"음식물쓰레기가 아닌것=(일반쓰레기) 생선뼈/동물뼈/계란,조게,수박껍질/김장쓰레기,옥수수껍질 등"
저희 아파트 쓰레기장 앞에 붙어있는 현수막 문구를 그대로 옮긴 겁니다. 마지막 글자 "등"이 무얼 말하는지 저는 전혀 모르겠습니다. 현수막을 설치한 입주자대표회의의 누군가는 알까요? 담당 관서인 구청 청소과의 누군가는 알까요? 저는 어느 누구도 모른다고 생각합니다. 왜냐고요? "등" 앞에 '열거된' 쓰레기들에서 어떠한 기준도 찾을 수 없기 때문입니다. 각종 뼈나 계란은 나름 공통점이 있습니다. 주로 칼슘 성분의 무기물입니다. 음식중 (보통은) 버리는 부분이라는 것도 공통점이라 할 수 있겠습니다. 수박껍질 이후로는 유기물이라는 점이 공통점입니다. 과일과 채소중 안먹는 부분이라는 것도 공통점이라 할 수 있겠습니다. 이들 열거된 쓰레기를 크게 무기물과 유기물로 묶는다면 지구상 모든 물질이 일반쓰레기입니다. 만약 캴슘 성분과 유기물로 묶는다면 지구상 모든 생물이 포함됩니다. 모든 생물은 일반쓰레기가 되는 겁니다. 생물이 아닌 음식물이 (거의) 없기에 음식물쓰레기는 존재하지 않게되는 역설이 됩니다. 제대로된 정의가 필요한 것인데, 그것을 못 하는 것 같습니다. 입주자대표회의나 구청이 현수막이나 유인물로 계속 일종의 교육을 하는 것을 봐서는 상식에 의존하는 것도 무리인 것 같습니다. 제가 봐도 어려울 것 같기는 하지만 어찌 되었건 상식에 의존할 수 없다면 제대로 된 정의를 만들어야 합니다.
좀 더 근본적인 의문은 음식물쓰레기를 분리수거하는 목적입니다. 재활용 쓰레기는 문자 그대로 재활용이 목적일 겁니다. 음식물쓰레기의 경우에는 목적이 뭘까요? 퇴비 생산 등 재활용인가요? 일반쓰레기 소각이나 매립에 문제가 되서, 즉 기술적인 문제인가요? 냄새나 해충 등 주거환경 개선이 목적인가요? 이 의문에 대해서도 명쾌한 답을 할 수 있는 사람이 거의 없다는 생각입니다. 그렇지만 목적이 다르면 대책도 다릅니다. 관련 기관이나 단체는 목적부터 스스로 분명히 하고 이를 알려야 합니다. 만약 재활용이 목적이라면 처리비용이 합리적으로 책정되어야 합니다. 현재 음식물쓰레기 봉투가 일반쓰레기보다 3배정도 비쌉니다. 재활용이 된다면 이는 분명 불합리합니다. 주거환경 문제라면 건조기 설치가 더 합리적입니다. 참고로 저는 건조기를 사용하기 때문에 이른바 젖은 쓰레기는 없습니다. 소각이나 매립의 기술적인 문제라면 저로서는 별다른 대안이 생각나진 않지만, 앞서 인용한 현수막 문구처럼 복잡하고, 애매하고, 불합리한 기준은 필요 없습니다.
"폐건전지: 녹슬지 않은 건전지만 수거함에 넣어주세요"
저희 아파트 "폐형광등.폐건전지 수거함"에 붙어 있는 문구입니다. 녹슨 건전지는 어떻하란 말인가요? 그냥 일반쓰레기로 버리라는 건가요? 여기도 마찬가지입니다만, 목적이 뭔가요? 환경보호가 목적이면 건전지는 무조건 수거해야 합니다. 혹시, 재활용업체가 시키는대로 하는 건가요?
저희 아파트는 재활용쓰레기를 종이, 비닐, 플라스틱, 스틸로폼, 우유팩, 공병, 고철/캔, 소형가전, 이렇게 분리합니다. 비닐과 플라스틱, 저는 구분 못 합니다. 왜 구분해야 하는지도 이해 못 합니다. 우유팩은 물로 씻어 말린 후 버리라고 합니다. 왜 그래야 하는지 저로서는 이해가 안 됩니다.
