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

Contribuições à análise de robustez de sistemas de controle usando redes neurais

This work develops a robustness analysis with respect to the modeling errors, being applied to the strategies of indirect control using Artificial Neural Networks - ANN s, belong to the multilayer feedforward perceptron class with on-line training based on gradient method (backpropagation). The presented schemes are called Indirect Hybrid Control and Indirect Neural Control. They are presented two Robustness Theorems, being one for each proposed indirect control scheme, which allow the computation of the maximum steady-state control error that will occur due to the modeling error what is caused by the neural identifier, either for the closed loop configuration having a conventional controller - Indirect Hybrid Control, or for the closed loop configuration having a neural controller - Indirect Neural Control. Considering that the robustness analysis is restrict only to the steady-state plant behavior, this work also includes a stability analysis transcription that is suitable for multilayer perceptron class of ANN s trained with backpropagation algorithm, to assure the convergence and stability of the used neural systems. By other side, the boundness of the initial transient behavior is assured by the assumption that the plant is BIBO (Bounded Input, Bounded Output) stable. The Robustness Theorems were tested on the proposed indirect control strategies, while applied to regulation control of simulated examples using nonlinear plants, and its results are presented

Modelagem e medições de ondas de rádio para predição de perda de propagação em ambientes urbanos

In this dissertation new models of propagation path loss predictions are proposed by from techniques of optimization recent and measures of power levels for the urban and suburban areas of Natal, city of Brazilian northeast. These new proposed models are: (i) a statistical model that was implemented based in the addition of second-order statistics for the power and the altimetry of the relief in model of linear losses; (ii) a artificial neural networks model used the training of the algorithm backpropagation, in order to get the equation of propagation losses; (iii) a model based on the technique of the random walker, that considers the random of the absorption and the chaos of the environment and than its unknown parameters for the equation of propagation losses are determined through of a neural network. The digitalization of the relief for the urban and suburban areas of Natal were carried through of the development of specific computational programs and had been used available maps in the Statistics and Geography Brazilian Institute. The validations of the proposed propagation models had been carried through comparisons with measures and propagation classic models, and numerical good agreements were observed. These new considered models could be applied to any urban and suburban scenes with characteristic similar architectural to the city of Natal

Um algoritmo paralelo eficiente de migração reversa no tempo (rtm) 3d com granularidade fina

The reverse time migration algorithm (RTM) has been widely used in the seismic industry to generate images of the underground and thus reduce the risk of oil and gas exploration. Its widespread use is due to its high quality in underground imaging. The RTM is also known for its high computational cost. Therefore, parallel computing techniques have been used in their implementations. In general, parallel approaches for RTM use a coarse granularity by distributing the processing of a subset of seismic shots among nodes of distributed systems. Parallel approaches with coarse granularity for RTM have been shown to be very efficient since the processing of each seismic shot can be performed independently. For this reason, RTM algorithm performance can be considerably improved by using a parallel approach with finer granularity for the processing assigned to each node. This work presents an efficient parallel algorithm for 3D reverse time migration with fine granularity using OpenMP. The propagation algorithm of 3D acoustic wave makes up much of the RTM. Different load balancing were analyzed in order to minimize possible losses parallel performance at this stage. The results served as a basis for the implementation of other phases RTM: backpropagation and imaging condition. The proposed algorithm was tested with synthetic data representing some of the possible underground structures. Metrics such as speedup and efficiency were used to analyze its parallel performance. The migrated sections show that the algorithm obtained satisfactory performance in identifying subsurface structures. As for the parallel performance, the analysis clearly demonstrate the scalability of the algorithm achieving a speedup of 22.46 for the propagation of the wave and 16.95 for the RTM, both with 24 threads.

Critério de correntropia no treinamento de redes fuzzy wavelet neural networks para identificação de sistemas dinâmicos não lineares

The great interest in nonlinear system identification is mainly due to the fact that a large amount of real systems are complex and need to have their nonlinearities considered so that their models can be successfully used in applications of control, prediction, inference, among others. This work evaluates the application of Fuzzy Wavelet Neural Networks (FWNN) to identify nonlinear dynamical systems subjected to noise and outliers. Generally, these elements cause negative effects on the identification procedure, resulting in erroneous interpretations regarding the dynamical behavior of the system. The FWNN combines in a single structure the ability to deal with uncertainties of fuzzy logic, the multiresolution characteristics of wavelet theory and learning and generalization abilities of the artificial neural networks. Usually, the learning procedure of these neural networks is realized by a gradient based method, which uses the mean squared error as its cost function. This work proposes the replacement of this traditional function by an Information Theoretic Learning similarity measure, called correntropy. With the use of this similarity measure, higher order statistics can be considered during the FWNN training process. For this reason, this measure is more suitable for non-Gaussian error distributions and makes the training less sensitive to the presence of outliers. In order to evaluate this replacement, FWNN models are obtained in two identification case studies: a real nonlinear system, consisting of a multisection tank, and a simulated system based on a model of the human knee joint. The results demonstrate that the application of correntropy as the error backpropagation algorithm cost function makes the identification procedure using FWNN models more robust to outliers. However, this is only achieved if the gaussian kernel width of correntropy is properly adjusted.

Avaliação da aplicabilidade de correlações matemáticas e redes neurais na predição de parâmetros de especificação do diesel

Diesel fuel is one of leading petroleum products marketed in Brazil, and has its quality monitored by specialized laboratories linked to the National Agency of Petroleum, Natural Gas and Biofuels - ANP. The main trial evaluating physicochemical properties of diesel are listed in the resolutions ANP Nº 65 of December 9th, 2011 and Nº 45 of December 20th, 2012 that determine the specification limits for each parameter and methodologies of analysis that should be adopted. However the methods used although quite consolidated, require dedicated equipment with high cost of acquisition and maintenance, as well as technical expertise for completion of these trials. Studies for development of more rapid alternative methods and lower cost have been the focus of many researchers. In this same perspective, this work conducted an assessment of the applicability of existing specialized literature on mathematical equations and artificial neural networks (ANN) for the determination of parameters of specification diesel fuel. 162 samples of diesel with a maximum sulfur content of 50, 500 and 1800 ppm, which were analyzed in a specialized laboratory using ASTM methods recommended by the ANP, with a total of 810 trials were used for this study. Experimental results atmospheric distillation (ASTM D86), and density (ASTM D4052) of diesel samples were used as basic input variables to the equations evaluated. The RNAs were applied to predict the flash point, cetane number and sulfur content (S50, S500, S1800), in which were tested network architectures feed-forward backpropagation and generalized regression varying the parameters of the matrix input in order to determine the set of variables and the best type of network for the prediction of variables of interest. The results obtained by the equations and RNAs were compared with experimental results using the nonparametric Wilcoxon test and Student's t test, at a significance level of 5%, as well as the coefficient of determination and percentage error, an error which was obtained 27, 61% for the flash point using a specific equation. The cetane number was obtained by three equations, and both showed good correlation coefficients, especially equation based on aniline point, with the lowest error of 0,816%. ANNs for predicting the flash point and the index cetane showed quite superior results to those observed with the mathematical equations, respectively, with errors of 2,55% and 0,23%. Among the samples with different sulfur contents, the RNAs were better able to predict the S1800 with error of 1,557%. Generally, networks of the type feedforward proved superior to generalized regression.

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