In unfrictionless markets, one measure of asset pricing is its height of friction. This study develops a three-factor model by loosening the assumptions about stocks without friction, without risk, and perfectly liquid. Friction is used as an indicator of transaction costs to be included in the model as a variable that will reduce individual profits. This approach is used to estimate return, beta and other variable for firms listed on the Indonesian Stock Exchange (IDX). To test the efficacy of friction-adjusted three-factor model, we use intraday data from July 2016 to October 2018. The sample includes all listed firms; intraday data chosen purposively from regular market are sorted by capitalization, which represents each tick size from the biggest to smallest. We run 3,065,835 intraday data of asking price, bid price, and trading price to get proportional quoted half-spread and proportional effective half-spread. We find evidence of adjusted friction on the three-factor model. High/low trading friction will cause a significant/insignificant return difference before and after adjustment. The difference in average beta that reflects market risk is able to explain the existence of trading friction, while the difference between SMB and HML in all observation periods cannot explain returns and the existence of trading friction.

In financial economics studies, the autoregressive model has been a workhorse for a long time. However, the model has a fixed value on every parameter and requires the stationarity assumptions. Time-varying coefficient autoregressive model that we use in this paper offers some desirable benefits over the traditional model such as the parameters are allowed to be varied over-time and can be applies to nonstationary financial data. This paper provides the Monte Carlo simulation studies which show that the model can capture the dynamic movement of parameters very well, even though, there are some sudden changes or jumps. For the daily data from January 1, 2015 to February 12, 2020, our paper provides the empirical studies that Thailand, Taiwan and Tokyo Stock market Index can be explained very well by the time-varying coefficient autoregressive model with lag order one while South Korea’s stock index can be explained by the model with lag order three. We show that the model can unveil the non-linear shape of the estimated mean. We employ GJR-GARCH in the condition variance equation and found the evidences that the negative shocks have more impact on market’s volatility than the positive shock in the case of South Korea and Tokyo.

This study examines the nonlinear relationship between financial development and economic growth in Pakistan using the threshold regression model for the period 1980-2017. We also employed quantile regression with 0.25, 0.50, and 0.75 quantiles of conditional distribution. The quantile regression is based on minimizing of sum of squared residuals. The result indicates that economic growth responds positively to financial development when the level of financial development surpasses the threshold value of 0.151. However, when financial development lies below the threshold value (that is, 0.151), its impact on economic growth is negative. Thus, when financial development of Pakistan surpasses the threshold level, it contributes more towards economic growth since greater level of financial development contributes more to boosts economic growth. This finding reveals that economic growth reacts differently to financial development, and the relationship between financial development and economic growth is U-shaped in Pakistan. Among the other variables, physical capital, labor force, and government expenditure exert a positive effect on economic growth. Furthermore, inflation rate and trade openness have an insignificant impact on economic growth. The results of quantile regression also confirm the non-linear relationship between financial development and economic growth in Pakistan. The finding of this study suggests revamping of financial sector policies in Pakistan.

Purpose – The study aims to substantiate the approaches and principles of forming a model of social and labor relations adequate to the modern conditions of economic development. Research design, data, and methodology - The article deals with the issues of legal regulation of social and labor relations in the labor market of Kazakhstan; describes the current model of labor relations and its basic parameters; determines the external and internal factors; specifically, the influence of the new labor law on its further development in the direction of democratization and the establishment of social partnership as a regulatory institution in the labor relations field. Result - Result is the model of the system of social and labor relations proposed by the author, which allows us to cover the multifaceted nature of this phenomenon, to unite the influence of the external environment and the internal complex of their mutual relations and interdependencies. Conclusion - The creation of an effective model of social and labor relations should proceed from the multifaceted nature of their manifestation. This means that the theoretical and methodological basis for their formation should be a comprehensive approach to solving the problems of transformation and interaction of social and economic components.

This paper suggests a new observation model for Extended Kalman Filter based Simultaneous Localization and Mapping (EKF-SLAM). Since the EKF framework linearizes non-linear functions around the current estimate, the conventional line model has large linearization errors when a mobile robot locates faraway from its initial position. On the other hand, the model that we propose yields less linearization error with respect to the landmark position and thus suitable in a large-scale environment. To achieve it, we build up a three-dimensional space by adding a virtual axis to the robot’s two-dimensional coordinate system and extract a plane by using a detected line on the two-dimensional space and the virtual axis. Since Jacobian matrix with respect to the landmark position has small value, we can estimate the position of landmarks better than the conventional line model. The simulation results verify that the new model yields less linearization errors than the conventional line model.

