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

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

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

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

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.

Sobre o tempo

BONACCINI, J. A. . Sobre o tempo. Princípios: revista de filosofia. Natal((RN), v. 5, n. 6, p. 123-138, 1998. ISSN 1983-2109. Disponivel em: . Acesso em: 04 out. 2010.

Repercussões do tempo operatório em pulmões de ratos idosos

A duração das operações pode representar um fator importante para uma série de complicações pós-operatórias, especialmente para os indivíduos idosos. Objetivo: estudar a repercussão nos pulmões, de operações de diferentes tempos de duração. Métodos: Vinte ratos idosos (18 meses) e 20 jovens (3 meses) foram separados aleatoriamente em grupos A e B respectivamente. Os grupos foram divididos em A1, A2, A3, A4, B1, B2, B3 and B4, com cinco ratos cada. Os animais foram anestesiados com pentobarbital (20mg/Kg) intraperitoneal. No subgrupo A1 e B1 foi feita operação com duração de 30 minutos, nos grupos A2 and B2 60 minutos, em A3 and B3 a operação foi feita em 120 minuto e os animais A4 e B4 (controle) não foram operados. O procedimento consistiu de laparotomia xifopubiana que foi aberta e fechada tantas vezes quanto necessário para atingir os tempos estipulados. Após o quinto dia pós-operatório os animais foram mortos com superdose de anestésico e biópsias de ambos os pulmões foram realizadas. Os achados histopatológicos foram transformados em escores. Resultados: os grupos de ratos jovens atingiram os escores: A1= escore 6, A2=11; A3=28; A4=5. Os ratos idosos tiveram os escores: B1=12; B2=34; B3=51 e B4=6. A análise estatística revelou diferenças significantes entre os escores dos grupos A e B. Conclusões: O tempo prolongado nas operações realizadas em ratos idosos contribuiu para o aparecimento de alterações pulmonares de modo significante. Quanto maior o tempo operatório, mais intensas e mais freqüentes as complicações pulmonares

Repercussões do tempo operatório em pulmões de ratos idosos

A duração das operações pode representar um fator importante para uma série de complicações pós-operatórias, especialmente para os indivíduos idosos. Objetivo: estudar a repercussão nos pulmões, de operações de diferentes tempos de duração. Métodos: Vinte ratos idosos (18 meses) e 20 jovens (3 meses) foram separados aleatoriamente em grupos A e B respectivamente. Os grupos foram divididos em A1, A2, A3, A4, B1, B2, B3 and B4, com cinco ratos cada. Os animais foram anestesiados com pentobarbital (20mg/Kg) intraperitoneal. No subgrupo A1 e B1 foi feita operação com duração de 30 minutos, nos grupos A2 and B2 60 minutos, em A3 and B3 a operação foi feita em 120 minuto e os animais A4 e B4 (controle) não foram operados. O procedimento consistiu de laparotomia xifopubiana que foi aberta e fechada tantas vezes quanto necessário para atingir os tempos estipulados. Após o quinto dia pós-operatório os animais foram mortos com superdose de anestésico e biópsias de ambos os pulmões foram realizadas. Os achados histopatológicos foram transformados em escores. Resultados: os grupos de ratos jovens atingiram os escores: A1= escore 6, A2=11; A3=28; A4=5. Os ratos idosos tiveram os escores: B1=12; B2=34; B3=51 e B4=6. A análise estatística revelou diferenças significantes entre os escores dos grupos A e B. Conclusões: O tempo prolongado nas operações realizadas em ratos idosos contribuiu para o aparecimento de alterações pulmonares de modo significante. Quanto maior o tempo operatório, mais intensas e mais freqüentes as complicações pulmonares

Influência do tempo e dose de heparina em modelo de peritonite aguda

In the last years, heparin has become target of many studies related to inflammation due its ability of biding to proteins involved on immune response. Recently, it was demonstrated, at our laboratory, using a thIoglycollate-induced peritonitis model, heparin s capacity of reduce cellular influx into the peritoneal cavity, 3 hours after the inflammatory stimulus. Once neutrophilic infiltration is highest around 8 hours after the inflammatory stimulus, at the present work, using the same peritonitis model, it was assessed heparin s ability of keeping the interference on leukocyte infiltration, 8 hours after inflammation induction. Moreover, using cellular differential count, it was evaluated how the cellular populations involved in the inflammatory process would be affected by the treatment. Eight hours after the inflammatory stimulus, only heparin dosage of 1 μg/Kg was able to reduce the cellular influx to peritoneum, 62.8% of reduction when compared to positive control (p < 0.001). Furthermore, heparin dosage of 15 μg/Kg presented a pro-inflammatory effect in whole blood verified by the increase of 60.9% (p < 0.001) and 117.8% (p < 0.001) on neutrophils and monocytes proportion, respectively, when compared to positive control. In addition, this dosage also presented a neutrophilic proportion on peritoneal fluid 27.3% higher than positive control (p < 0.05). This duality between anti- and pro-inflammatory effects at different times corroborates studies that attribute a pleiotropic immunomodulator role to heparin.

