Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Damage analysis of carbon/epoxy plates after drilling

Drilling of composites plates normally uses traditional techniques but damage risk is high. NDT use is important. Damage in a carbon/epoxy plate is evaluated by enhanced X-rays. Four different drills are used. The images are analysed using Computational Vision techniques. Surface roughness is compared. Results suggest strategies for delamination reduction.

Cutting forces and wear analysis of Si3N4 diamond coated tools in high speed machining

Si3N4 tools were coated with a thin diamond film using a Hot-Filament Chemical Vapour Deposition (HFCVD) reactor, in order to machining a grey cast iron. Wear behaviour of these tools in high speed machining was the main subject of this work. Turning tests were performed with a combination of cutting speeds of 500, 700 and 900 m min−1, and feed rates of 0.1, 0.25 and 0.4 mm rot−1, remaining constant the depth of cut of 1 mm. In order to evaluate the tool behaviour during the turning tests, cutting forces were analyzed being verified a significant increase with feed rate. Diamond film removal occurred for the most severe set of cutting parameters. It was also observed the adhesion of iron and manganese from the workpiece to the tool. Tests were performed on a CNC lathe provided with a 3-axis dynamometer. Results were collected and registered by homemade software. Tool wear analysis was achieved by a Scanning Electron Microscope (SEM) provided with an X-ray Energy Dispersive Spectroscopy (EDS) system. Surface analysis was performed by a profilometer.

Analysis of the domain of applicability of an algorithm for a resources system selection problem for Distributed/Agile/Virtual Enterprises integration

The process of resources systems selection takes an important part in Distributed/Agile/Virtual Enterprises (D/A/V Es) integration. However, the resources systems selection is still a difficult matter to solve in a D/A/VE, as it is pointed out in this paper. Globally, we can say that the selection problem has been equated from different aspects, originating different kinds of models/algorithms to solve it. In order to assist the development of a web prototype tool (broker tool), intelligent and flexible, that integrates all the selection model activities and tools, and with the capacity to adequate to each D/A/V E project or instance (this is the major goal of our final project), we intend in this paper to show: a formulation of a kind of resources selection problem and the limitations of the algorithms proposed to solve it. We formulate a particular case of the problem as an integer programming, which is solved using simplex and branch and bound algorithms, and identify their performance limitations (in terms of processing time) based on simulation results. These limitations depend on the number of processing tasks and on the number of pre-selected resources per processing tasks, defining the domain of applicability of the algorithms for the problem studied. The limitations detected open the necessity of the application of other kind of algorithms (approximate solution algorithms) outside the domain of applicability founded for the algorithms simulated. However, for a broker tool it is very important the knowledge of algorithms limitations, in order to, based on problem features, develop and select the most suitable algorithm that guarantees a good performance.

Multidimensional scaling analysis of electricity market prices

This paper studies the impact of energy and stock markets upon electricity markets using Multidimensional Scaling (MDS). Historical values from major energy, stock and electricity markets are adopted. To analyze the data several graphs produced by MDS are presented and discussed. This method is useful to have a deeper insight into the behavior and the correlation of the markets. The results may also guide the construction models, helping electricity markets agents hedging against Market Clearing Price (MCP) volatility and, simultaneously, to achieve better financial results.

Fractional analysis of traffic dynamics

This article presents a dynamical analysis of several traffic phenomena, applying a new modelling formalism based on the embedding of statistics and Laplace transform. The new dynamic description integrates the concepts of fractional calculus leading to a more natural treatment of the continuum of the Transfer Function parameters intrinsic in this system. The results using system theory tools point out that it is possible to study traffic systems, taking advantage of the knowledge gathered with automatic control algorithms. Dynamics, Games and Science I Dynamics, Games and Science I Look Inside Other actions Export citation About this Book Reprints and Permissions Add to Papers Share Share this content on Facebook Share this content on Twitter Share this content on LinkedIn

A comparative analysis of fault injection methods via enhanced on-chip debug infrastructures

On-chip debug (OCD) features are frequently available in modern microprocessors. Their contribution to shorten the time-to-market justifies the industry investment in this area, where a number of competing or complementary proposals are available or under development, e.g. NEXUS, CJTAG, IJTAG. The controllability and observability features provided by OCD infrastructures provide a valuable toolbox that can be used well beyond the debugging arena, improving the return on investment rate by diluting its cost across a wider spectrum of application areas. This paper discusses the use of OCD features for validating fault tolerant architectures, and in particular the efficiency of various fault injection methods provided by enhanced OCD infrastructures. The reference data for our comparative study was captured on a workbench comprising the 32-bit Freescale MPC-565 microprocessor, an iSYSTEM IC3000 debugger (iTracePro version) and the Winidea 2005 debugging package. All enhanced OCD infrastructures were implemented in VHDL and the results were obtained by simulation within the same fault injection environment. The focus of this paper is on the comparative analysis of the experimental results obtained for various OCD configurations and debugging scenarios.

Entropy analysis of integer and fractional dynamical systems

This paper investigates the adoption of entropy for analyzing the dynamics of a multiple independent particles system. Several entropy definitions and types of particle dynamics with integer and fractional behavior are studied. The results reveal the adequacy of the entropy concept in the analysis of complex dynamical systems.

From design-for-test to design-for-debug-and-test: analysis of requirements and limitations for 1149.1

The increasing complexity of VLSI circuits and the reduced accessibility of modern packaging and mounting technologies restrict the usefulness of conventional in-circuit debugging tools, such as in-circuit emulators for microprocessors and microcontrollers. However, this same trend enables the development of more complex products, which in turn require more powerful debugging tools. These conflicting demands could be met if the standard scan test infrastructures now common in most complex components were able to match the debugging requirements of design verification and prototype validation. This paper analyses the main debug requirements in the design of microprocessor-based applications and the feasibility of their implementation using the mandatory, optional and additional operating modes of the standard IEEE 1149.1 test infrastructure.

