Level Shifts and Long-term Memory in Stock Distribution Markets 주식유통시장의 층위이동과 장기기억과정

정진택 한국유통과학회 2016 유통과학연구 Vol.14 No.1

Purpose – The purpose of paper is studying the static and dynamic side for long-term memory storage properties, and increase the explanatory power regarding the long-term memory process by looking at the long-term storage attributes, Korea Composite Stock Price Index. The reason for the use of GPH statistic is to derive the modified statistic Korea's stock market, and to research a process of long-term memory. Research design, data, and methodology – Level shifts were subjected to be an empirical analysis by applying the GPH method. It has been modified by taking into account the daily log return of the Korea Composite Stock Price Index a. The Data, used for the stock market to analyze whether deciding the action by the long-term memory process, yield daily stock price index of the Korea Composite Stock Price Index and the rate of return a log. The studies were proceeded with long-term memory and long-term semiparametric method in deriving the long-term memory estimators. Chapter 2 examines the leading research, and Chapter 3 describes the long-term memory processes and estimation methods. GPH statistics induced modifications of statistics and discussed Whittle statistic. Chapter 4 used Korea Composite Stock Price Index to estimate the long-term memory process parameters. Chapter 6 presents the conclusions and implications. Results – If the price of the time series is generated by the abnormal process, it may be located in long-term memory by a time series. However, test results by price fixed GPH method is not followed by long-term memory process or fractional differential process. In the case of the time-series level shift, the present test method for a long-term memory processes has a considerable amount of bias, and there exists a structural change in the stock distribution market. This structural change has implications in level shift. Stratum level shift assays are not considered as shifted strata. They exist distinctly in the stock secondary market as bias, and are presented in the test statistic of non-long-term memory process. It also generates an error as a long-term memory that could lead to false results. Conclusions – Changes in long-term memory characteristics associated with level shift present the following two suggestions. One, if any impact outside is flowed for a long period of time, we can know that the long-term memory processes have characteristic of the average return gradually. When the investor makes an investment, the same reasoning applies to him in the light of the characteristics of the long-term memory. It is suggested that when investors make decisions on investment, it is necessary to consider the characters of the long-term storage in reference with causing investors to increase the uncertainty and potential. The other one is the thing which must be considered variously according to time-series. The research for price-earnings ratio and investment risk should be composed of the long-term memory characters, and it would have more predictability.

중국 주식시장 수익률과 변동성의 장기기억 특성과 동시적 집계문제

강주화 ( Zhuhua Jiang ),윤성민 ( Seong Min Yoon ) 아시아.유럽미래학회 2015 유라시아연구 Vol.12 No.2

Whether the long-memory property is inherent in the movement of the stock market returns and volatility (risk) time series is known as a very important issue practically or theoretically regard to the efficiency of the stock market. The efficient market hypothesis describes that the information obtained from past statistics can not be used to predict the future stock price. This is because when generating the information that may affect the price of the stock reflects this value of the information on the price quickly and enough. Since the future information is unknown, the future stock price will not be predictable if the stock market is efficient. However, if the long-memory property exists in the stock market returns and volatility time series, it could predict a certain portion of the future returns and risks by using past data. This predictability means the assumption of classical investment theory, that the stock market is efficient, may not be proper. Thus, the existence of long-memory property has been addressed as an important research topic by the financial investment researchers and stock market investors. By using the stock prices of 50 stocks representing the Chinese stock market and their weighted average statistical index - SSE 50 Index, this study analyzes whether the long-memory property is inherent in Chinese stock market price movement as well as explains whether the existence of long-memory property is spurious result of the contemporaneous aggregation. The Chinese stock market is extremely proper market to perform the research related to the long-memory property because it is large and highly dynamic market. Using the returns and volatility of daily closing price (i.e. the absolute value of returns and its squared value) from January 2, 2004 to December 10, 2014 to conduct the Lo’s modified (R/S) analysis and the Geweke-Porter-Hudak (GPH) test. The main results of the empirical analysis from this study are as follows. First, although SSE 50 Index return series has long-memory property, there are not many evidences for its 50 constituent company stock prices. This means that predicting the return series for SSE 50 Index is relatively easier than individual stock prices. Second, in the case of volatility, both of the SSE 50 Index and its 50 individual stock prices have the presence of a long-memory property. Third, most of the 50 individual stock prices in Chinese market have the long-memory property. These are the unique properties inherent in the stock market time series instead of causing by the spurious consequence of a contemporaneous aggregation bias. Fourth, volatility has the stronger presence of a long-memory property than returns. This means that predicting the risk is relatively easier than returns due to volatility clustering. Based on the overall statistical test results, volatility has the stronger presence of a long-memory property than returns. The long-memory property exists in the Chinese stock market and this is the unique property inherent in the stock market time series instead of causing by the spurious consequence of a contemporaneous aggregation bias. These analytical findings indicate that the Chinese stock market is not fully efficient due to the existence of the long-memory property. The reasons that Chinese stock market is not efficient enough are that many Chinese investors have the speculative purposes and market information is not delivered transparently and quickly. Because of these characteristics, global investors will have room to reduce the risk and increase profits by leveraging long-memory properties in the Chinese stock market. In addition, considering long-memory properties to predict volatility will be more efficient for risk management. However, policy- makers may need further work in order to increase the efficiency of the stock market, the information that can affect the market should be quickly released and the solution should be prepared that the value of the information can be fully reflected in the stock price. Since those efforts will be made for the globalization of the Chinese stock market, we can predict the efficiency of China’s stock market will be increased in the future. This suggests that to obtain excess returns in the stock market in China will be more difficult.

