Análise da sobre-reação e sub-reação nos ativos de primeira e segunda linha do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Ambiente para avaliação de controladores fuzzy aplicados ao método de elevação artificial por bombeio centrífugo submerso

From their early days, Electrical Submergible Pumping (ESP) units have excelled in lifting much greater liquid rates than most of the other types of artificial lift and developed by good performance in wells with high BSW, in onshore and offshore environments. For all artificial lift system, the lifetime and frequency of interventions are of paramount importance, given the high costs of rigs and equipment, plus the losses coming from a halt in production. In search of a better life of the system comes the need to work with the same efficiency and security within the limits of their equipment, this implies the need for periodic adjustments, monitoring and control. How is increasing the prospect of minimizing direct human actions, these adjustments should be made increasingly via automation. The automated system not only provides a longer life, but also greater control over the production of the well. The controller is the brain of most automation systems, it is inserted the logic and strategies in the work process in order to get you to work efficiently. So great is the importance of controlling for any automation system is expected that, with better understanding of ESP system and the development of research, many controllers will be proposed for this method of artificial lift. Once a controller is proposed, it must be tested and validated before they take it as efficient and functional. The use of a producing well or a test well could favor the completion of testing, but with the serious risk that flaws in the design of the controller were to cause damage to oil well equipment, many of them expensive. Given this reality, the main objective of the present work is to present an environment for evaluation of fuzzy controllers for wells equipped with ESP system, using a computer simulator representing a virtual oil well, a software design fuzzy controllers and a PLC. The use of the proposed environment will enable a reduction in time required for testing and adjustments to the controller and evaluated a rapid diagnosis of their efficiency and effectiveness. The control algorithms are implemented in both high-level language, through the controller design software, such as specific language for programming PLCs, Ladder Diagram language.

Desenvolvimento de um ambiente para projeto de controladores fuzzy para dispositivos móveis

Fuzzy intelligent systems are present in a variety of equipment ranging from household appliances to Fuzzy intelligent systems are present in a variety of equipment ranging from household appliances to small devices such as digital cameras and cell phones being used primarily for dealing with the uncertainties in the modeling of real systems. However, commercial implementations of Fuzzy systems are not general purpose and do not have portability to different hardware platforms. Thinking about these issues this work presents the implementation of an open source development environment that consists of a desktop system capable of generate Graphically a general purpose Fuzzy controller and export these parameters for an embedded system with a Fuzzy controller written in Java Platform Micro Edition To (J2ME), whose modular design makes it portable to any mobile device that supports J2ME. Thus, the proposed development platform is capable of generating all the parameters of a Fuzzy controller and export it in XML file, and the code responsible for the control logic that is embedded in the mobile device is able to read this file and start the controller. All the parameters of a Fuzzy controller are configurable using the desktop system, since the membership functions and rule base, even the universe of discourse of the linguistic terms of output variables. This system generates Fuzzy controllers for the interpolation model of Takagi-Sugeno. As the validation process and testing of the proposed solution the Fuzzy controller was embedded on the mobile device Sun SPOT ® and used to control a plant-level Quanser®, and to compare the Fuzzy controller generated by the system with other types of controllers was implemented and embedded in sun spot a PID controller to control the same level plant of Quanser®

Ambiente para avaliação de controladores fuzzy aplicados ao método de elevação artificial por bombeio centrífugo submerso

From their early days, Electrical Submergible Pumping (ESP) units have excelled in lifting much greater liquid rates than most of the other types of artificial lift and developed by good performance in wells with high BSW, in onshore and offshore environments. For all artificial lift system, the lifetime and frequency of interventions are of paramount importance, given the high costs of rigs and equipment, plus the losses coming from a halt in production. In search of a better life of the system comes the need to work with the same efficiency and security within the limits of their equipment, this implies the need for periodic adjustments, monitoring and control. How is increasing the prospect of minimizing direct human actions, these adjustments should be made increasingly via automation. The automated system not only provides a longer life, but also greater control over the production of the well. The controller is the brain of most automation systems, it is inserted the logic and strategies in the work process in order to get you to work efficiently. So great is the importance of controlling for any automation system is expected that, with better understanding of ESP system and the development of research, many controllers will be proposed for this method of artificial lift. Once a controller is proposed, it must be tested and validated before they take it as efficient and functional. The use of a producing well or a test well could favor the completion of testing, but with the serious risk that flaws in the design of the controller were to cause damage to oil well equipment, many of them expensive. Given this reality, the main objective of the present work is to present an environment for evaluation of fuzzy controllers for wells equipped with ESP system, using a computer simulator representing a virtual oil well, a software design fuzzy controllers and a PLC. The use of the proposed environment will enable a reduction in time required for testing and adjustments to the controller and evaluated a rapid diagnosis of their efficiency and effectiveness. The control algorithms are implemented in both high-level language, through the controller design software, such as specific language for programming PLCs, Ladder Diagram language.

