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

O uso pedagógico de uma seqüência didática para a aquisição de algumas idéias relacionadas ao conceito de números complexos

The aim of the present work is to contribute to the teaching-learning process in Mathematics through an alternative which tries to motivate the student so that he/she will learn the basic concepts of Complex Numbers and realize that they are not pointless. Therefore, this work s general objective is to construct a didactic sequence which contains structured activities that intends to build up, in each student s thought, the concept of Complex Numbers. The didactic sequence is initially based on a review of the main historical aspects which begot the construction of those numbers. Based on these aspects, and the theories of Richard Skemp, was elaborated a sequence of structured activities linked with Maths history, having the solution of quadratic equations as a main starting point. This should make learning more accessible, because this concept permeates the students previous work and, thus, they should be more familiar with it. The methodological intervention began with the application of that sequence of activities with grade students in public schools who did not yet know the concept of Complex Numbers. It was performed in three phases: a draft study, a draft study II and the final study. Each phase was applied in a different institution, where the classes were randomly divided into groups and each group would discuss and write down the concepts they had developed about Complex Numbers. We also use of another instrument of analysis which consisted of a recorded interview of a semi-structured type, trying to find out the ways the students thought in order to construct their own concepts, i.e. the solutions of the previous activity. Their ideas about Complex Numbers were categorized according to their similarities and then analyzed. The results of the analysis show that the concepts constructed by the students were pertinent and that they complemented each other this supports the conclusion that the use of structured activities is an efficient alternative for the teaching of mathematics

Análise de métodos para detecção de mudanças estruturais em séries temporais climáticas

The time series analysis has played an increasingly important role in weather and climate studies. The success of these studies depends crucially on the knowledge of the quality of climate data such as, for instance, air temperature and rainfall data. For this reason, one of the main challenges for the researchers in this field is to obtain homogeneous series. A time series of climate data is considered homogeneous when the values of the observed data can change only due to climatic factors, i.e., without any interference from external non-climatic factors. Such non-climatic factors may produce undesirable effects in the time series, as unrealistic homogeneity breaks, trends and jumps. In the present work it was investigated climatic time series for the city of Natal, RN, namely air temperature and rainfall time series, for the period spanning from 1961 to 2012. The main purpose was to carry out an analysis in order to check the occurrence of homogeneity breaks or trends in the series under investigation. To this purpose, it was applied some basic statistical procedures, such as normality and independence tests. The occurrence of trends was investigated by linear regression analysis, as well as by the Spearman and Mann-Kendall tests. The homogeneity was investigated by the SNHT, as well as by the Easterling-Peterson and Mann-Whitney-Pettit tests. Analyzes with respect to normality showed divergence in their results. The von Neumann ratio test showed that in the case of the air temperature series the data are not independent and identically distributed (iid), whereas for the rainfall series the data are iid. According to the applied testings, both series display trends. The mean air temperature series displays an increasing trend, whereas the rainfall series shows an decreasing trend. Finally, the homogeneity tests revealed that all series under investigations present inhomogeneities, although they breaks depend on the applied test. In summary, the results showed that the chosen techniques may be applied in order to verify how well the studied time series are characterized. Therefore, these results should be used as a guide for further investigations about the statistical climatology of Natal or even of any other place.

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 de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Purificação, caracterização e análise da atividade bioinseticida, de um inibidor de tripsina em sementes de catanduva (Piptadenia moniliformis)

One Kunitz-type trypsin inhibitors (PmTI) was purified from Piptadenia moniliformis seeds, a tree of the sub-family Mimosoideae, by TCA precipitation, affinity chromatography on immobilized trypsin-Sepharose, DEAE cellulose (ion exchange) and Superose 12 (molecular exclusion) column FPLC/AKTA. The inhibitor has Mr of 25 kDa by SDS-PAGE and chromatography molecular exclusion. The N-terminal sequence of this inhibitor showed high homology with other family Kunitz inhibitors. This also stable variations in temperature and pH and showed a small decrease in its activity when incubated with DDT in the concentration of 100mM for 120 minutes. The inhibition of trypsin by PmTI was competitive, with Ki of 1.57 x10-11 M. The activity of trypsin was effectively inhibited by percentage of inhibition of 100%, among enzymes tested, was not detected inhibition for the bromelain, was weak inhibitor of pancreatic elastase (3.17% of inhibition) and inhibited by 76.42% elastase of neutrophils, and inhibited in a moderate, chymotrypsin and papain with percentage of inhibition of 42.96% and 23.10% respectively. In vitro assays against digestive proteinases from Lepidoptera, Diptera and Coleoptera pests were carried out. Several degrees of inhibition were found. For Anthonomus grandis and Ceratitis capitata the inhibition was 89.93% and 70.52%, respectively, and the enzymes of Zabrotes subfasciatus and Callosobruchus maculatus were inhibited by 5.96% and 9.41%, respectively, and the enzymes of Plodia. interpunctella and Castnia licus were inhibited by 59.94% and 23.67, respectively. In vivo assays, was observed reduction in the development of larvae in 4rd instar of C. capitata, when PmTI was added to the artificial diet, getting WD50 and LD50 of 0.30% and 0.33%, respectively. These results suggest that this inhibitor could be a strong candidate to plant management programs cross transgenic