Cinemática de partículas em fluidos de viscosidade variável com o tempo e sua aplicação na construção de poços de petróleo: avaliação durante paradas operacionais

The new oil reservoirs discoveries in onshore and ultra deep water offshore fields and complex trajectories require the optimization of procedures to reduce the stops operation during the well drilling, especially because the platforms and equipment high cost, and risks which are inherent to the operation. Among the most important aspects stands out the drilling fluids project and their behavior against different situations that may occur during the process. By means of sedimentation experiments, a correlation has been validated to determe the sedimentation particles velocity in variable viscosity fluids over time, applying the correction due to effective viscosity that is a shear rate and time function. The viscosity evolution over time was obtained by carrying out rheologic tests using a fixed shear rate, small enough to not interfere in the fluid gelling process. With the sedimentation particles velocity and the fluid viscosity over time equations an iterative procedure was proposed to determine the particles displacement over time. These equations were implemented in a case study to simulate the cuttings sedimentation generated in the oil well drilling during stops operation, especially in the connections and tripping, allowing the drilling fluid project in order to maintain the cuttings in suspension, avoiding risks, such as stuck pipe and in more drastic conditions, the loss of the well

Um Modelo híbrido para previsão de curvas de produção de petróleo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Metodologia para avaliação de cinemática de partículas gasosas em fluidos de viscosidade variável com o tempo e sua aplicação na construção de poços de petróleo

Many challenges have been presented in petroleum industry. One of them is the preventing of fluids influx during drilling and cementing. Gas migration can occur as result of pressure imbalance inside the well when well pressure becomes lower than gas zone pressure and in cementing operation this occurs during cement slurry transition period (solid to fluid). In this work it was developed a methodology to evaluate gas migration during drilling and cementing operations. It was considered gel strength concept and through experimental tests determined gas migration initial time. A mechanistic model was developed to obtain equation that evaluates bubble displacement through the fluid while it gels. Being a time-dependant behavior, dynamic rheological measurements were made to evaluate viscosity along the time. For drilling fluids analyzed it was verified that it is desirable fast and non-progressive gelation in order to reduce gas migration without affect operational window (difference between pore and fracture pressure). For cement slurries analyzed, the most appropriate is that remains fluid for more time below critical gel strength, maintaining hydrostatic pressure above gas zone pressure, and after that gels quickly, reducing gas migration. The model developed simulates previously operational conditions and allow changes in operational and fluids design to obtain a safer condition for well construction

Tempo livre de lazer e composição corporal de escolares do meio-oeste catarinense

The aim of this study was to investigate the relationship between free time for leisure and body composition of students in the crucial ninth year. (N = 228) of towns in the Midwest catarinense. We used the Adolescent Behavior Questionnaire of Santa Catarina (COMPAC) to assess lifestyle, considering that Active schoolchildren during the week, accumulated 300 or more minutes of moderate or vigorous physical activity (MVPA). Were used the time to 2 hours or more / day to determine the time of excessive use of TV and computer video game. To analyze body composition were used two criteria: the Body Mass Index (BMI) and sum of skinfolds (EDC). It was observed a proportion of 67.3% of girls and 68.7% of boys assets and more than 98% of students were using excessive TV time, computer and video game. In the classification by EDC, most of the boys showed great or low levels of body composition, while more than half of girls were classified at higher levels. As for BMI, most boys and girls had not overweight. Significant difference in the comparison of total minutes per week of MVPA reported between the groups, the second criterion of EDC and BMI for girls but not for BMI in boys. It is concluded that students with higher accumulation in minutes of MVPA showed better body composition indicators, but no significant difference was found when compared active groups with inactive, according to criteria used.

A influência do tempo de diálise e do paratormônio sobre as condições clínico-radiográficas bucais de indivíduos com insuficiência renal crônica em diálise

Universidade Estadual do Rio Grande do Norte

Um olhar sociológico sobre a criança e o brincar: espaço e tempo de construção, reinvenção e aprendizagem

This research I discuss the play, also talking with the other subjects that make up the universe in which the play is inserted, such as family, school and culture. The fundamental proposition of this dissertation assumes that the absence of play in children's lives affect their physical structure, psychological, biological, cultural, social, historical and theirs development. The initial questions were: What are the spacetimes reserved in the school for play? What is the importance of play in the development of children? Does the school recognize the importance of play in its social space? How the children perceive and use the spacetimes to play at school? Are there spacetimes at school to play? This is a theoretical and empirical research of exploratory study. The research‟s field was the Municipal School Professor Ulysses Góes, located in district of Nova Descoberta, in Natal, Rio Grande do Norte and, as research techniques, I used: participant observation, photography, structured interviews with students and questionnaires with teachers. The results indicate that for most of children, the school allows the play, few disagree with this preposition.Teachers recognize the importance of play in school, but for various reasons do not provide your practice. The dissertation points the possibility of new studies and developments for the theme.

Em busca do tempo partido: a consciência histórica e o MST

The work that follows is dedicated to the study of the historic time experience by the political militancy from our time. The political militant from the left-wing is the one that denies the state of current things, recovering a historic experience located far before its time and projecting a future beyond the incessant reproduction of the present relations. We chosen the Landless Workers Movement, not as study object, but as specific place where this consciousness is made and can be comprehended. The historic consciousness study of the landless militancy is, for us, the best starting point to understand the magnification of the historical time operated on the change of social relations lived inside an organization. The time division between before and after, as well as the history being understood as a progress isn t a natural given data, but a construction that obeys the contradictions of the present. It, therefore, must understand how the present lived by the militancy operates changes on the consciousness of time. From documents, reference books, formation notebooks and several materials produced by MST, we try to understand the way that the movement tells his history and lists with this wider experience of the struggle for the change of the current social order. Similarly, when we hear reports of history of several militants, we try to comprehend how this wider narrative re-orients the sight over history himself, over the experience of contradictions on before and after making the landless militant