직접적인 매개변수 추정방법의 다양한 Neyman-Scott 구형펄스모형(NSRPM) 기반 모형에 대한 적용성 검토와 정규분포를 이용한 새로운 NSRPM(NMNSRPM)의 개발 연구를 수행하였다. 기상청 서울 유인관측소에서 제공하는 49년의 관측 강수자료를 사용하여 매개변수를 추정하였으며, 추정된 매개변수들의 정확도를 판단하고자 생성된 강수자료의 통계값, 유강수일 비율, 강수분포를 비교하였다. 통계값을 비교해본 결과 NSRPM과 수정 NSRPM(MNSRP

This paper presents a new shape-based algorithm using affine category shape model for object category recognition and model learning. Affine category shape model is a graph of interconnected nodes whose geometric interactions are modeled using pairwise potentials. In its learning phase, it can efficiently handle large pose variations of objects in training images by estimating 2-D homography transformation between the model and the training images. Since the pairwise potentials are defined on only relative geometric relationship between features, the proposed matching algorithm is translation and in-plane rotation invariant and robust to affine transformation. We apply spectral matching algorithm to find feature correspondences, which are then used as initial correspondences for RANSAC algorithm. The 2-D homography transformation and the inlier correspondences which are consistent with this estimate can be efficiently estimated through RANSAC, and new correspondences also can be detected by using the estimated 2-D homography transformation. Experimental results on object category database show that the proposed algorithm is robust to pose variation of objects and provides good recognition performance.

수위-유량관계식의 유도와 실무적용에 있어 통상적으로 회귀분석의 특성을 간과하고 사용하는 경우가 종종 발생한다. 예를 들어 실무에서는 관측수위로부터 관측유량으로 회귀분석되어 만들어진 수위-유량관계식을 홍수모형으로부터 모의된 설계홍수유출량으로부터 설계홍수위를 환산하는데 사용되기도 한다. 그러나 독립과 종속변수가 서로 바뀌면, 관측치와 회귀식간 연직거리의 잔차들로부터 유도된 기존의 회귀분석에 의하여, 회귀식이 서로 달라지기 때문에 역으로 적용하여서는 안 된다

In this paper, we propose a new ship scheduling set packing model considering limited risk or variance. The set packing model is used in many applications, such as vehicle routing, crew scheduling, ship scheduling, cutting stock and so on. As long as the ship scheduling is concerned, there exits many unknown external factors such as machine breakdown, climate change and transportation cost fluctuation. However, existing ship scheduling models have not considered those factors apparently. We use a quadratic set packing model to limit the variance of expected cost of ship scheduling problems under stochastic spot rates. Set problems are NP-complete, and additional quadratic constraint makes the problems much harder. We implement Kelley's cutting plane method to replace the hard quadratic constraint by many linear constrains and use branch-and-bound algorithm to get the optimal integral solution. Some meaningful computational results and comments are provided.

본 연구는 Moussa(2003)에 의하여 개발된 등가타원을 기반으로 한 신집수형상디스크립터에 대한 소개 및 수문학적 적용성 평가를 목적으로 한다. 두 디스크립터 a+b, a+b+과 지체시간 사이의 상관성 분석이 수행되었고 이를 Nash 모형 매개변수들의 대표치 산정에 적용하였다. 본 연구의 실용성을 조사하기 위하여 한강 수계의 평창강 유역, 금강 수계의 보청천 유역 그리고 낙동강 수계의 위천 유역들에 각각 이 디스크립터특이 적용되었다. 그 결과, 두

일반적으로 메타센터높이가 작은 선박이나 고속선의 경우에는 조종운동 시 큰 횡동요각을 유발하는 것으로 알려져 있다. 이러한 선박의 조종성능 예측 시에는 조종운동에 횡동요의 영향을 고려해야만 보다 정확한 결과를 얻을 수가 있다 즉, 조종운동을 다루는 전후동요, 좌우동요, 선수동요에 횡동요를 포함시키는 4자유도 운동방정식이 요구된다. 본 연구에서는 지금까지 여러 연구자들에 의해 제안되어 있는 4자유도 조종운동 수학모델을 검토 분석하고, 이들 실험자료를 재정리하여 보다 간결하고 실용적인 새로운 수학모델을 제안한다. 아울러 기존의 복잡한 수학모델과 새로운 수차모델에 의한 조종운동 시뮬레이션을 각각 수행하고 그 결과를 비교 검토하여 본 연구에서 제안한 수학모델의 유용성을 검증한다.

담배의 품종과 재배형별 주당 건물중의 경시적 변화를 보다 더 정밀하게 표현할 수 있는 생장곡선방정식을 수식화하기 위하여 3가지의 생장모형을 만들어서 그 타당성을 분석한 결과는 다음과 같다. 1. 담배의 건물중에 가장 적합한 생장곡선은 C형이며 이 생장곡선은Y = A + (1-4AK+1)/2이다. 2. 이 곡선은 이식후 35-55일의 편차가 Logistic curve보다 더 작으며 정밀하다.