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

Síntese de pigmento cerâmico ferrita de cobalto utilizando planejamento experimental

Synthetic inorganic pigments are the most widely used in ceramic applications because they have excellent chemical and thermal stability and also, in general, a lower toxicity to man and to the environment. In the present work, the ceramic black pigment CoFe2O4 was synthesized by the polymerization Complex method (MPC) in order to form a material with good chemical homogeneity. Aiming to optimize the process of getting the pigment through the MPC was used a fractional factorial design 2(5-2), with resolution III. The factors studied in mathematical models were: citric acid concentration, the pyrolysis time, temperature, time and rate of calcination. The response surfaces using the software statistica 7.0. The powders were characterized by thermal analysis (TG/DSC), x-ray diffraction (XRD), scanning electron microscopy (SEM) and spectroscopy in the UV-visible. Based on the results, there was the formation of phase cobalt ferrite (CoFe2O4) with spinel structure. The color of the pigments obtained showed dark shades, from black to gray. The model chosen was appropriate since proved to be adjusted and predictive. Planning also showed that all factors were significant, with a confidence level of 95%

Análise comparativa entre simuladores de linha de fluxo e diferenças finitas para um reservatório de petróleo submetido a injeção de água

Water injection is the most widely used method for supplementary recovery in many oil fields due to various reasons, like the fact that water is an effective displacing agent of low viscosity oils, the water injection projects are relatively simple to establish and the water availability at a relatively low cost. For design of water injection projects is necessary to do reservoir studies in order to define the various parameters needed to increase the effectiveness of the method. For this kind of study can be used several mathematical models classified into two general categories: analytical or numerical. The present work aims to do a comparative analysis between the results presented by flow lines simulator and conventional finite differences simulator; both types of simulators are based on numerical methods designed to model light oil reservoirs subjected to water injection. Therefore, it was defined two reservoir models: the first one was a heterogeneous model whose petrophysical properties vary along the reservoir and the other one was created using average petrophysical properties obtained from the first model. Comparisons were done considering that the results of these two models were always in the same operational conditions. Then some rock and fluid parameters have been changed in both models and again the results were compared. From the factorial design, that was done to study the sensitivity analysis of reservoir parameters, a few cases were chosen to study the role of water injection rate and the vertical position of wells perforations in production forecast. It was observed that the results from the two simulators are quite similar in most of the cases; differences were found only in those cases where there was an increase in gas solubility ratio of the model. Thus, it was concluded that in flow simulation of reservoirs analogous of those now studied, mainly when the gas solubility ratio is low, the conventional finite differences simulator may be replaced by flow lines simulator the production forecast is compatible but the computational processing time is lower.

Modelos matemáticos para estimativa do consumo máximo de oxigênio pela ventilometria de esforço em indivíduos saudáveis

The relation between metabolic demand and maximal oxygen consumption during exercise have been investigated in different areas of knowledge. In the health field, the determination of maximal oxygen consumption (VO2max) is considered a method to classify the level of physical fitness or the risk of cardiocirculatory diseases. The accuracy to obtain data provides a better evaluation of functional responses and allows a reduction in the error margin at the moment of risk classification, as well as, at the moment of determination of aerobic exercise work load. In Brasil, the use of respirometry associated to ergometric test became an opition in the cardiorespiratory evaluation. This equipment allows predictions concerning the oxyredutase process, making it possible to identify physiological responses to physical effort as the respiratory threshold. This thesis focused in the development of mathematical models developed by multiple regression validated by the stepwise method, aiming to predict the VO2max based on respiratory responses to physical effort. The sample was composed of a ramdom sample of 181 healthy individuals, men and women, that were randomized to two groups: regression group and cross validation group (GV). The voluntiars were submitted to a incremental treadmill test; objetiving to determinate of the second respiratory threshold (LVII) and the Peak VO2max. Using the método forward addition method 11 models of VO2max prediction in trendmill were developded. No significative differences were found between the VO2max meansured and the predicted by models when they were compared using ANOVA One-Way and the Post Hoc test of Turkey. We concluded that the developed mathematical models allow a prediction of the VO2max of healthy young individuals based on the LVII

Um sistema para estimação da vazão de gás de poços produzindo por Plunger Lift para vaso separador de teste em plataformas de petróleo