"재활용 분리 배출 위반시 CCTV 확인하여 게시판에 실명 공개합니다. XX(아파트) 생활지원센터장"
재활용쓰레기 수거함에 있는 공고문입니다. 비닐과 플라스틱도 구분 못 하는 저로서는 공포스럽습니다. 그리고, 이게 법적으로 가능한가요? 제 생각엔 실명 공개가 오히려 형사 고발감 같은데요? 구청도 아니고, 입주자대표회의도 아니고, 생활지원센터장입니다. 용역업체에서 파견했거나, 입주자대표회의에서 직접 고용한 사람이지요. 그 분 포함 누구나 구청이나 경찰에 고발은 할 수 있겠지만, 실명 공개라. 실명 공개하려면 형사 고발 각오해야 할 겁니다. 2016년부터는 쓰레기 실명제가 본격 도입됩니다. (지금도 원칙적으로는 쓰레기 봉투에 주소, 성명 기재해야 합니다.) 쓰레기 정말 무섭습니다. 명백한 불법행위도 집단으로 하면 방관하고, 경찰이 매맞는 공권력 부재의 시대에 쓰레기만큼은 거의 초법적인 규제와 감시를 하려고 합니다.
저는 일본, 미국, 캐나다에서 살아봤습니다. 캐나다 경우, 물론 지역마다 동네마다 다르겠지만, 쓰레기를 딱 3가지로 구분합니다: 일반쓰레기, 재활용쓰레기 (신문/서적, 포장지, 병/캔 등 3종류로 다시 구분), 정원쓰레기. 아무거나 다 일반쓰레기 통에 넣어도 됩니다. 다만 돈이 더 들 뿐입니다. 반대로 일반쓰레기를 다른 통에 넣으면 치워가지 않습니다. 집 쓰레기를 가져와 공원 등 공공장소 쓰레기통에 버리면 과태료 (벌금일수도 있습니다) 나옵니다. 도로에 버리면 어마어마한 벌금 나옵니다. 가전제품은 크기에 상관 없이 다 가져갑니다. 폐기물 부담금이 애초에 제품 판매시에 부과되기 때문입니다. 침대 매트리스는 처리 센터에 직접 가져가서 돈 주고 버려야 합니다. 다른 웬만한 것들은 크기만 맞으면 집 앞에 내 놓으면 다 치워 갑니다. 캐나다가 한국보다 잘 하고 있다는 의미는 아닙니다. 우리보다 선진국이란 의미는 더더욱 아닙니다. 다만, 쓰레기 구분에 전문지식이 필요하거나, 쓰레기를 씻고 말려서 내놓거나, 실명으로 배출해야 하거나, 생활지원센터장의 불법적인 협박을 받거나 하지는 않습니다.
다시 한국으로 돌아와: 사과 껍질은 음식물쓰레기인가? 복숭아 씨는? 고기랑 뼈랑 분리해서 버려야 하나? 치약 튜브는 비닐인가, 플라스틱인가, 알루미늄인가? 앞은 종이, 뒤는 플라스틱인데 분리해서 버려야 하나? 캔도 씻고 말려서 버려야 하나? 쓰레기 봉투 주소/성명에 수성펜으로 써도 되나, 아니면 반드시 유성펜으로 써야 하나? RFID로 추적한다는데 그게 뭐고 어떻하면 실수로 벌금 무는 경우가 없게 하지? DNA로 추적한다는 예기도 들리던데?
쓰레기 분리수거, 정말 쓰레기 같습니다.
2016년 1월 13일 수요일
2015년 9월 15일 화요일
Volatility Smileless
Volatility Smileless
Wonyoung
Choi 2015-9-16
Volatility skew is a phenomenon that
implied volatility (IV) increases as option becomes increasingly in-the-money
(ITM) or out-of-the-money (OTM) (quoted from the figure below). It has a
parabolic shape and because of the shape it is called 'volatility smile' also
as shown below. I assume that readers of this paper are familiar with options
and the Black-Scholes option pricing model in theory and in practice.
The lowest point appears usually at-the-money
(ATM) but often happens off the ATM, which is called smirk by some people as
shown below.
Volatility smirks[3]
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An example of the volatility skew in the
real world is shown below. The chart shows smile, smirk, and call-put gap.
The smirk: this happens quite often and (I
think) is a very interesting phenomenon but will not be discussed in this
paper.
