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

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda lina 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

Síntese e caracterização do líquido iônico tetrafluoroborato de 1-metil-3-(2,6-(S)-dimetiloct-2-eno)-imidazol como eletrólito para produção de hidrogênio via eletrólise da água

Ionic liquids (ILs) are organic compounds liquid at room temperature, good electrical conductors, with the potential to form as a means for electrolyte on electrolysis of water, in which the electrodes would not be subjected to such extreme conditions demanding chemistry [1]. This paper describes the synthesis, characterization and study of the feasibility of ionic liquid ionic liquid 1-methyl-3(2,6-(S)-dimethyloct-2-ene)-imidazole tetrafluoroborate (MDI-BF4) as electrolyte to produce hydrogen through electrolysis of water. The MDI-BF4 synthesized was characterized by thermal methods of analysis (Thermogravimetric Analysis - TG and Differential Scanning Calorimetry - DSC), mid-infrared spectroscopy with Fourier transform by method of attenuated total reflectance (FTIR-ATR), nuclear magnetic resonance spectroscopy of hydrogen (NMR 1H) and cyclic voltammetry (CV). Where thermal methods were used to calculate the yield of the synthesis of MDI-BF4 which was 88.84%, characterized infrared spectroscopy functional groups of the compound and the binding B-F 1053 cm-1; the NMR 1H analyzed and compared with literature data defines the structure of MDI-BF4 and the current density achieved by MDI-BF4 in the voltammogram shows that the LI can conduct electrical current indicating that the MDI-BF4 is a good electrolyte, and that their behavior does not change with the increasing concentration of water

Nova técnica para obtenção de fraturas com altíssima condutividade em poços de petróleo

Increase hydrocarbons production is the main goal of the oilwell industry worldwide. Hydraulic fracturing is often applied to achieve this goal due to a combination of attractive aspects including easiness and low operational costs associated with fast and highly economical response. Conventional fracturing usually involves high-flowing high-pressure pumping of a viscous fluid responsible for opening the fracture in the hydrocarbon producing rock. The thickness of the fracture should be enough to assure the penetration of the particles of a solid proppant into the rock. The proppant is driven into the target formation by a carrier fluid. After pumping, all fluids are filtered through the faces of the fracture and penetrate the rock. The proppant remains in the fracture holding it open and assuring high hydraulic conductivity. The present study proposes a different approach for hydraulic fracturing. Fractures with infinity conductivity are formed and used to further improve the production of highly permeable formations as well as to produce long fractures in naturally fractured formations. Naturally open fractures with infinite conductivity are usually encountered. They can be observed in rock outcrops and core plugs, or noticed by the total loss of circulation during drilling (even with low density fluids), image profiles, pumping tests (Mini-Frac and Mini Fall Off), and injection tests below fracturing pressure, whose flow is higher than expected for radial Darcian ones. Naturally occurring fractures are kept open by randomly shaped and placed supporting points, able to hold the faces of the fracture separate even under typical closing pressures. The approach presented herein generates infinite conductivity canal held open by artificially created parallel supporting areas positioned both horizontally and vertically. The size of these areas is designed to hold the permeable zones open supported by the impermeable areas. The England & Green equation was used to theoretically prove that the fracture can be held open by such artificially created set of horizontal parallel supporting areas. To assess the benefits of fractures characterized by infinite conductivity, an overall comparison with finite conductivity fractures was carried out using a series of parameters including fracture pressure loss and dimensionless conductivity as a function of flow production, FOI folds of increase, flow production and cumulative production as a function of time, and finally plots of net present value and productivity index

Modelagem estocástica do índice de radiação ultravioleta na costa leste do nordeste do Brasil

The increase in ultraviolet radiation (UV) at surface, the high incidence of non-melanoma skin cancer (NMSC) in coast of Northeast of Brazil (NEB) and reduction of total ozone were the motivation for the present study. The overall objective was to identify and understand the variability of UV or Index Ultraviolet Radiation (UV Index) in the capitals of the east coast of the NEB and adjust stochastic models to time series of UV index aiming make predictions (interpolations) and forecasts / projections (extrapolations) followed by trend analysis. The methodology consisted of applying multivariate analysis (principal component analysis and cluster analysis), Predictive Mean Matching method for filling gaps in the data, autoregressive distributed lag (ADL) and Mann-Kendal. The modeling via the ADL consisted of parameter estimation, diagnostics, residuals analysis and evaluation of the quality of the predictions and forecasts via mean squared error and Pearson correlation coefficient. The research results indicated that the annual variability of UV in the capital of Rio Grande do Norte (Natal) has a feature in the months of September and October that consisting of a stabilization / reduction of UV index because of the greater annual concentration total ozone. The increased amount of aerosol during this period contributes in lesser intensity for this event. The increased amount of aerosol during this period contributes in lesser intensity for this event. The application of cluster analysis on the east coast of the NEB showed that this event also occurs in the capitals of Paraiba (João Pessoa) and Pernambuco (Recife). Extreme events of UV in NEB were analyzed from the city of Natal and were associated with absence of cloud cover and levels below the annual average of total ozone and did not occurring in the entire region because of the uneven spatial distribution of these variables. The ADL (4, 1) model, adjusted with data of the UV index and total ozone to period 2001-2012 made a the projection / extrapolation for the next 30 years (2013-2043) indicating in end of that period an increase to the UV index of one unit (approximately), case total ozone maintain the downward trend observed in study period