장기기억 속성을 이용한 주가 변동성 예측에 관한 연구

박재곤 ( Jae Gon Park ),이필상 ( Phil Sang Lee ) 한국금융학회 2009 금융연구 Vol.23 No.4

본 논문에서는 장기기억 속성을 이용하여 우리나라 주가 변동성을 예측하고 예측성과를 비교한다. 이를 위해 GARCH 모형과 EGARCH 모형에 분수적분 과정을 도입한 FIGARCH 모형과 FIEGARCH 모형을 이용하여 표본 외 기간을 예측하고, 이들 모형의 예측성과가 단기기억 변동성 모형(GARCH 모형)의 예측성과에 비해 우월한지를 비교한다. 분석 결과 우리나라 주가 변동성에 대해 다음과 같은 사실을 발견하였다. 첫째, 주가에서는 장기기억 속성이 나타나지 않은 것과는 달리 주가 변동성에서는 장기기억 속성이 뚜렷하게 나타났다. 둘째, FIGARCH(1, d, 0) 모형과 FIEGARCH(1, d, 0) 모형의 예측성과가 GARCH(1, 1) 모형의 예측성과에 비해 우월한 것으로 나타났다. 그리고 장기기억 변동성 모형의 상대적 예측성과는 예측기간이 길 때 더 우월한 것으로 나타났다. 본 연구의 결과 장기기억 속성을 이용한 변동성 모형은 예측의 정확도를 높일 수 있는 것으로 나타나, 파생상품의 가격결정이나 VaR 측정 등 위험관리에 유용하게 사용될 수 있을 것으로 기대된다. This paper investigates the long-memory property in estimating and forecasting Korean stock market return volatility. Volatility is a central role in derivative pricing, portfolio allocation, risk management, and performance evaluation of funds. In consequence, there has been much research on estimating and forecasting return volatility. Little has been studied about forecasting return volatility, however, by exploiting the long-persistent property in Korean stock market. In this paper, we estimate and forecast return volatility by employing the long-memory property. For this purpose, we use the Fractionally Integrated GARCH and Fractionally Integrated EGARCH models. The estimation results and forecasting performance of the long-memory volatility models are compared with those obtained from the short-memory volatility model such as GARCH model. Many studies suggest that the conditional volatility of stock returns follows a long-memory process; shock dissipates at a slow hyperbolic rate. This type of persistence cannot be appropriately modeled by standard GARCH type models. In this aspect, the long-memory volatility models are needed to explain the high-persistent volatility. Baillie et al. (1996) and Bollerslev and Mikkelsen (1996) suggest the FIGARCH and FIEGARCH models which introduced the high-persistent property in the standard GARCH and EGARCH models. Therefore, we used these long-memory volatility models in forecasting Korean stock market return volatility. We identified some key findings from the results. First, the auto- correlations for the absolute and squared returns decline at very slow rate which suggest that there is a long-memory property in Korean stock return volatility. Second, it is difficult to say that there is a high-persistent property in the level of stock returns. However, the return volatility follows a long-memory process. The estimated values of long-memory parameters, d of FIGARCH (1, d, 0) and d of FIEGARCH (1, d, 0) models, are 0.356 and 0.584, respectively, and are statistically significant at the 1% significance level. Third, we conducted out-of-sample one-step-ahead and ten-step- ahead forecasts using the FIGARCH (1, d, 0) and FIEGARCH (1, d, 0) models and compared the volatility forecasts of both fractionally integrated volatility models with those of the GARCH (1, 1) model as a benchmark. We found that the long-memory volatility models produce superior out-of-sample forecasts in terms of root mean squared error (RMSE), mean absolute error (MAE), and R2 of Mincer-Zarnowitz regression. In addition, relative forecasting performance of the ten day ahead forecasts is better than that of the one day ahead forecasts. These findings suggest that the long-range volatility models are useful tools in forecasting the volatility of asset returns as well as pricing derivatives and hedging risks. The results of this study also will facilitate to induce variance swaps and variance futures in the Korean financial market.