Análise de agrupamentos dos dados de DFA oriundos de perfis elétricos de indução de poços de petróleo

The main objective of this study is to apply recently developed methods of physical-statistic to time series analysis, particularly in electrical induction s profiles of oil wells data, to study the petrophysical similarity of those wells in a spatial distribution. For this, we used the DFA method in order to know if we can or not use this technique to characterize spatially the fields. After obtain the DFA values for all wells, we applied clustering analysis. To do these tests we used the non-hierarchical method called K-means. Usually based on the Euclidean distance, the K-means consists in dividing the elements of a data matrix N in k groups, so that the similarities among elements belonging to different groups are the smallest possible. In order to test if a dataset generated by the K-means method or randomly generated datasets form spatial patterns, we created the parameter Ω (index of neighborhood). High values of Ω reveals more aggregated data and low values of Ω show scattered data or data without spatial correlation. Thus we concluded that data from the DFA of 54 wells are grouped and can be used to characterize spatial fields. Applying contour level technique we confirm the results obtained by the K-means, confirming that DFA is effective to perform spatial analysis

Análise de DFA e de agrupamento do perfil de densidade de poços de petróleo

In recent years, the DFA introduced by Peng, was established as an important tool capable of detecting long-range autocorrelation in time series with non-stationary. This technique has been successfully applied to various areas such as: Econophysics, Biophysics, Medicine, Physics and Climatology. In this study, we used the DFA technique to obtain the Hurst exponent (H) of the profile of electric density profile (RHOB) of 53 wells resulting from the Field School of Namorados. In this work we want to know if we can or not use H to spatially characterize the spatial data field. Two cases arise: In the first a set of H reflects the local geology, with wells that are geographically closer showing similar H, and then one can use H in geostatistical procedures. In the second case each well has its proper H and the information of the well are uncorrelated, the profiles show only random fluctuations in H that do not show any spatial structure. Cluster analysis is a method widely used in carrying out statistical analysis. In this work we use the non-hierarchy method of k-means. In order to verify whether a set of data generated by the k-means method shows spatial patterns, we create the parameter Ω (index of neighborhood). High Ω shows more aggregated data, low Ω indicates dispersed or data without spatial correlation. With help of this index and the method of Monte Carlo. Using Ω index we verify that random cluster data shows a distribution of Ω that is lower than actual cluster Ω. Thus we conclude that the data of H obtained in 53 wells are grouped and can be used to characterize space patterns. The analysis of curves level confirmed the results of the k-means

Eficiência nos gastos públicos em educação fundamental: uma análise nos municípios do estado do Rio Grande do Norte, 2007 e 2011

This paper aims to measure the degree of efficiency in the allocation of public resources in education from the FUNDEB in elementary education in the towns of Rio Grande do Norte in 2007 and 2011. To do so, we must determine to evaluate the efficiency in the allocation of public resources in municipal education in the early and last grades of elementary education; verify that the towns that achieved higher levels of efficiency that were allocated the largest volumes of resources in primary education and analyze which towns reached the worst and the best levels of efficiency in the allocation of public resources in education. This is on the assumption that the relation between the educational policies of local governments and concern for efficiency in the allocation of resources in education is limited only to increase spending on education. It is intended from the model of Data Envelopment analysis, (DEA), with Variable Returns to Scale (VRS), estimate the efficiency of spending on education and municipal pubic purging the problem of outliers. Estimations show that the municipalities of Rio Grande do Norte do not allocate their resources in public elementary education efficiently

