2.3.3 Precise Point Positioning (PPP) 36 2.3.4 Summary 40 CHAPTER 3. Compact Wide-Area RTK System Architecture 43 3.1 Compact Wide-Area RTK Architecture 43 3.1.1 WARTK Reference Station (WRS) 48 3.1.2 WARTK Processing Facility (WPF) 51 3.1.3 WARTK User 58 3.2 Ambiguity Resolution and Validation Algorithms of Compact Wide-Area RTK System 59 3.2.1 Basic Theory of Ambiguity Resolution and Validation 60 3.2.2 A New Ambiguity Resolution Algorithms for Multi-Frequency Signals 65 3.2.3 Extra-Wide-Lane (EWL) Ambiguity Resolution 69 3.2.4 Wide-Lane (WL) Ambiguity Resolution 71 3.2.5 Narrow-Lane (NL) Ambiguity Resolution 78 3.3 Compact Wide-Area RTK Corrections 83 3.3.1 Satellite Orbit Corrections 86 3.3.2 Satellite Code/Phase Clock (CPC) Corrections 88 3.3.3 Tropospheric Corrections 89 3.3.4 Message Design for GEO Broadcasting 90 CHAPTER 4. Code/Phase Clock (CPC) Correction Generation Algorithm 93 4.1 Former Research of RTK Correction Protocol 93 4.1.1 Observation Based RTK Data Protocol 93 4.1.2 Correction Based RTK Data Protocol 95 4.1.3 Compact RTK Protocol 96 4.2 Satellite CPC Correction Generation Algorithm 100 4.2.1 Temporal Decorrelation Error Reduced Methods 102 4.2.2 Ambiguity Level Adjustment 105 4.2.3 Receiver Clock Synchronization 107 4.2.4 Averaging Filter of Satellite CPC Correction 108 4.2.5 Ambiguity Re-Initialization and Message Generation 109 4.3 Correction Performance Analysis Results 111 4.3.1 Feasibility Test Environments 111 4.3.2 Comparison of RTK Correction Protocol 113 4.3.3 Latency Compensation Performance Analysis 116 4.3.4 Message Data Bandwidth Analysis 119 CHAPTER 5. Tropospheric Correction Generation Algorithm 123 5.1 Former Research of Tropospheric Correction 123 5.1.1 Tropospheric Corrections for SBAS 124 5.1.2 Tropospheric Corrections of Network RTK 126 5.1.3 Tropospheric Corrections of PPP-RTK 130 5.2 Tropospheric Correction Generation Algorithm 136 5.2.1 ZWD Estimation Using Carrier-Phase Observations 138 5.2.2 ZWD Measurements Using Weather Data 142 5.2.3 Correction Generation Using Spherical Harmonics 149 5.2.4 Correction Applying Method for User 157 5.3 Correction Performance Analysis Results 159 5.3.1 Feasibility Test Environments 159 5.3.2 Zenith Correction Domain Analysis 161 5.3.3 Message Data Bandwidth Analysis 168 CHAPTER 6. Compact Wide-Area RTK User Test Results 169 6.1 Compact Wide-Area RTK User Process 169 6.2 User Performance Test Results 173 6.2.1 Feasibility Test Environments 173 6.2.2 User Range Domain Analysis 176 6.2.3 User Ambiguity Domain Analysis 182 6.2.4 User Position Domain Analysis 184 CHAPTER 7. Conclusions 189 Bibliography 193 초 록 207Docto

사회간접자본(SOC)투자 평가모형의 개발 및 응용(2단계)(Development and Application of an Evaluation Model for Infrastructure Investment (Phase 2))

노트 : 이 연구보고서의 내용은 국토연구원의 자체 연구물로서 정부의 정책이나 견해와는 상관없습니다

Conditioned Medium of Human Pluripotent Stem Cell-Derived Neural Precursor Cells Exerts Neurorestorative Effects against Ischemic Stroke Model

Previous studies have shown that early therapeutic events of neural precursor cells (NPCs) transplantation to animals with acute ischemic stroke readily protected neuronal cell damage and improved behavioral recovery through paracrine mechanisms. In this study, we tested the hypothesis that administration of conditioned medium from NPCs (NPC-CMs) could recapitulate the beneficial effects of cell transplantation. Rats with permanent middle cerebral artery occlusion (pMCAO) were randomly assigned to one of the following groups: PBS control, Vehicle (medium) controls, single (NPC-CM(S)) or multiple injections of NPC-CM(NPC-CM(M)) groups. A single intravenous injection of NPC-CM exhibited strong neuroregenerative potential to induce behavioral recovery, and multiple injections enhanced this activity further by suppressing inflammatory damage and inducing endogenous neurogenesis leading to histopathological and functional recovery. Proteome analysis of NPC-CM identified a number of proteins that are known to be associated with nervous system development, neurogenesis, and angiogenesis. In addition, transcriptome analysis revealed the importance of the inflammatory response during stroke recovery and some of the key hub genes in the interaction network were validated. Thus, our findings demonstrated that NPC-CM promoted functional recovery and reduced cerebral infarct and inflammation with enhanced endogenous neurogenesis, and the results highlighted the potency of NPC-CM in stroke therapy.ope

Multipotent Neural Stem Cells from the Adult Tegmentum with Dopaminergic Potential Develop Essential Properties of FunctionalNeurons