The smile (shape): Natenberg wrote "One
inference which most traders draw from this shape is that the marketplace
appears to believe there is a better chance for a large price move in the real
world than is predicted by the Black-Scholes model."[4] He
also wrote "Unfortunately, dealing with a volatility skew can be a problem
because there is no exact formula to use as guide." This will be studied
in this paper.
The call-put gap: this happens quite often
and (I believe) I have explained in my earlier paper[5] and
will be discussed in this paper.
Fig. 3 Volatility Skew in reality
In the real world example above, some
values are plotted with a smooth curve while others are very erratic. The
primary reason is that ITM options usually have ask-bid gaps. So, the data show
only the last transacted prices, not the (real) current prices. So, usually the
volatility skew or smile is plotted only with OTM options, puts and calls. Deep-OTM
(DOTM) options have very low prices. Once the price reaches the minimum
tradable price, 0.01 in Korea, it remains the same for all the other deeper OTM
options. Deeper strike prices (usually symbolized as "X") automatically
raise the IV which makes the smile shape. So, it is not meaningful to plot
options from and below the minimum price. Hereafter, I will plot only ATM and
OTM options above the minimum price, call and put, to chart the volatility
skew. Figure 3, then, looks like figure 4. Figure 4 shows an extreme reverse
skew.
Fig. 4 IV of ATM and OTM options over min price
The call-put gap
The call-put gap happens because of the
futures basis gap and can be eliminated by applying the adjusted underlying
asset (usually symbolized as "S") to the Black-Scholes model (Choi,
2012). In this example, S (K200 in Korea, the basket of 200 big companies) is
233.54, which is used in the computation of IV in the home trading system (HTS)
and by the regulating authorities. KOSPI200 futures is 233.55. The theoretical
value of KOSPI200 futures is 234.44 and so the futures gap is -0.89. The
adjusted S is calculated as K200+gap, in this case 233.54 - 0.89 = 232.65. IVs
calculated with this adjusted S are charted below, clearly showing the removal
of the gap.
Black-Scholes model requires the price of
the underlying asset S to calculate the price and all the Greeks. However, S,
KOSPI200 in this example, is not tradable practically. So the futures of
KOSPI200 is used in practice as a surrogate for option trading decision making
and hedging. The gap is, I think, solely due to this surrogation. The gap is
almost completely eliminated by applying the adjusted S. The gap is
proportional with the futures gap, i.e., the bigger the futures gap, the bigger
the option call-put gap. This is natural and purely computational because
arbitrage should make it happen: so-called compound futures made with some
combinations of calls and puts can be traded together with futures of the
opposite direction with some risk-free gains made instantly.
The smirk
The smirk (similar to skewness in
statistics but, to distinguish the smile or the shape, this word is used) is
surely related with the futures gap because the futures gap moves the ATM. In
this sense, the smirk is computational. However, it seems that market
psychology is also involved: first, the smirk seems to be too wide for the
futures gap; second, the Greeks seems to be distorted too much, which will be
mentioned in the shape issue.
The smile (shape)
I doubt what Natenberg mentioned about the
smile quoted above. I think that the smile (i.e., the further off the ATM, the
higher the IV) should reflect some cost or benefit. Natenberg's quote says that
the smile is basically psychological (he said "the marketplace appears to
believe") while I believe that there should be some computational or
mathematical factor(s). Among the Greeks, gamma and vega (kappa) are favourable
to options while theta is the opposite. So, it can be hypothesized that gamma
or vega (these two are highly correlated) demand higher prices for options
while theta accepts lower prices. The first step to take would be to check the
correlations of IV with Greeks. The results are very interesting. The correlation
coefficient between IV and gamma/vega are about -0.9 and +0.9 for theta in many
actual cases, if the strike prices of options do not include the lowest IV
point. However the smirk is a problem here too. Call or put that includes the
lowest IV have a parabolic shape while the Greeks are not, which makes the
correlation coefficient almost 0. Still, the correlation coefficient beyond the
lowest point is again about ±0.9. The smirk interval also has the correlation coefficient about 0.9
but with the opposite sign.
To neutralize the effect of smirk, instead
of removing the smirk range, I extended put plotting range into the ITM up to strike
price with the lowest IV and the result is charted below. The chart plots calls
the smirk range. The correlations are calculated
for puts with a range of X from 192.5 to 250, the lowest IV, and for calls from
252.5 to 270. The correlation coefficients are -0.94 for puts and -0.91 for
calls.
