Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model

Um sistema para a inferência de variáveis usando redes neurais artificiais

This work aims to obtain a low-cost virtual sensor to estimate the quality of LPG. For the acquisition of data from a distillation tower, software HYSYS ® was used to simulate chemical processes. These data will be used for training and validation of an Artificial Neural Network (ANN). This network will aim to estimate from available simulated variables such as temperature, pressure and discharge flow of a distillation tower, the mole fraction of pentane present in LPG. Thus, allowing a better control of product quality

Emprego de redes neurais artificiais supervisionadas e não supervisionadas no estudo de parâmetros reológicos de excipientes farmacêuticos sólidos

In this paper artificial neural network (ANN) based on supervised and unsupervised algorithms were investigated for use in the study of rheological parameters of solid pharmaceutical excipients, in order to develop computational tools for manufacturing solid dosage forms. Among four supervised neural networks investigated, the best learning performance was achieved by a feedfoward multilayer perceptron whose architectures was composed by eight neurons in the input layer, sixteen neurons in the hidden layer and one neuron in the output layer. Learning and predictive performance relative to repose angle was poor while to Carr index and Hausner ratio (CI and HR, respectively) showed very good fitting capacity and learning, therefore HR and CI were considered suitable descriptors for the next stage of development of supervised ANNs. Clustering capacity was evaluated for five unsupervised strategies. Network based on purely unsupervised competitive strategies, classic "Winner-Take-All", "Frequency-Sensitive Competitive Learning" and "Rival-Penalize Competitive Learning" (WTA, FSCL and RPCL, respectively) were able to perform clustering from database, however this classification was very poor, showing severe classification errors by grouping data with conflicting properties into the same cluster or even the same neuron. On the other hand it could not be established what was the criteria adopted by the neural network for those clustering. Self-Organizing Maps (SOM) and Neural Gas (NG) networks showed better clustering capacity. Both have recognized the two major groupings of data corresponding to lactose (LAC) and cellulose (CEL). However, SOM showed some errors in classify data from minority excipients, magnesium stearate (EMG) , talc (TLC) and attapulgite (ATP). NG network in turn performed a very consistent classification of data and solve the misclassification of SOM, being the most appropriate network for classifying data of the study. The use of NG network in pharmaceutical technology was still unpublished. NG therefore has great potential for use in the development of software for use in automated classification systems of pharmaceutical powders and as a new tool for mining and clustering data in drug development

Análise e otimização de superfícies seletivas de Frequência utilizando redes neurais artificiais e algoritmos de otimização natural

The bidimensional periodic structures called frequency selective surfaces have been well investigated because of their filtering properties. Similar to the filters that work at the traditional radiofrequency band, such structures can behave as band-stop or pass-band filters, depending on the elements of the array (patch or aperture, respectively) and can be used for a variety of applications, such as: radomes, dichroic reflectors, waveguide filters, artificial magnetic conductors, microwave absorbers etc. To provide high-performance filtering properties at microwave bands, electromagnetic engineers have investigated various types of periodic structures: reconfigurable frequency selective screens, multilayered selective filters, as well as periodic arrays printed on anisotropic dielectric substrates and composed by fractal elements. In general, there is no closed form solution directly from a given desired frequency response to a corresponding device; thus, the analysis of its scattering characteristics requires the application of rigorous full-wave techniques. Besides that, due to the computational complexity of using a full-wave simulator to evaluate the frequency selective surface scattering variables, many electromagnetic engineers still use trial-and-error process until to achieve a given design criterion. As this procedure is very laborious and human dependent, optimization techniques are required to design practical periodic structures with desired filter specifications. Some authors have been employed neural networks and natural optimization algorithms, such as the genetic algorithms and the particle swarm optimization for the frequency selective surface design and optimization. This work has as objective the accomplishment of a rigorous study about the electromagnetic behavior of the periodic structures, enabling the design of efficient devices applied to microwave band. For this, artificial neural networks are used together with natural optimization techniques, allowing the accurate and efficient investigation of various types of frequency selective surfaces, in a simple and fast manner, becoming a powerful tool for the design and optimization of such structures

Identificação remota de sistemas operacionais utilizando análise de processos aleatórios e redes neurais artificiais

A new method to perform TCP/IP fingerprinting is proposed. TCP/IP fingerprinting is the process of identify a remote machine through a TCP/IP based computer network. This method has many applications related to network security. Both intrusion and defence procedures may use this process to achieve their objectives. There are many known methods that perform this process in favorable conditions. However, nowadays there are many adversities that reduce the identification performance. This work aims the creation of a new OS fingerprinting tool that bypass these actual problems. The proposed method is based on the use of attractors reconstruction and neural networks to characterize and classify pseudo-random numbers generators