This work intends to analyze the behavior of the gas flow of plunger lift wells producing to well testing separators in offshore production platforms to aim a technical procedure to estimate the gas flow during the slug production period. The motivation for this work appeared from the expectation of some wells equipped with plunger lift method by PETROBRAS in Ubarana sea field located at Rio Grande do Norte State coast where the produced fluids measurement is made in well testing separators at the platform. The oil artificial lift method called plunger lift is used when the available energy of the reservoir is not high enough to overcome all the necessary load losses to lift the oil from the bottom of the well to the surface continuously. This method consists, basically, in one free piston acting as a mechanical interface between the formation gas and the produced liquids, greatly increasing the well s lifting efficiency. A pneumatic control valve is mounted at the flow line to control the cycles. When this valve opens, the plunger starts to move from the bottom to the surface of the well lifting all the oil and gas that are above it until to reach the well test separator where the fluids are measured. The well test separator is used to measure all the volumes produced by the well during a certain period of time called production test. In most cases, the separators are designed to measure stabilized flow, in other words, reasonably constant flow by the use of level and pressure electronic controllers (PLC) and by assumption of a steady pressure inside the separator. With plunger lift wells the liquid and gas flow at the surface are cyclical and unstable what causes the appearance of slugs inside the separator, mainly in the gas phase, because introduce significant errors in the measurement system (e.g.: overrange error). The flow gas analysis proposed in this work is based on two mathematical models used together: i) a plunger lift well model proposed by Baruzzi [1] with later modifications made by Bolonhini [2] to built a plunger lift simulator; ii) a two-phase separator model (gas + liquid) based from a three-phase separator model (gas + oil + water) proposed by Nunes [3]. Based on the models above and with field data collected from the well test separator of PUB-02 platform (Ubarana sea field) it was possible to demonstrate that the output gas flow of the separator can be estimate, with a reasonable precision, from the control signal of the Pressure Control Valve (PCV). Several models of the System Identification Toolbox from MATLAB® were analyzed to evaluate which one better fit to the data collected from the field. For validation of the models, it was used the AIC criterion, as well as a variant of the cross validation criterion. The ARX model performance was the best one to fit to the data and, this way, we decided to evaluate a recursive algorithm (RARX) also with real time data. The results were quite promising that indicating the viability to estimate the output gas flow rate from a plunger lift well producing to a well test separator, with the built-in information of the control signal to the PCV

Estimação da demanda de instalações elétricas de edificações com múltiplas unidades de consumo

This work aims to predict the total maximum demand of a transformer that will be used in power systems to attend a Multiple Unit Consumption (MUC) in design. In 1987, COSERN noted that calculation of maximum total demand for a building should be different from that which defines the scaling of the input protection extension in order to not overestimate the power of the transformer. Since then there have been many changes, both in consumption habits of the population, as in electrical appliances, so that this work will endeavor to improve the estimation of peak demand. For the survey, data were collected for identification and electrical projects in different MUCs located in Natal. In some of them, measurements were made of demand for 7 consecutive days and adjusted for an integration interval of 30 minutes. The estimation of the maximum demand was made through mathematical models that calculate the desired response from a set of information previously known of MUCs. The models tested were simple linear regressions, multiple linear regressions and artificial neural networks. The various calculated results over the study were compared, and ultimately, the best answer found was put into comparison with the previously proposed model

Avaliação e modelagem reológica de fluido de perfuração base água

The determination of the rheology of drilling fluids is of fundamental importance to select the best composition and the best treatment to be applied in these fluids. This work presents a study of the rheological behavior of some addictives used as viscosifiers in water-based drilling fluids. The evaluated addictives were: Carboxymethylcellulose (CMC), Xanthan gum (GX), and Bentonite. The main objective was to rheologically characterize suspensions composed by these addictives, by applying mathematical models for fluid flow behavior, in order to determine the best flow equation to represent the system, as well as the model parameters. The mathematical models applied in this research were: the Bingham Model, the Ostwald de Wale Model, and the Herschel-Bulkley Model. A previous study of hydration time for each used addictive was accomplished seeking to evaluate the effect of polymer and clay hydration on rheological behavior of the fluid. The rheological characterization was made through typical rheology experiments, using a coaxial cylinder viscosimeter, where the flow curves and the thixotropic magnitude of each fluid was obtained. For each used addictive the rheological behavior as a function of temperature was also evaluated as well as fluid stability as a function of the concentration and kind of addictive used. After analyses of results, mixtures of polymer and clay were made seeking to evaluate the rheological modifications provided by the polymer incorporation in the water + bentonite system. The obtained results showed that the Ostwald de Waale model provided the best fit for fluids prepared using CMC and for fluids with Xanthan gum and Bentonite the best fit was given by the Herschel-Bulkley one

Estudo dos parâmetros de extração de fenol de efluentes aquosos por um tensoativo não iônico