논문 : 장단기 시장이자율의 장기기억에 관한 연구

이창호 ( Chang Ho Lee ),김종선 ( Chong Sun Kim ) 명지대학교 금융지식연구소 2012 금융지식연구 Vol.10 No.3

본 연구의 ARFIMA(p,d,q) 모형을 이용한 실증분석 결과는 다음과 같다. 첫째로 자기상관계수의 추정결과, 단기금리인 콜금리의 장기기억현상은 존재하였으나, 장 기금리인 국고채3년 및 회사채3년 금리에는 단위근 현상이 존재함으로써 과거의 충격이 지속되는 것으로 분석되었다. 둘째로 단기금리의 경우, 콜금리의 장기기억현상이 존재하는 것으로 분석되었으며, 글로벌금융위기가 포함된 일별콜금리의 제2기의 장기기억현상이 글로벌금융위기 이전의 제1기의 장기기억현상보다 상대적으로 강하게 나타났다. 셋째로 장기금리의 경우, 국고채3년 및 회사채3년 금리에는 대체로 단위근현상이 나타나서 장기기억현상이 존재하지 않았다. The main object of this study is to analyse the long memory effect of long-term & short-term interest rates in the point of market efficiency. Accordingly, this study focuses on analysing the ARFIMA model which detect the long memory effect of long-term(3 years-corporate bond rate & 3 years-government bond rate) and short-term(call rate) interest rates. Some empirical results are summarized as follows ; Firstly, contrary to the case of long-term interest rate, a long memory of the short-term interest rate was found in terms of autocorrelation coefficients & partial autocorrelation coefficients. Secondly, the long memory of short-term interest rate was found, and the long memory effect of the first period(2000.1∼2008.6) was stronger than that of the second period(2008.7∼2012.10). Thirdly, the long memory of long-term interest rate was not found, and the results showed the unit root process. Therefore, the market efficiency hypothesis was rejected by these results in case of short-term interest & long-term interest in Korean financial market.

주식가격변화의 장기기억속성 존재 및 영향요인에 대한 실증연구

엄철준,오갑진,김승환,김태혁 한국재무관리학회 2007 財務管理硏究 Vol.24 No.3

This study aims at empirically verifying whether long memory properties exist in returns and volatility of the financial time series and then, empirically observing influential factors of long-memory properties. The presence of long memory properties in the financial time series is examined with the Hurst exponent. The Hurst exponent is measured by DFA(detrended fluctuation analysis). The empirical results are summarized as follows. First, the presence of significant long memory properties is not identified in return time series. But, in volatility time series, as the Hurst exponent has the high value on average, a strong presence of long memory properties is observed. Then, according to the results empirically confirming influential factors of long memory properties, as the Hurst exponent measured with volatility of residual returns filtered by GARCH(1,1) model reflecting properties of volatility clustering has the level of on average, long memory properties presented in the data before filtering are no longer observed. That is, we positively find out that the observed long memory properties are considerably due to volatility clustering effect.攀*Assistant professor, Division of Business Administration, Pusan National University 본 연구는 금융시계열자료의 특징적 속성을 관찰하고자 하는 연구시도의 일환으로, 실제자료 뿐만 아니라 이론자료를 이용하여 장기기억속성의 존재와 장기기억속성의 정도에 영향을 미칠 수 있는 가능한 요인을 수익률 및 변동성차원에서 체계적으로 검증하는 것이 목적이다. 검증결과의 견고함을 위하여, 이론자료 뿐만 아니라 24개국 주식시장의 지수자료, KOSPI 시장지수를 구성하는 430개 개별주식자료를 함께 사용하였다. 관찰된 검증결과를 요약정리하면 다음과 같다. 첫째, 이론자료와 실제자료를 이용하여 장기기억속성의 존재여부를 체계적으로 검증한 결과에 의하면, 분석자료에 관계없이 수익률차원에서는 장기기억속성의 존재를 확인할 수 있는 긍정적인 증거를 발견하지 못하였으나, 변동성차원에서는 강한 장기기억속성의 증거를 지지하는 증거를 발견할 수 있었다. 둘째, 관찰된 변동성의 장기기억속성 정도에 영향을 미칠 수 있는 가능한 요인으로는, 분석자료에 관계없이, 금융시계열자료에서 일반적으로 관찰되는 변동성 군집효과의 속성이 가능한 것으로 확인되었다.