Neurogenesis in the adult brain occurs within the two principal neurogenic regions: the hippocampus and the subventricular zone of the lateral ventricles. The occurrence of adult neurogenesis in non-neurogenic regions, including the midbrain, remains controversial, but isolation of neural stem cells (NSCs) from several parts of the adult brain, including the substantia nigra, has been reported. Nevertheless, it is unclear whether adult NSCs do have the capacity to produce functional dopaminergic neurons, the cell type lost in Parkinson's disease. Here, we describe the isolation, expansion, and in vitro characterization of adult mouse tegmental NSCs (tNSCs) and their differentiation into functional nerve cells, including dopaminergic neurons. These tNSCs showed neurosphere formation and expressed high levels of early neuroectodermal markers, such as the proneural genes NeuroD1, Neurog2, and Olig2, the NSC markers Nestin and Musashi1, and the proliferation markers Ki67 and BrdU (5-bromo-2-deoxyuridine). The cells showed typical propidium iodide–fluorescence-activated cell sorting analysis of slowly dividing cells. In the presence of selected growth factors, tNSCs differentiated into astroglia, oligodendroglia, and neurons expressing markers for cholinergic, GABAergic, and glutamatergic cells. Electrophysiological analyses revealed functional properties of mature nerve cells, such as tetrodotoxin-sensitive sodium channels, action potentials, as well as currents induced by GABA (γ-aminobutyric acid), glutamate, and NMDA (N-methyl-d-aspartate). Clonal analysis demonstrated that individual NSCs retain the capacity to generate both glia and neurons. After a multistep differentiation protocol using co-culture conditions with PA6 stromal cells, a small number of cells acquired morphological and functional properties of dopaminergic neurons in culture. Here, we demonstrate the existence of adult tNSCs with functional neurogenic and dopaminergic potential, a prerequisite for future endogenous cell replacement strategies in Parkinson's disease.ope

Generation of Brachyury-mCherry knock-in reporter human pluripotent stem cell line (SNUe003-A-2) using CRISPR/CAS9 nuclease

Brachyury is an embryonic nuclear transcription factor required for mesoderm formation and differentiation. Here, we introduced an mCherry reporter into the C-terminus of Brachyury in the human pluripotent stem cell line SNUhES3 using the CRISPR/Cas9 nuclease approach. Successful gene editing was verified by DNA sequencing. SNUhES3-Brachyury-mCherry cells expressed pluripotent stem cell markers, exhibited a normal karyotype, and could generate all three germ layers. This cell line expressed the red fluorescence protein mCherry upon the induction of mesoderm differentiation. This reporter cell line could be used to monitor mesodermal population enrichment during mesodermal differentiation.ope

Review of Shielding Evaluation Methodology for Facilities Using kV Energy Radiation Generating Devices Based on the NCRP-49 Report

In this study, we have investigated the shielding evaluation methodology for facilities using kV energy generators. We have collected and analysis of safety evaluation criteria and methodology for overseas facilities using radiation generators. And we investigated the current status of shielding evaluation of domestic industrial radiation generators. According to the statistical data from the Radiation Safety Information System, as of 2022, a total of 7,679 organizations are using radiation generating devices. Among them, 6,299 facilities use these devices for industrial purposes, which accounts for a considerable portion of radiation. The organizations that use these devices evaluate whether the exposure dose for workers and frequent visitors is suitable as per the limit regulated by the Nuclear Safety Act. Moreover, during this process, the safety shields are evaluated at the facilities that use the radiation generating devices. However, the facilities that use radiating devices having energy less than or equal to 6 MV for industrial purposes are still mostly evaluated and analyzed according to the National Council on Radiation Protection and Measurements 49 (NCRP 49) report published in 1976. We have investigated the technical standards of safety management, including the maximum permissible dose and parameters assessment criteria for facilities using radiation generating devices, based on the NCRP 49 and the American National Standards Institute/Health Physics Society N.43.3 reports, which are the representative reports related to radiation shielding management cases overseas.ope

Therapeutic effects of umbilical cord blood plasma in a rat model of acute ischemic stroke

Umbilical cord blood plasma (UCB-PL) contains various cytokines, growth factors, and immune modulatory factors that regulate the proliferation and function of immune cells and adult stem cells. Despite its therapeutic potential, the effects of UCB-PL treatment in conditions of ischemic brain injury have yet to be investigated. In this study, we demonstrated that both behavioral and structural impairments resulting from ischemic brain injury were significantly prevented/reversed after intravenous administration of UCB-PL relative to the vehicle control. As early as 1-week post-ischemia, an increased number of newborn cells in the subventricular zone and a reduced number of activated microglial cells in the peri-infarct area were observed in the UCB-PL group, suggesting that enhanced neurogenesis and/or the suppression of inflammation may have contributed to functional protection/recovery. Moreover, UCB-PL was more effective than plasma derived from a 65-year-old healthy adult for the treatment of ischemia-related structural and functional deficits, indicating that UCB-PL had greater therapeutic potential. This study provides valuable insights into the development of a safe, effective, and cell-free strategy for the treatment of ischemic brain damage and a much-needed alternative for patients who are ineligible for thrombolytic therapy.ope

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Solitary lymphomatoid granulomatosis at the maxilla

Lymphomatoid granulomatosis (LYG) is an uncommon Epstein-Barr virus (EBV)-associated B-cell lymphoproliferative disorder distinct from lymphoma. LYG primarily occurs in the lung with or without accompanied lesions in the skin, central nervous system, kidney, gastrointestinal tract, nose, eyes, liver and oral cavity. Solitary extrapulmonary LYG is extremely rare, and whether solitary lesions progress onto pulmonary development and dysfunction is controversial. Herein, we report a case on a solitary LYG in the maxilla gingiva with bone exposure in a patient who had been taking methotrexate for rheumatoid arthritis.ope