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|
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Actual data
and chart (ATM 240, lowest IV 250)
|
With adjusted
S and only over min. price. Call only OTM and ATM, put extended to the lowest
IV
|
The following chart plots residuals after applying
linear regression with vega (same result with gamma). Please note that calls
are shifted upward to equalize the average of the residuals. The shape strongly
suggest (especially for puts) that these could be some other factor or variable
and the range of the residuals is too wide (out of the original IV range 23%
points, the regression eliminated only 14%, leaving the residuals with about 9%
range).
In conclusion, I hypothesize that the so-called
volatility smile does NOT exist if the IVs are compensated with the Greeks.
The cause/effect of the smirk needs further
study and tests.
End.
2015년 7월 25일 토요일
文化の多様性について
Japanese Speech Contest at J****, Won-Young Choi, 1997
文化の多様性について
私はハワイ大学校で
比較経営学を勉強している
チェと申します。
ハワイはその多文化的環境をもって、
比較経営学も文化的多様性を
重要なテーマとして扱っています。
だから私は文化の多様性
あるいは相対性について
多く考えるようになりました。
絶対性は人間に心理的、社会的
安定性と与えます。
相対性の発見は一種の混乱をもたらします。
現在までの真理を誤り、あるいは
特殊論理に格を下げることは
誰にも困難なことです。
イギリスの経済学者ケインズは
著書一般理論の序文で
新しいアイデアを出すことより
既存の思考の枠から出ることが
難しかったと言いました。
コペルニクスの地動説は
位置と運動の相対性の発見でした。
これは太陽系の外に
目を向けなければ
発見できないことでした。
アインシュタインは
時間の相対性を発見しました。
これは宇宙の外に
想像を延ばさなければ
発見できないことでした。
彼らは他の次元の世界を提示して、
絶対性の喪失を克服しました。
結局、彼らは新しい絶対価値を創造して
旧世界の相対価値を克服したんです。
文化の相対性も同じです。
多くの宗教が他の神を否定します。
こんな唯一神教的排他性と文化的相対性は
両立しがたいのです。
人権に対する価値観も
文化によって違います。
正義はほとんどの文化で違う様に
定義されて、執行されています。
世界は急に一つになっていますが、
一つになった世界に必要な価値体系は
まだないのではないだろうかと私は思います。
だから最近私は
新ルネサンスの夢を持っています。
人間の再発見というルネサンスの夢を
再び持ちたいです。
理性の回復、宗教的迷信からの解放、
こんなルネサンス人の努力は
人間を宇宙の中心に置く
普遍妥当な真理の追求だったと思います。
すべての人種を超越する、
すべての文化を超越する、
人間本然に基づいた真理の追求と認定の夢を見ています。
実は、私はこれが実現可能だとは考えません。
これは人類歴史全体においての課題ですから。
只、そんな夢が罰を受けない、
こんな社会が今必要だと主張します。
個人の尊厳を認定したい文化だったら、
これから離れる権利は
与えられなければならないと信じます。
これが国家でも、宗教でも、何でも、
所属を強制することはできないと私は信じてます。
変なことと思われるかも知れませんが
世界中にはこんな変な、従って、
危険なことが沢山あります。
この点が私がここで学んだ一番大切なことです。
The price of don Quixote
The price
of don Quixote
by: Wonyoung Choi 2015-07-25
Recently I have
read "El ingenioso hidalgo don Quixote del la Mancha" with great
amusement and amazement. So I know the value of the book, at least
subjectively. I got curious about the price of the book at Cervantes' time in
current US dollars.
The book starts
with a "Tasa" (meaning price), which seems to be the official price
of the book permitted by the authority. Thanks to this "Tasa", I
could know the official, if not the real, price of the book. The
"Tasa" declares the unit price, the quantity, and the book price (probably
retail price) as shown below. The book price is simply the multiplication of
the unit price and the quantity. This calculation is very interesting because
the authority deals with books as if they were some sort of food. The unit of
quantity 'pliego' is also interesting. As shown below, 1 'pliego' is almost
exactly 8 pages. It seems that the printing press printed 2 books at a time
(more probable) or 2 consecutive sheets of paper (less probable because more
difficult for binding). But I think that for practicality the authority counted
the number of sheets of paper of a book and divided it by 4 (because 1 sheet is
2 pages), which means that the book submitted to the authority for
"Tasa", approval, and copyright should be in physical form, bound or
unbound, not in manuscript. In the original print, Part I has about 12% more
pages than Part II, while modern versions generally are the opposite. The
Kindle version below does not have any footnote and therefore close to the
original. In the Kindle version, Part II is about 7% longer than the Part I. In terms of word count, Part II is about 5%
more. I could understand why only after I checked the original print, very
thankfully provided by the "Biblioteca Nacional de España"[1]
(BNE hereafter). Part I is a little denser: for example Part I has 32 lines per
page while Part II has 34, about 6% difference.
