Optimal Pairs Trading Strategy under Geometric Brownian Motion and its Application to the US stocks

This study is a study on pair trading, a representative market-neutral investment strategy. A general pair trading strategy uses econometric techniques to select a pair of stocks and calculates the trading price level depending on a single variable called the variance of stock returns without any theoretical background. This study applies the optimal pair trading strategy proposed by Liu et al. (2020) to the top US market cap stocks and examines its performance. This strategy proposes a mathematical background for optimally calculating the trading price level. Since the statistical method for pair selection can be omitted, a pair can be formed only with good stocks with guaranteed liquidity. In addition, strategic risk management is possible because the stop loss set according to the market situation is performed. As the top 10 market cap stocks traded on the US exchange, daily closing price data for 10 years from 2011 to 2020 were applied to optimal pair trading. It was confirmed that the rate of return may differ depending on the adjustment of various parameters including the level of stop loss. In this study, an applicated strategy that properly managed pairs trading and stocks together earned the minimum annual average return 17.88% and the Sharpe ratio reached 1.81. These numbers can be better with the adjustment of the parameters

Granger causality of Carbon allowances and Carbon offsets in the Korean carbon market.

In the Korean carbon market system, KAU is the most representative Carbon allowance, and KOC is an external project allowance that can be exchanged for offset allowance. In the carbon market, these two are traded at 1KAU = 1KOC, but the values of the two products do not match due to various factors. In this study, the stability of the two prices was tested and the cointegration relationship was investigated. While measuring the Granger causality of the two variables, it was found that there was a change in the causality of the two variables in the first and second transition periods of the Korean carbon market. This appears to be due to the difference between the first and second operating periods for the upper limit of the use of offsetting allowances for proof of compliance

Time delay induces a back to back Hopf bifurcation on oncolytic virotherapy.

This study analyzes a basic mathematical model for the dynamic interactions among tumor cells, infected tumor cells and viruses population, focusing on the viral lytic cycle for oncolytic virotherapy. I study the time delay effect of viral infection on tumor cell populations by identifying bifurcation thresholds in both the burst rate and time delay of viral infection in oncolytic virus therapy. Time delay plays an important role in changing the structure of tumor cell populations in a dynamical system. The multi-bifurcation thresholds of the time delay are observed and also dependent on the bursting rate. This study demonstrates a strong relationship between viral burst rates and time delays in population dynamics. The results of this study show that time delay affects oscillation generation and results in back-to-back Hopf bifurcation. This study provides insight into understanding the relationship between the two control parameters, in which tumor cell populations pattern from equilibrium steady-state solutions to periodic solutions and from periodic solutions to equilibrium-state solutions

Population Dynamics in Diffusive Coupled Insect Population

A variety of ecological models exhibit chaotic dynamics because of nonlinearities in population growth and interactions. Here, we will study the LPA model (beetle Tribolium). The LPA model is known to exhibit chaos. In this project, we investigate two things which are the effect of noise constant and the effect of diffusion combined with the LPA model. The effect of noise is not only to change the dynamics of total population density but also to blur the bifurcation diagram. Numerical simulations of the model have shown that diffusion can drive the total population of insects into complex patterns of variability in time. We will compare these simulations with simulations without diffusion. And we conclude that the diffusion coefficient is a bifurcation parameter and that there exist parameter regions with chaotic behavior and periodic solutions. This study demonstrates how diffusion term can be used to influence the chaotic dynamics of an insect population

An Analysis of Offset Emission Permit Pricing Factors in the Korean Carbon Market

This study aims to empirically analyze the long-run and short-run equilibrium relationship between the price of Korea Offset Unit (KOC) listed and traded on the Korean Exchange since May 2016, and the variables affecting it, such as Korea Allowance Unit (KAU) price, oil, electricity, economic survey prospect index of the general manufacturing business, heating index and cooling index. In general, research on emission permit prices is conducted on the demand side and the supply side. This study analyzes the relationship in the demand side, and weekly time series data for about 6 years from the end of May 2016 were used with the ARDL model. As a result of the empirical analysis, KOC showed a positive correlation between KAU and oil price, and showed a negative correlation with the prospect of Business Survey Index in the long run. In the short term, KAU, oil price, and electricity price showed a positive correlation, and the prospect of Business Survey Index showed a negative correlation

Joseon mummies before mummy studies began in Korea

Mummy studies in Korea are instrumental in reconstructing the health and disease status of pre-modern Joseon peoples using firm scientific evidence. However, this scientific approach to such investigations in Korea is a relatively new discipline which began only within the last decade. Previous studies on Joseon tombs and their contents were performed exclusively by dress historians because most of the artefacts recoverable from Joseon tombs were textiles. In this report, we examine some of the excavation records left by dress historians in order to elucidate the approximate number and preservation status of Korean mummies discovered prior to the advent of their scientific investigation

A Study on the Causal Relationship between Spot Price and Futures Price of Crude Oil and Agricultural Products

This paper studies the relationship between the agricultural, energy, and derivatives markets. This study empirically analyzes how the results of previous studies on the Granger causality between oil price and the spot price of agricultural products appear in the futures market by using the Toda and Yamamoto (1995)’ causality test. There are two main findings. First, 7 bidirectional causalities and 27 causalities between oil and 6 agricultural products are found, providing strong evidence of a causal relationship. Second, causality is found between oil prices and grain and oilseed type agricultural products, and the spot price of oil has relatively more causalities on agricultural product prices than the futures price of oil. Lastly, testing each period shows that a financial crisis can strengthen the relationship between the agriculture markets and the energy market