한국 수출입 화물수송의 시계열 동태적 변화 - 구조적 변화 하에서의 장기기억 검정 -

송정석 한국물류학회 2024 물류학회지 Vol.34 No.3

수출입 화물수송은 교역의 크기를 나타내는 대표적 지표이며 그 중 해운 화물수송은 전체 수출입 화물수송 중 가장 큰 비중을차지한다. 본 연구는 한국의 해운 화물수송량의 동태적 추이를 장기기억의 반모수 검정 기법을 통해 살펴보고자 한다. 장기기억검정은 기존 접근에 비해 보다 정확하게 비정상 시계열 여부를 판별할 수 있으며, 본 연구는 이러한 장기기억의 반모수 검정을통해 한국 해운 화물수송량의 동태적 변화를 고찰하고자 한다. 또한, 보다 정확한 장기기억 검정을 위해 본 연구는 시계열 자료에구조적 변화가 존재할 가능성을 검정 기법에 반영한다. 본 연구는 해운 화물수송을 수출과 수입으로 분류하여 각각에 대해 장기기억 검정을 적용한다. 본 연구의 실증분석 결과에 따르면 총 수출 화물수송량과 총 수입 화물수송량의 구조적 변화 시점은 상이한반면, 장기기억 계수값은 유사하다. 본 연구에 제시된 장기기억 검정 결과에 따르면 총 수출 화물수송량과 총 수입 화물수송량 모두 전통적인 비정상 시계열에 비해 충격 지속성이 낮으며 충격 지속성은 수출과 수입에 있어서 유사한 것으로 나타났다. 한편, 자동차 부문의 수출 화물수송량은 수입 화물수송량에 비해 충격이 상대적으로 더 지속적인 것으로 나타났으며 전기기기 부문의 경우 수입 화물수송량의 충격이 수출 화물수송량의 충격에 비해 더 지속적인 것으로 나타났다. 본 연구의 실증분석 결과에 따르면전체 수출 품목의 화물수송량과 전체 수입 품목의 화물수송량의 동태적 변화는 구조적 변화를 통제했을 때 유사한 반면 자동차, 전기기기 등 주요 품목의 수출입 화물수송량은 구조적 변화를 감안한 후에도 수출과 수입 사이에 동태적 변화가 상이한 것으로나타났다. reight transport for exports and imports is a crucial indicator of trade volume. In particular, maritime freight transport accounts for the largest proportion of total export and import freight transport for Korea. This study examines the dynamic trends in Korea’s maritime freight transport volume using semiparametric tests of long memory. Long memory tests can more accurately determine whether a time series is non-stationary compared to traditional approaches. This study uses these semiparametric long memory tests to investigate the dynamic changes in Korea’s maritime freight transport volume. Additionally, to enhance the accuracy of the long memory tests, this study incorporates the possibility of structural changes in the time series data into the long memory test. This study classifies maritime freight transport into exports and imports and applies long memory tests to each category. According to the results, the structural change points for total export freight transport volume and total import freight transport volume differ, whereas the long memory coefficient values are similar. The long memory test results of this study indicate that the persistence of shocks for both total export and total import freight transport volumes is lower than unit root non-stationary time series, while the degree of persistence is similar for both exports and imports. On the other hand, the export freight transport volume in the automobile sector shows relatively more persistent shocks compared to import freight transport volume. In the electric machinery sector, import freight transport volume shocks are more persistent than export freight transport volume shocks. The results of this study show that the dynamic changes in the freight transport volume of total export items and total import items are similar when controlling for structural changes. In contrast, the dynamic changes in the freight transport volumes of major items such as automobiles and electric machinery differ between exports and imports even after accounting for structural changes.