Abordagem inicial de lesões mamárias por biopsia helicóide: estudo experimental

OBJECTIVE: Evaluating the kit-Bh performance in carrying out of breast biopsies. METHODS: They were randomly selected a sample of 30 patients with breast cancer undergoing mastectomy, based on the results of a pilot study from February 2008 to April 2010. They were excluded women with had not palpable, stone-hard consistency tumors, previous surgical manipulation or that contains liquid. Using the helicoid biopsy Kit (kit Bh) and an equipment Core biopsy with cannula and needle and 14 gauge respectively, it was collected a fragment of sound equipment in the area and in tumors in each specimen, totaling 120 fragments for histological study. For data analysis, it was defined a 95% confidence level and used the SPSS-13 version, the Kappa index and the parametric Student t test. RESULTS: Mean age of patients was 51.6 years (± 11.1 years). The infiltrating ductal carcinoma showed a higher incidence, 26 cases (86.7%). The Core biopsy had a sensitivity of 93.3%, specificity of 100% and accuracy 96.7%, while the helicoid biopsy had a sensitivity of 96.7%, specificity of 100% and accuracy 98.3%. By comparing the histology of tumors and the fragments of biopsies, there was high degree of agreement in diagnoses (kappa of 0.93 with p <0.05) CONCLUSION: Both devices provided the histological diagnosis of lesions with high accuracy. Results of this study showed that the helicoid biopsy is a reliable alternative in 22 the preoperative diagnosis of breast lesions. Further studies in vivo better will define the role of Kit Bh in the diagnosis of these lesions

Emulsões de óleo de copaíba: determinação do equilíbrio hidrófilo-lipófilo crítico (EHLC), propriedades e estabilidade físico-químicas

Durante as últimas décadas, as indústrias farmacêuticas têm despertado grande interesse em óleos vegetais e vários extratos de planta por causa da sua baixa toxicidade e alta biodegrabilidade. O óleo de copaíba (Cop) é usado in natura na medicina popular como anti-inflamatório e antimicrobiano para tratar várias doenças, tais como inflamação da garganta, úlceras e infecções urinárias e pulmonares. Emulsões são sistemas dispersos termodinamicamente instáveis que consistem em dispersões de gotículas microscópicas em outro líquido imiscível. O objetivo deste trabalho foi preparar diferentes emulsões de Cop, determinar o EHL crítico deste óleo e avaliar a sua estabilidade, além de realizar estudos comparativos entre diferentes métodos de construção de diagramas de fases. As emulsões foram preparadas pelo método de inversão de fases variando as proporções de EHL de 4,7 a 16,7. A estabilidade foi determinada por vários métodos e os diagramas de fases foram produzidos pelo método de titulação usando diferentes procedimentos de agitação. As emulsões a base de Cop com EHL entre 12,7 e 15,7 foram as mais estáveis. As emulsões apresentaram boa estabilidade em curto e longo prazo, aspecto leitoso e baixos valores de índice de cremagem. Diferentes sistemas coloidais foram produzidos a partir dos diagramas de fases dependendo do processo de agitação. Baseado nesses métodos, o valor determinado de EHL do Cop foi 14,8, as emulsões permaneceram estáveis por mais de um ano e estes resultados indicam que o estudo das emulsões de Cop pode ser um promissor veículo de liberação tópica de fármacos e ativos cosméticos

Avaliação da eficiência dos investimentos do programa Inova-RN em micro e pequenas empresas Uma integração da análise envoltória de dados e índice Malmquist

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Caracterização do efluente líquido no processo de beneficiamento do índigo têxtil

The great diversity of the textile industries activities causes the formation of wastewaters with high complex characteristics during the productive process, according to the industrial process used. The principal aim of the present work is the characterization of the wastewater from the textile industry that process the indigo, located in the Industrial District of Natal-RN, to know the contaminante load of each stage of the process and the framing of the wastewater with the standards of act of receiving of the System of Treatment of Wastewater of the Industrial District of Natal-RN SITEL-DIN, operated for the Company of Waters and Sewers of the RN CAERN. It was analyzed the following properties and pollutants agents: temperature; pH; alcalinity; color; COD (Chemical Oxygen Demand); total and suspended solids; heavy metals, thermotolerants coliformes, turbidity, dissolved oxygen and electrical conductivity. As conclusion it is distinguished that the wastewater did not get resulted satisfactory, according to comparisons with other sources, in only three parameters: turbidity, dissolved oxygen and electrical conductivity, however none of these parameters is criteria of acts of receiving of the SITEL-DIN,therefore the wastewater if finds inside of normality. After the analysis of the obtained results it was verified that SITEL-DIN is indispensable for completing the wastewater treatment