Pedagogia Freinet: a construção de uma práxis em turmas de 5ª a 8ª séries

Ce travail que nous venons de présenter apport une systématisation sur la viabilité de la praxis de l´éducateur français Célestin Freinet (1896-1996). Il s´agit d´une étude qualificative, recherche-action, développée dans une école coopérative l´ École Freinet à Natal/RN Brésil, auprès des élèves du 5ème et 8ème séries de l´Enseignement Fondamental. Le problème central que nous a amené à cette recherche, a été le fait de vérifier les progressions dans la production scientifique et dans les pratiques des enseignants qui ont à la charge l´Éducation Infantine et les premières séries de l´Enseignement Fondamental. Tout cela en tenant compte en concevoir l´élève en tant que sujet actif de son apprentissage et coresponsable à l´organisation du travail scolaire. Toutefois, qaund-il s´agit des quatre dernières séries de l´Enseignement Fondamental (5ème au 8ème séries), les propositions progressistes sont prises comme quelque chose pratiquement impossible d´en mettre en marche. Pour attenuer la lacune théorique sur le sujet, nous avons offert un texte significatif pour les enseignants d´une façon générale, les chercheurs de l´académie et pour l´écolechamp de la recherché. Tout cela par le fait de ne pas donner de priorité à une technique ou à un principe, en particulier. Cette pédagogie est discutée autant que possible dans son contexte global et aussi sur le comment s´est manifestée dans sa práxis . Nous avons mis en relief les aspects importants pour le fonctionnement de la salle de classe, aussi que les estratégies utilisées pour la construction, communication et documentation des connaissances L´intervention nous a permis de construire l´objet par la réflexion en action, à partir des données obtenues pendant les observations, les entretiens, les enterviews, les moments d´études et de la quête des textes écrits. L´analyse a été faite à la lumière de la methodologie comprehensive (Kaufmann, 1996), entrelacée au materiau empirique et à la théorie. Cette forme d´analyse nous a permis d´obtenir la logique dans l´ensemble comme nous crayons que doit caracteriser la recherche aux Sciences Humaines et Sociales. Les considérations finales mettent l´accent d´un côté sur l´efficacité de la pédagogie Freinet, pour orienter le processus de l´enseignement apprentissage, en tous les dégres de l´enseignement et de l´autre côté nous montre la nécessité urgente de l´équipe de l´école champ de la recherche, de qualifier sa pratique à partir des références théoriques-pratiques de la pédagogie Freinet

Reflexões sobre a construção e evolução de conceitos geométricos nas séries intermediárias do ensino fundamental

This thesis represents a didactic research linked to the Post-graduation Programme in Education of the Universidade Federal do Rio Grande do Norte which aimed to approach the construction of the geometrical concepts of Volume of the Rectangular Parallelepiped, Area and Perimeter of the Rectangle adding a study of the Area of the Circle. The research was developed along with students from the 6th level of the Elementary School, in a public school in Natal/RN. The pedagogical intervention was made up of three moments: application of a diagnostic evaluation, instrument that enabled the creation of the teaching module by showing the level of the geometry knowledge of the students; introduction of a Teaching Module by Activities aiming to propose a reflexive didactic routing directed to the conceptual construction because we believed that such an approach would favor the consolidation of the learning process by becoming significant to the apprentice, and the accomplishment of a Final Evaluation through which we established a comparison of the results obtained before and after the teaching intervention. The data gathered were analyzed qualitatively by means of a study of understanding categories of mathematical concepts, in addition to using descriptive statistics under the quantitative aspect. Based on the theory of Richard Skemp, about categorization of mathematical knowledge, in the levels of Relational and Instrumental Understanding were achieved in contextual situations and varied proportions, thus enabling a contribution in the learning of the geometrical concepts studied along with the students who took part in the research. We believe that this work may contribute with reflections about the learning processes, a concern which remained during all the stages of the research, and also that the technical competence along with the knowledge about the constructivist theory will condition the implementation of a new dynamics to the teaching and learning processes. We hope that the present research work may add some contribution to the teaching practice in the context of the teaching of Mathematics for the intermediate levels of the Elementary School

Seleção seqüencial de descritores por análise da semântica para recuperação de imagens baseada no conteúdo