β-Adrenergic signaling is required for the induction of a labile state during memory reconsolidation

Lim, Chae-Seok,Kim, Jae-Ick,Kwak, Chuljung,Lee, Jaehyun,Jang, Eun Hae,Oh, Jihae,Kaang, Bong-Kiun Elsevier 2018 Brain research bulletin Vol.141 No.-

<P><B>Abstract</B></P> <P>Memory reconsolidation is the process by which previously consolidated memories reenter a labile state through reactivation of the memory trace and are actively consolidated through <I>de novo</I> protein synthesis. Although extensive studies have shown that β-adrenergic signaling plays a critical role in the restabilization of reactivated memory, its role in the destabilization of long-term memory is not well-studied. In this study, we found that membrane excitability increased in hippocampal CA1 neurons immediately after the retrieval of contextual fear memory. Interestingly, this increase in membrane excitability diminished after treatment with propranolol (a β-adrenergic receptor antagonist), an NMDA receptor antagonist, and a PKA inhibitor. In addition, we found that administration of propranolol prior to, but not after, the retrieval of fear memory ameliorated the memory impairment caused by anisomycin, indicating that inhibition of β-adrenergic signaling blocks the destabilization of contextual fear memory. Taken together, these results indicate that β-adrenergic signaling via NMDA receptors and PKA signaling pathway induces a labile state of long-term memory through increased neuronal membrane excitability.</P> <P><B>Highlights</B></P> <P> <UL> <LI> Retrieval of contextual fear memory increases the membrane excitability. </LI> <LI> Propranolol or NMDAR and PKA inhibition diminishes membrane hyperexcitability. </LI> <LI> β-adrenergic signaling is required for the destabilization of contextual fear memory. </LI> </UL> </P>

기억처리과정의 이해

조수진 한국청각언어재활학회 2012 Audiology and Speech Research Vol.8 No.1

Memory is our ability to encode, store and retain in the human brain. Generally, there are three stages in human memory processing, which are sensory memory, short-term memory, and long-term memory. Recently, researchers tend to use the new concept of “working memory” for replacing or including the old concept of short-term memory. “Working memory” emphasizes on the manipulation of information instead of not using passive maintenance. Therefore, it is critical for cognitive information, speech perception and language learning. Based on numerous research, training of auditory working memory is able to improve some selective areas of cognitive and speech-language development. Taken together, it is needed to develop training program of auditory working memory in aural rehabilitation for hearing impaired listeners.

기억의 신경생물학적 기전

정영인,이영민,문은수 대한노인정신의학회 2016 노인정신의학 Vol.20 No.1

Memory is one of the most important mental mechanisms which is crucial for us to adapt to environmental surroundings and to maintain our identity. The neurobiological mechanisms for memory are based upon the synaptic plasticity that involve both functional and structural changes at the synapses in the neural circuits participating in learning and memory. Memory is not a single process but has two forms of short-term and long-term memory that are two independent but overlapping processes that blend into one another. The short-term memory depends upon the functional change of synaptic strength but the long-term memory requires anatomic changes of synapses in the neural circuit. Memory storage seems to use elements of a common genetic switch, involving cyclic adenosine monophospate (cAMP)-dependent protein kinase, mitogen activated protein kinase, and cAMP response elementbinding protein, to convert short-term memory into long-term memory.

기간프리미엄의 장기기억현상

정수관(SuKwan Jung),원두환(DooHwan Won) 한국경제통상학회 2016 경제연구 Vol.34 No.4

시계열의 적분차수를 정수로 한정하는 전통적인 단위근 및 공적분 방법의 한계를 고려하여 본 연구는 장단기이자율과 기간프리미엄의 장기기억을 검토하였다. 실제 단기이자율과 ARFIMA 모형, ARIMA 모형의 예측치는 기대단기이자율의 대리변수로, 장기이자율과 기대 단기이자율 간 차이는 기간프리미엄으로 사용되었다. 구조변화 시점을 추정하고, 구조변화 전후 기간을 나누어 장기기억현상이 분석되었다. 분석 결과 ARFIMA모형은 구조변화와 상관없이 이자율과 기간프리미엄의 장기기억현상을 일관성 있지만, 준모수적 방법은 ARFIMA모형보다 차분계수를 과대평가하거나 구조변화에 민감하였다. ARFIMA모형이 준모수적 방법보다 강건하다는 점을 고려한다면 이자율과 기간프리미엄에 장기기억이 존재할 가능성이 높다. This study examined long memory of short-term and long-term interest rates and term premiums in Korea. Standard unit root test methods or co-integration analysis was restricted to an integer, so these methods did not determine fractional integration of time series. In contrast, fractional integral methods allowed any real number of integration to find out long memory. Actual short-term interest rate and prediction of short-term interest rates from ARFIMA and ARIMA models were utilized as proxy variables for the expected short-term interest rates. The term premium was calculated from the difference between long-term interest rates and the expected short-term interest rates. The results show that ARFIMA models provided long-memory of interest rates and term-premium while semi-fractional integration method did not. The semi-parametric method overestimated the long-memory parameter compared with the ARFIMA model. The estimates of semi-parametric method were also sensitive to structural changes. The effects of shocks may remain long period. It is necessary to consider long-memory of interest rates and term premiums.