Delamination analysis of carbon fibre reinforced laminates: evaluation of a special step drill

Drilling of carbon fibre/epoxy laminates is usually carried out using standard drills. However, it is necessary to adapt the processes and/or tooling as the risk of delamination, or other damages, is high. These problems can affect mechanical properties of produced parts, therefore, lower reliability. In this paper, four different drills – three commercial and a special step (prototype) – are compared in terms of thrust force during drilling and delamination. In order to evaluate damage, enhanced radiography is applied. The resulting images were then computational processed using a previously developed image processing and analysis platform. Results show that the prototype drill had encouraging results in terms of maximum thrust force and delamination reduction. Furthermore, it is possible to state that a correct choice of drill geometry, particularly the use of a pilot hole, a conservative cutting speed – 53 m/min – and a low feed rate – 0.025 mm/rev – can help to prevent delamination.

Analysis of the Van der Pol oscillator containing derivatives of fractional order

In this paper a modified version of the classical Van der Pol oscillator is proposed, introducing fractional-order time derivatives into the state-space model. The resulting fractional-order Van der Pol oscillator is analyzed in the time and frequency domains, using phase portraits, spectral analysis and bifurcation diagrams. The fractional-order dynamics is illustrated through numerical simulations of the proposed schemes using approximations to fractional-order operators. Finally, the analysis is extended to the forced Van der Pol oscillator.

Proteomic analysis of the influence of the adipocyte secretome on Glioma Gl261 cells

Glioma is the most frequent form of malignant brain tumor in the adults and childhood. There is a global tendency toward a higher incidence of gliomas in highly developed and industrialized countries. Simultaneously obesity is reaching epidemic proportions in such developed countries. It has been highly accepted that obesity may play an important role in the biology of several types of cancer. We have developed an in vitro method for the understanding of the influence of obesity on glioma mouse cells (Gl261). 3T3-L1 mouse pre-adipocytes were induced to the maturity. The conditioned medium was harvested and used into the Gl261 cultures. Using two-dimension electrophoresis it was analyzed the proteome content of Gl261 in the presence of conditioned medium (CGl) and in its absence (NCGl). The differently expressed spots were collected and analyzed by means of mass spectroscopy (MALDI-TOF-MS). Significantly expression pattern changes were observed in eleven proteins and enzymes. RFC1, KIF5C, ANXA2, N-RAP, RACK1 and citrate synthase were overexpressed or only present in the CGl. Contrariwise, STI1, hnRNPs and phosphoglycerate kinase 1 were significantly underexpressed in CGl. Aldose reductase and carbonic anhydrase were expressed only in NCGl. Our results show that obesity remodels the physiological and metabolic behavior of glioma cancer cells. Also, proteins found differently expressed are implicated in several signaling pathways that control matrix remodeling, proliferation, progression, migration and invasion. In general our results support the idea that obesity may increase glioma malignancy, however, some interesting paradox finding were also reported and discussed.

Some reflections on acquisition, processing and analysis of statistical data in forest soils

Beyond the classical statistical approaches (determination of basic statistics, regression analysis, ANOVA, etc.) a new set of applications of different statistical techniques has increasingly gained relevance in the analysis, processing and interpretation of data concerning the characteristics of forest soils. This is possible to be seen in some of the recent publications in the context of Multivariate Statistics. These new methods require additional care that is not always included or refered in some approaches. In the particular case of geostatistical data applications it is necessary, besides to geo-reference all the data acquisition, to collect the samples in regular grids and in sufficient quantity so that the variograms can reflect the spatial distribution of soil properties in a representative manner. In the case of the great majority of Multivariate Statistics techniques (Principal Component Analysis, Correspondence Analysis, Cluster Analysis, etc.) despite the fact they do not require in most cases the assumption of normal distribution, they however need a proper and rigorous strategy for its utilization. In this work, some reflections about these methodologies and, in particular, about the main constraints that often occur during the information collecting process and about the various linking possibilities of these different techniques will be presented. At the end, illustrations of some particular cases of the applications of these statistical methods will also be presented.

Mechanical behaviour analysis of polyester polymer mortars modified with recycled GFRP waste materials

In this study the effect of incorporation of recycled glass-fibre reinforced polymer (GFRP) waste materials, obtained by means of milling processes, on mechanical behaviour of polyester polymer mortars was assessed. For this purpose, different contents of recycled GFRP waste powder and fibres, with distinct size gradings, were incorporated into polyester based mortars as sand aggregates and filler replacements. Flexural and compressive loading capacities were evaluated and found better than unmodified polymer mortars. GFRP modified polyester based mortars also show a less brittle behaviour, with retention of some loading capacity after peak load. Obtained results highlight the high potential of recycled GFRP waste materials as efficient and sustainable reinforcement and admixture for polymer concrete and mortars composites, constituting an emergent waste management solution.

Acqusition and data analysis of the eco-efficiency for the establishment of indicators parameters for industrial environmental sustainability

The industrial activity is inevitably associated with a certain degradation of the environmental quality, because is not possible to guarantee that a manufacturing process can be totally innocuous. The eco-efficiency concept is globally accepted as a philosophy of entreprise management, that encourages the companies to become more competitive, innovative and environmentally responsible by promoting the link between its companies objectives for excellence and its objectives of environmental excellence issues. This link imposes the creation of an organizational methodology where the performance of the company is concordant with the sustainable development. The main propose of this project is to apply the concept of eco-efficiency to the particular case of the metallurgical and metal workshop industries through the development of the particular indicators needed and to produce a manual of procedures for implementation of the accurate solution.