Estudo numérico de escoamento turbulento em padrão anular gás-líquido em dutos verticais

Multiphase flows in ducts can adopt several morphologies depending on the mass fluxes and the fluids properties. Annular flow is one of the most frequently encountered flow patterns in industrial applications. For gas liquid systems, it consists of a liquid film flowing adjacent to the wall and a gas core flowing in the center of the duct. This work presents a numerical study of this flow pattern in gas liquid systems in vertical ducts. For this, a solution algorithm was developed and implemented in FORTRAN 90 to numerically solve the governing transport equations. The mass and momentum conservation equations are solved simultaneously from the wall to the center of the duct, using the Finite Volumes Technique. Momentum conservation in the gas liquid interface is enforced using an equivalent effective viscosity, which also allows for the solution of both velocity fields in a single system of equations. In this way, the velocity distributions across the gas core and the liquid film are obtained iteratively, together with the global pressure gradient and the liquid film thickness. Convergence criteria are based upon satisfaction of mass balance within the liquid film and the gas core. For system closure, two different approaches are presented for the calculation of the radial turbulent viscosity distribution within the liquid film and the gas core. The first one combines a k- Ɛ one-equation model and a low Reynolds k-Ɛ model. The second one uses a low Reynolds k- Ɛ model to compute the eddy viscosity profile from the center of the duct right to the wall. Appropriate interfacial values for k e Ɛ are proposed, based on concepts and ideas previously used, with success, in stratified gas liquid flow. The proposed approaches are compared with an algebraic model found in the literature, specifically devised for annular gas liquid flow, using available experimental results. This also serves as a validation of the solution algorithm

Fermentação alcoólica utilizando líquido da casca de coco verde como fonte de nutrientes

The liquid of the rind of green coconut (LCCV), an effluent stream from the industrial processing of green coconut rind, is rich in sugars and is a suitable feedstock for fermentation. The first step of this study was to evaluate the potential of natural fermentation of LCCV. As the literature did not provide any information about LCCV and due to the difficulty of working with such an organic effluent, the second step was to characterize the LCCV and to develop a synthetic medium to explore its potential as a bioprocess diluent. The third step was to evaluate the influence of initial condensed and hydrolysable tannins on alcoholic fermentation. The last step of this work was divided into several stages: in particular to evaluate (1) the influence of the inoculum, temperature and agitation on the fermentation process, (2) the carbon source and the use of LCCV as diluent, (3) the differences between natural and synthetic fermentation of LCCV, in order to determine the best process conditions. Characterization of LCCV included analyses of the physico-chemical properties as well as the content of DQO, DBO and series of solids. Fermentation was carried out in bench-scale bioreactors using Saccharomyces cerevisiae as inoculum, at a working volume of 5L and using 0.30% of soy oil as antifoam. During fermentations, the effects of different initial sugars concentrations (10 - 20%), yeast concentrations (5 and 7.5%), temperatures (30 - 50°C) and agitation rates (400 and 500 rpm) on pH/sugars profiles and ethanol production were evaluated. The characterization of LCCV demonstrated the complexity and variability of the liquid. The best conditions for ethanol conversion were (1) media containing 15% of sugar; (2) 7.5% yeast inoculum; (3) temperature set point of 40°C and (4) an agitation rate of 500 rpm, which resulted in an ethanol conversion rate of 98% after 6 hours of process. A statistical comparison of results from natural and synthetic fermentation of LCCV showed that both processes are similar

Remoção de hidrocarbonetos do gás natural visando o ajuste do índice de metano

The use of the natural gas is growing year after year in the whole world and also in Brazil. It is verified that in the last five years the profile of natural gas consumption reached a great advance and investments had been carried through in this area. In the oil industry, the use of the natural gas for fuel in the drive of engines is usual for a long date. It is also used to put into motion equipment, or still, to generate electric power. Such engines are based on the motor cycle of combustion Otto, who requires a natural gas with well definite specification, conferring characteristic anti-detonating necessary to the equipment performance for projects based on this cycle. In this work, process routes and thermodynamic conditions had been selected and evaluated. Based on simulation assays carried out in commercial simulators the content of the methane index of the effluent gas were evaluated at various ranges of pressure, temperature, flowrate, molecular weight and chemical nature and composition of the absorbent. As final result, it was established a route based on process efficiency, optimized consumption of energy and absorbent. Thereby, it serves as base for the compact equipment conception to be used in locu into the industry for the removal of hydrocarbon from the natural gas produced