Detecção de interface em tanques de petróleo usando transmissores de nível e controladores Fuzzy

This work presents a proposal to detect interface in atmospheric oil tanks by installing a differential pressure level transmitter to infer the oil-water interface. The main goal of this project is to maximize the quantity of free water that is delivered to the drainage line by controlling the interface. A Fuzzy Controller has been implemented by using the interface transmitter as the Process Variable. Two ladder routine was generated to perform the control. One routine was developed to calculate the error and error variation. The other was generate to develop the fuzzy controller itself. By using rules, the fuzzy controller uses these variables to set the output. The output is the position variation of the drainage valve. Although the ladder routine was implemented into an Allen Bradley PLC, Control Logix family it can be implemented into any brand of PLCs

Controle aplicado a poços com método de elevação e bombeio centrífugo submerso

The Electrical Submersible Pumping is an artificial lift method for oil wells employed in onshore and offshore areas. The economic revenue of the petroleum production in a well depends on the oil flow and the availability of lifting equipment. The fewer the failures, the lower the revenue shortfall and costs to repair it. The frequency with which failures occur depends on the operating conditions to which the pumps are submitted. In high-productivity offshore wells monitoring is done by operators with engineering support 24h/day, which is not economically viable for the land areas. In this context, the automation of onshore wells has clear economic advantages. This work proposes a system capable of automatically control the operation of electrical submersible pumps, installed in oil wells, by an adjustment at the electric motor rotation based on signals provided by sensors installed on the surface and subsurface, keeping the pump operating within the recommended range, closest to the well s potential. Techniques are developed to estimate unmeasured variables, enabling the automation of wells that do not have all the required sensors. The automatic adjustment, according to an algorithm that runs on a programmable logic controller maintains the flow and submergence within acceptable parameters avoiding undesirable operating conditions, as the gas interference and high engine temperature, without need to resort to stopping the engine, which would reduce the its useful life. The control strategy described, based on modeling of physical phenomena and operational experience reported in literature, is materialized in terms of a fuzzy controller based on rules, and all generated information can be accompanied by a supervisory system

Uma proposta de regulador nebuloso para geradores eólicos de indução

This work presents a proposal for a voltage and frequency control system for a wind power induction generator. It has been developed na experimental structure composes basically by a three phase induction machine, a three phase capacitor and a reactive static Power compensator controlled by histeresys. lt has been developed control algorithms using conventional methods (Pl control) and linguistic methods (using concepts of logic and fuzzy control), to compare their performances in the variable speed generator system. The control loop was projected using the ADJDA PCL 818 model board into a Pentium 200 MHz compu ter. The induction generator mathematical model was studied throught Park transformation. It has been realized simulations in the Pspice@ software, to verify the system characteristics in transient and steady-state situations. The real time control program was developed in C language, possibilish verify the algorithm performance in the 2,2kW didatic experimental system

Lógica Fuzzy para Controle de pH em um Processo Petrolífero

This work proposes the design, the performance evaluation and a methodology for tuning the initial MFs parameters of output of a function based Takagi-Sugeno-Kang Fuzzy-PI controller to neutralize the pH in a stirred-tank reactor. The controller is designed to perform pH neutralization of industrial plants, mainly in units found in oil refineries where it is strongly required to mitigate uncertainties and nonlinearities. In addition, it adjusts the changes in pH regulating process, avoiding or reducing the need for retuning to maintain the desired performance. Based on the Hammerstein model, the system emulates a real plant that fits the changes in pH neutralization process of avoiding or reducing the need to retune. The controller performance is evaluated by overshoots, stabilization times, indices Integral of the Absolute Error (IAE) and Integral of the Absolute Value of the Error-weighted Time (ITAE), and using a metric developed by that takes into account both the error information and the control signal. The Fuzzy-PI controller is compared with PI and gain schedule PI controllers previously used in the testing plant, whose results can be found in the literature.