With the rapid growth of databases of various types (text, multimedia, etc..), There exist a need to propose methods for ordering, access and retrieve data in a simple and fast way. The images databases, in addition to these needs, require a representation of the images so that the semantic content characteristics are considered. Accordingly, several proposals such as the textual annotations based retrieval has been made. In the annotations approach, the recovery is based on the comparison between the textual description that a user can make of images and descriptions of the images stored in database. Among its drawbacks, it is noted that the textual description is very dependent on the observer, in addition to the computational effort required to describe all the images in database. Another approach is the content based image retrieval - CBIR, where each image is represented by low-level features such as: color, shape, texture, etc. In this sense, the results in the area of CBIR has been very promising. However, the representation of the images semantic by low-level features is an open problem. New algorithms for the extraction of features as well as new methods of indexing have been proposed in the literature. However, these algorithms become increasingly complex. So, doing an analysis, it is natural to ask whether there is a relationship between semantics and low-level features extracted in an image? and if there is a relationship, which descriptors better represent the semantic? which leads us to a new question: how to use descriptors to represent the content of the images?. The work presented in this thesis, proposes a method to analyze the relationship between low-level descriptors and semantics in an attempt to answer the questions before. Still, it was observed that there are three possibilities of indexing images: Using composed characteristic vectors, using parallel and independent index structures (for each descriptor or set of them) and using characteristic vectors sorted in sequential order. Thus, the first two forms have been widely studied and applied in literature, but there were no records of the third way has even been explored. So this thesis also proposes to index using a sequential structure of descriptors and also the order of these descriptors should be based on the relationship that exists between each descriptor and semantics of the users. Finally, the proposed index in this thesis revealed better than the traditional approachs and yet, was showed experimentally that the order in this sequence is important and there is a direct relationship between this order and the relationship of low-level descriptors with the semantics of the users

Análise da precipitação no semi-árido potiguar

The semiarid rainfall regime is northeastern Brazil is highly variable. Climate processes associated with rainfall are complex and their effects may represent extreme situations of drought or floods, which can have adverse effects on society and the environment. The regional economy has a significant agricultural component, which is strongly influenced by weather conditions. Maximum precipitation analysis is traditionally performed using the intensity-duration-frequency (IDF) probabilistic approach. Results from such analysis are typically used in engineering projects involving hydraulic structures such as drainage network systems and road structures. On the other hand, precipitation data analysis may require the adoption of some kind of event identification criteria. The minimum inter-event duration (IMEE) is one of the most used criteria. This study aims to analyze the effect of the IMEE on the obtained rain event properties. For this purpose, a nine-year precipitation time series (2002- 2011) was used. This data was obtained from an automatic raingauge station, installed in an environmentally protected area, Ecological Seridó Station. The results showed that adopted IMEE values has an important effect on the number of events, duration, event height, mean rainfall rate and mean inter-event duration. Furthermore, a higher occurrence of extreme events was observed for small IMEE values. Most events showed average rainfall intensity higher than 2 mm.h-1 regardless of IMEE. The storm coefficient of advance was, in most cases, within the first quartile of the event, regardless of the IMEE value. Time series analysis using partial time series made it possible to adjust the IDF equations to local characteristics

Conectores adversativos na fala do natalense: uma análise funcionalista com implicações para o ensino

This work analyzes the behavior of the adversative connectors in the speech of the user of Natal, with views to suggest implications for the grammar teaching in the high school Portuguese languages classes. It is an investigation that sits on the functionalist paradigm, specifically in the protected ideas for Givón. For so much, data of situations of speech from the corpus Discurso e gramática lingual falada e escrita da cidade do Natal (FURTADO DA CUNHA, 1998). The sample embraces a total of forty interviews, of which the occurrences are cut out whose registrations mark the existence of adversatives constructions in narratives of personal experience and in the opinion reports, modality of oral language, of the mentioned database. The work revisits authors of the grammar, Cunha (1986); Bechara (2006); Perini (2006), among others; authors that contemplate referring approaches to the use of opposition connectors as: Barreto (1999); Tavares (2003); Longhin (2003); Silva (2005); Rocha (2006); Neves (2000, 2006). The results of the panoramic analysis reveal as adversity connectors in use for the habitant of Natal, for recurrence order, the mas, e, aí, agora, só que, no entanto and já. Analyzed the results, the same ones are compared with the treatment presented by the traditional grammar, with application of functional iconicity principle, markdness principle and the prototype of the category is chosen. In the differentiated analysis of the item " agora ", structural profile of the constructions is analyzed that involve the item, semantic profile, times, manners and aspects of the verbs that they wrap up in the constructions in reference, trajectory of grammaticalization and comparison with the prototype of the category. Finally, they are suggested implications of whole the study for the teaching of Portuguese language, in the high school classes

Estudos de modelos Estocásticos: processo de contato, séries aleatórias e processos difusivos

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