Estudo da hidrodinâmica de um novo separador líquido-líquido: aplicação ao sistema óleo-bruto/água produzida

This work aims to use a different hydrodynamic condition applied to a new design of mixer-settler on treating wastewater produced by petroleum industry, called MDIF (Misturador-Decantador à Inversão de Fases/ Mixer-Settler based on Phase Inversion MSPI). The use of this different hydrodynamic behaviour is possible due to vertical disposition of the device and the principle of Phase Inversion that controls the MDIF, providing the generation (creation) of a cascade of drops, into an organic layer, that works as micro-decanters, thus making possible the formation of a bed of non-coalesced drops, called Bed Formation . The use of this new hydrodynamics condition allows to increase the residence time of the oil carrier drops, into an organic layer, and the device can treat a greater volume of wastewater. In view of to get this condition it is necessary to operate at high throughput (58,6 m3.m-2.h-1). By results, the condition of Bed Formation is the best one to be used when MSPI operates with throughput up to 58,6 m3.m-2.h-1. The results using the condition of Bed Formation show that increasing the height of the bed of non-coalesced drops and/or decreasing the volumetric ratio (O/A) an increase of the separation efficiency is detected

Planejamento experimental aplicada a um novo separador líquido-líquido utilizado no tratamento de águas residuais contaminadas com petróleo

The present work had as objective to apply an experimental planning aiming at to improve the efficiency of separation of a new type of mixer-settler applied to treat waste water contaminated with oil. An unity in scale of laboratory, was installed in the Post-graduation Program of Chemical Engineering of UFRN. It was constructed in partnership with Petrobras S.A. This called device Misturador-Decantador a Inversão de Fases (MDIF) , possess features of conventional mixer-settler and spray column type. The equipment is composed of three main parts: mixing chamber; chamber of decantation and chamber of separation. The efficiency of separation is evaluated analyzing the oil concentrations in water in the feed and the output of the device. For the analysis one used the gravimetric method of oil and greases analysis (TOG). The system in study is a water of formation emulsified with oil. The used extractant is a mixture of Turpentine spirit hydro-carbons, supplied for Petrobras. It was applied, for otimization of the efficiency of separation of the equipment, an experimental planning of the composite central type, having as factorial portion fractionary factorial planning 2 5-2, with the magnifying of the type star and five replications in the central point. In this work, the following independents variables were studied: contents of oil in the feed of the device; volumetric ratio (O/A); total flowrate ; agitation in the mixing chamber and height of the organic bed. Minimum and maximum limits for the studied variables had been fixed according previous works. The analysis of variance for the equation of the empirical model, revealed statistically significant and useful results for predictions ends. The variance analysis also presented the distribution of the error as a normal distribution and was observed that as the dispersions do not depend on the levels of the factors, the independence assumption can be verified. The variation around the average is explained by 98.98%, or either, equal to the maximum value, being the smoothing of the model in relation to the experimental points of 0,98981. The results present a strong interaction between the variable oil contents in the feed and agitation in the mixing chamber, having great and positive influence in the separation efficiency. Another variable that presented a great positive influence was the height of the organic bed. The best results of separation efficiency had been obtained for high flowrates when associates the high oil concentrations and high agitation. The results of the present work had shown excellent agreement with the results carried out through previous works with the mixer-settler of phase inversion

Determinação de dados de equilíbrio líquido-vapor a altas pressões para sistemas de hidrocarbonetos assimétricos

Crude oil is a complex liquid mixture of organic and inorganic compounds that are dominated by hydrocarbons. It is a mixture of alkanes from the simplest to more complex aromatic compounds that are present derivatives such as gasoline, diesel, alcohol, kerosene, naphtha, etc.. These derivatives are extracted from any oil, however, only with a very high quality, in other words, when the content of hydrocarbons of low molecular weight is high means that production of these compounds is feasible. The American Petroleum Institute (API) developed a classification system for the various types of oil. In Brazil, the quality of most of the oil taken from wells is very low, so it is necessary to generate new technology to develop best practices for refining in order to produce petroleum products of higher commercial value. Therefore, it is necessary to study the thermodynamic equilibrium properties of its derivative compounds of interest. This dissertation aims to determine vapor-liquid equilibrium (VLE) data for the systems Phenilcyclohexane - CO2, and Cyclohexane - Phenilcyclohexane - CO2 at high pressure and temperatures between 30 to 70oC. Furthermore, comparisons between measured VLE experimental data from this work and from the literature in relation to the Peng- Robinson molecular thermodynamic model, using a simulation program SPECS IVCSEP v5.60 and two adjustable interaction parameters, have been performed for modeling and simulation purposes. Finally, the developed apparatus for determination of phase equilibrium data at high pressures is presented