Estratégia de escalonamento de controladores PID baseado em regras Fuzzy para redes industriais foundation fieldbus usando blocos padrões

The main objective of work is to show procedures to implement intelligent control strategies. This strategies are based on fuzzy scheduling of PID controllers, by using only standard function blocks of this technology. Then, the standardization of Foundation Fieldbus is kept. It was developed an environment to do the necessary tests, it validates the propose. This environment is hybrid, it has a real module (the fieldbus) and a simulated module (the process), although the control signals and measurement are real. Then, it is possible to develop controllers projects. In this work, a fuzzy supervisor was developed to schedule a network of PID controller for a non-linear plant. Analyzing its performance results to the control and regulation problem

Controle por modos deslizantes com compensação difusa aplicado a sistemas com descontinuidade

The development of non-linear controllers gained space in the theoretical ambit and of practical applications on the moment that the arising of digital computers enabled the implementation of these methodologies. In comparison with the linear controllers more utilized, the non -linear controllers present the advantage of not requiring the linearity of the system to determine the parameters of control, which permits a more efficient control especially when the system presents a high level of non-linearity. Another additional advantage is the reduction of costs, since to obtain the efficient control through linear controllers it is necessary the utilization of sensors and more refined actuators than when it is utilized a non-linear controller. Among the non-linear theories of control, the method of control by gliding ways is detached for being a method that presents more robustness, before uncertainties. It is already confirmed that the adoption of compensation on the region of residual error permits to improve better the performance of these controllers. So, in this work it is described the development of a non-linear controller that looks for an association of strategy of control by gliding ways, with the fuzzy compensation technique. Through the implementation of some strategies of fuzzy compensation, it was searched the one which provided the biggest efficiency before a system with high level of nonlinearities and uncertainties. The electrohydraulic actuator was utilized as an example of research, and the results appoint to two configurations of compensation that permit a bigger reduction of the residual error

Detecção e diagnóstico de falhas não-supervisionados baseados em estimativa de densidade recursiva e classificador fuzzy auto-evolutivo

In this work, we propose a two-stage algorithm for real-time fault detection and identification of industrial plants. Our proposal is based on the analysis of selected features using recursive density estimation and a new evolving classifier algorithm. More specifically, the proposed approach for the detection stage is based on the concept of density in the data space, which is not the same as probability density function, but is a very useful measure for abnormality/outliers detection. This density can be expressed by a Cauchy function and can be calculated recursively, which makes it memory and computational power efficient and, therefore, suitable for on-line applications. The identification/diagnosis stage is based on a self-developing (evolving) fuzzy rule-based classifier system proposed in this work, called AutoClass. An important property of AutoClass is that it can start learning from scratch". Not only do the fuzzy rules not need to be prespecified, but neither do the number of classes for AutoClass (the number may grow, with new class labels being added by the on-line learning process), in a fully unsupervised manner. In the event that an initial rule base exists, AutoClass can evolve/develop it further based on the newly arrived faulty state data. In order to validate our proposal, we present experimental results from a level control didactic process, where control and error signals are used as features for the fault detection and identification systems, but the approach is generic and the number of features can be significant due to the computationally lean methodology, since covariance or more complex calculations, as well as storage of old data, are not required. The obtained results are significantly better than the traditional approaches used for comparison

Detecção de interface em tanques de petróleo usando transmissores de nível e controladores Fuzzy

This work presents a proposal to detect interface in atmospheric oil tanks by installing a differential pressure level transmitter to infer the oil-water interface. The main goal of this project is to maximize the quantity of free water that is delivered to the drainage line by controlling the interface. A Fuzzy Controller has been implemented by using the interface transmitter as the Process Variable. Two ladder routine was generated to perform the control. One routine was developed to calculate the error and error variation. The other was generate to develop the fuzzy controller itself. By using rules, the fuzzy controller uses these variables to set the output. The output is the position variation of the drainage valve. Although the ladder routine was implemented into an Allen Bradley PLC, Control Logix family it can be implemented into any brand of PLCs

Controle aplicado a poços com método de elevação e bombeio centrífugo submerso

The Electrical Submersible Pumping is an artificial lift method for oil wells employed in onshore and offshore areas. The economic revenue of the petroleum production in a well depends on the oil flow and the availability of lifting equipment. The fewer the failures, the lower the revenue shortfall and costs to repair it. The frequency with which failures occur depends on the operating conditions to which the pumps are submitted. In high-productivity offshore wells monitoring is done by operators with engineering support 24h/day, which is not economically viable for the land areas. In this context, the automation of onshore wells has clear economic advantages. This work proposes a system capable of automatically control the operation of electrical submersible pumps, installed in oil wells, by an adjustment at the electric motor rotation based on signals provided by sensors installed on the surface and subsurface, keeping the pump operating within the recommended range, closest to the well s potential. Techniques are developed to estimate unmeasured variables, enabling the automation of wells that do not have all the required sensors. The automatic adjustment, according to an algorithm that runs on a programmable logic controller maintains the flow and submergence within acceptable parameters avoiding undesirable operating conditions, as the gas interference and high engine temperature, without need to resort to stopping the engine, which would reduce the its useful life. The control strategy described, based on modeling of physical phenomena and operational experience reported in literature, is materialized in terms of a fuzzy controller based on rules, and all generated information can be accompanied by a supervisory system