I found the
"Tasa" of "Pastores de Belen", published in 1614, by Lope
de Vega, Cervantes' rival. The discovery: same unit price. This is somewhat
disappointing not because the unit prices were the same for the two of them but
because (it seems that) all the books are given the same unit price. Then, the
price is basically the cost of printing.
The
"Tasa" itself is a nonsense. It is simply a price control, which can
be justified only for very standardized produces and products that are very
basic and essential for the living of people, and, furthermore, only in
emergency. The concept of unit price and quantity is just a logical consequence
of the price control. The pinnacle of this nonsense is the equal unit price. Cervantes
and Picasso are the same literally literarily. I feel very sad for Cervantes.
The then common practice of publishing sequels can be understood as one of the
result of this absurdity.
Unit
|
Part 1 (y.1605)
|
Part 2 (y.1615)
|
Changes
|
|
Unit price (A)
|
maravedí
|
3.5
|
4
|
+14%
|
Quantity (B)
|
pliego
|
83
|
73
|
-12%
|
Price (=AxB)
|
maravedí
|
290.5
|
292
|
n/a
|
Price: other denominations
|
real
escudo
|
8.54
0.53
|
8.59
0.54
|
n/a
|
Original print
|
page
|
668
|
586
|
-12%
|
Original print
|
page/pliego
|
8
|
8
|
nil
|
Kindle[2]
|
page
|
272
|
291
|
+7%
|
Project Gutenberg[3]
|
word
|
185,771
|
195,446
|
+5%
|
Now, my issue
turned from the price of don Quixote to that of books as a commodity. Less
interesting it is, but at least, I can use don Quixote as an example. First of
all, the second low of the table above shows that the unit price was 3.5 maravedís
in 1605 and 4 maravedís in 1615, 14% increase in ten years. It can mean the stability
of the price level and the purchasing power of money. Denominations to consider
are 'maravedí', 'real', 'ducado', and 'escudo'. 1 escudo was 16 reals and 1
real was 34 maravedís. 1 'ducado' is about 70% of 1 'escudo'. So, 292 maravedís
for Part II is 8.6 reals and a little more than 0.5 escudo.
According to Wikipedia[4],
in 1566 escudo was of 1 ounce of silver. Silver, however, is notorious for its
price volatility, for example USD4.11 in 2001 and USD46.47 in 2011 per ounce. (Gold
is not much better: USD257.44 in 2001 and USD1,837.68 in 2011 per ounce.) The price
of silver in early 17th century must have been much higher although dropping
very rapidly because of the massive influx of silver from the Americas. Anyway,
not a useful ruler.
The usual method
to compare the prices of the same thing between a very long period is to
compare the prices to buy something (silver or gold above is
one of such), or to estimate the quantity of labor (usually in man/month) to
do something (like building Parthenon).
4 pigs (sold) for
20 ducados (or less, Chapter. II-45): max 5 ducados / pig
(roughly USD300) →
3.5 escudos / USD300 → USD86 / escudo
20 ducados for a
(good) dress (to buy) (II-74): USD1,000-5,000 dress for 14 escudos → USD70-350
/ escudo
the butler gave
200 escudos to meet the necessities during the trip (II-57): considering the context,
I assume USD20,000 → USD143
/ escudo
A serious study
can surely and accurately determine the value of an escudo. My arbitrary and convenient
pick is USD100 for an escudo, so roughly USD100 for a complete don Quixote.
In 1989, don
Quixote (probably a complete set) was sold at USD1.5 million.[6]
End.
[5] Cervantes, Miguel de (2010). Don
Quijote de la Mancha. (Primera edición Vintage Español, marzo 2010,
Copyright de la introducción y edición © 2002 por Florencio Sevilla Arroyo)
Vintage Español, Nueva York. ISBN 978-0-307-47541-1
[6] "List
of most expensive books", Wikipedia, https://en.wikipedia.org/wiki/List_of_most_expensive_books
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