Sistema Híbrido de Inferência Baseado em Análise de Componentes Principais e Redes Neurais Artificiais Aplicado a Plantas de Processamento de Gás Natural

Nowadays, where the market competition requires products with better quality and a constant search for cost savings and a better use of raw materials, the research for more efficient control strategies becomes vital. In Natural Gas Processin Units (NGPUs), as in the most chemical processes, the quality control is accomplished through their products composition. However, the chemical composition analysis has a long measurement time, even when performed by instruments such as gas chromatographs. This fact hinders the development of control strategies to provide a better process yield. The natural gas processing is one of the most important activities in the petroleum industry. The main economic product of a NGPU is the liquefied petroleum gas (LPG). The LPG is ideally composed by propane and butane, however, in practice, its composition has some contaminants, such as ethane and pentane. In this work is proposed an inferential system using neural networks to estimate the ethane and pentane mole fractions in LPG and the propane mole fraction in residual gas. The goal is to provide the values of these estimated variables in every minute using a single multilayer neural network, making it possibly to apply inferential control techniques in order to monitor the LPG quality and to reduce the propane loss in the process. To develop this work a NGPU was simulated in HYSYS R software, composed by two distillation collumns: deethanizer and debutanizer. The inference is performed through the process variables of the PID controllers present in the instrumentation of these columns. To reduce the complexity of the inferential neural network is used the statistical technique of principal component analysis to decrease the number of network inputs, thus forming a hybrid inferential system. It is also proposed in this work a simple strategy to correct the inferential system in real-time, based on measurements of the chromatographs which may exist in process under study

Desenvolvimento de uma arquitetura em hardware prototipada em FPGA para aplicações genéricas utilizando redes neurais artificiais embarcadas

This work proposes hardware architecture, VHDL described, developed to embedded Artificial Neural Network (ANN), Multilayer Perceptron (MLP). The present work idealizes that, in this architecture, ANN applications could easily embed several different topologies of MLP network industrial field. The MLP topology in which the architecture can be configured is defined by a simple and specifically data input (instructions) that determines the layers and Perceptron quantity of the network. In order to set several MLP topologies, many components (datapath) and a controller were developed to execute these instructions. Thus, an user defines a group of previously known instructions which determine ANN characteristics. The system will guarantee the MLP execution through the neural processors (Perceptrons), the components of datapath and the controller that were developed. In other way, the biases and the weights must be static, the ANN that will be embedded must had been trained previously, in off-line way. The knowledge of system internal characteristics and the VHDL language by the user are not needed. The reconfigurable FPGA device was used to implement, simulate and test all the system, allowing application in several real daily problems

Utilização de redes neurais artificiais para detecção e diagnóstico de falhas

In a real process, all used resources, whether physical or developed in software, are subject to interruptions or operational commitments. However, in situations in which operate critical systems, any kind of problem may bring big consequences. Knowing this, this paper aims to develop a system capable to detect the presence and indicate the types of failures that may occur in a process. For implementing and testing the proposed methodology, a coupled tank system was used as a study model case. The system should be developed to generate a set of signals that notify the process operator and that may be post-processed, enabling changes in control strategy or control parameters. Due to the damage risks involved with sensors, actuators and amplifiers of the real plant, the data set of the faults will be computationally generated and the results collected from numerical simulations of the process model. The system will be composed by structures with Artificial Neural Networks, trained in offline mode using Matlab®

Separação cega de fontes lineares e não lineares usando algoritmo genético, redes neurais artificiais RBF e negentropia de Rényi como medida de independência

Conventional methods to solve the problem of blind source separation nonlinear, in general, using series of restrictions to obtain the solution, often leading to an imperfect separation of the original sources and high computational cost. In this paper, we propose an alternative measure of independence based on information theory and uses the tools of artificial intelligence to solve problems of blind source separation linear and nonlinear later. In the linear model applies genetic algorithms and Rényi of negentropy as a measure of independence to find a separation matrix from linear mixtures of signals using linear form of waves, audio and images. A comparison with two types of algorithms for Independent Component Analysis widespread in the literature. Subsequently, we use the same measure of independence, as the cost function in the genetic algorithm to recover source signals were mixed by nonlinear functions from an artificial neural network of radial base type. Genetic algorithms are powerful tools for global search, and therefore well suited for use in problems of blind source separation. Tests and analysis are through computer simulations