Environmental sustainability has become one of the topics of greatest interest in industry, mainly due to effluent generation. Phenols are found in many industries effluents, these industries might be refineries, coal processing, pharmaceutical, plastics, paints and paper and pulp industries. Because phenolic compounds are toxic to humans and aquatic organisms, Federal Resolution CONAMA No. 430 of 13.05.2011 limits the maximum content of phenols, in 0.5 mg.L-1, for release in freshwater bodies. In the effluents treatment, the liquid-liquid extraction process is the most economical for the phenol recovery, because consumes little energy, but in most cases implements an organic solvent, and the use of it can cause some environmental problems due to the high toxicity of this compound. Because of this, exists a need for new methodologies, which aims to replace these solvents for biodegradable ones. Some literature studies demonstrate the feasibility of phenolic compounds removing from aqueous effluents, by biodegradable solvents. In this extraction kind called "Cloud Point Extraction" is used a nonionic surfactant as extracting agent of phenolic compounds. In order to optimize the phenol extraction process, this paper studies the mathematical modeling and optimization of extraction parameters and investigates the effect of the independent variables in the process. A 32 full factorial design has been done with operating temperature and surfactant concentration as independent variables and, parameters extraction: Volumetric fraction of coacervate phase, surfactant and residual concentration of phenol in dilute phase after separation phase and phenol extraction efficiency, as dependent variables. To achieve the objectives presented before, the work was carried out in five steps: (i) selection of some literature data, (ii) use of Box-Behnken model to find out mathematical models that describes the process of phenol extraction, (iii) Data analysis were performed using STATISTICA 7.0 and the analysis of variance was used to assess the model significance and prediction (iv) models optimization using the response surface method (v) Mathematical models validation using additional measures, from samples different from the ones used to construct the model. The results showed that the mathematical models found are able to calculate the effect of the surfactant concentration and the operating temperature in each extraction parameter studied, respecting the boundaries used. The models optimization allowed the achievement of consistent and applicable results in a simple and quick way leading to high efficiency in process operation.

Avaliacao de dados de secagem de suspensoes de polpas de frutas em leito de jorro com alimentacao intermitente

The objective of this work was the development and improvement of the mathematical models based on mass and heat balances, representing the drying transient process fruit pulp in spouted bed dryer with intermittent feeding. Mass and energy balance for drying, represented by a system of differential equations, were developed in Fortran language and adapted to the condition of intermittent feeding and mass accumulation. Were used the DASSL routine (Differential Algebraic System Solver) for solving the differential equation system and used a heuristic optimization algorithm in parameter estimation, the Particle Swarm algorithm. From the experimental data food drying, the differential models were used to determine the quantity of water and the drying air temperature at the exit of a spouted bed and accumulated mass of powder in the dryer. The models were validated using the experimental data of drying whose operating conditions, air temperature, flow rate and time intermittency, varied within the limits studied. In reviewing the results predicted, it was found that these models represent the experimental data of the kinetics of production and accumulation of powder and humidity and air temperature at the outlet of the dryer

Extração supercrítica do óleo de linhaça: construção do extrator, estudo de parâmetros de processo, avaliação química e antioxidante do produto

The aim of the present study was to extract vegetable oil from brown linseed (Linum usitatissimum L.), determine fatty acid levels, the antioxidant capacity of the extracted oil and perform a rapid economic assessment of the SFE process in the manufacture of oil. The experiments were conducted in a test bench extractor capable of operating with carbon dioxide and co-solvents, obeying 23 factorial planning with central point in triplicate, and having process yield as response variable and pressure, temperature and percentage of cosolvent as independent variables. The yield (mass of extracted oil/mass of raw material used) ranged from 2.2% to 28.8%, with the best results obtained at 250 bar and 50ºC, using 5% (v/v) ethanol co-solvent. The influence of the variables on extraction kinetics and on the composition of the linseed oil obtained was investigated. The extraction kinetic curves obtained were based on different mathematical models available in the literature. The Martínez et al. (2003) model and the Simple Single Plate (SSP) model discussed by Gaspar et al. (2003) represented the experimental data with the lowest mean square errors (MSE). A manufacturing cost of US$17.85/kgoil was estimated for the production of linseed oil using TECANALYSIS software and the Rosa and Meireles method (2005). To establish comparisons with SFE, conventional extraction tests were conducted with a Soxhlet device using petroleum ether. These tests obtained mean yields of 35.2% for an extraction time of 5h. All the oil samples were sterilized and characterized in terms of their composition in fatty acids (FA) using gas chromatography. The main fatty acids detected were: palmitic (C16:0), stearic (C18:0), oleic (C18:1), linoleic (C18:2n-6) and α-linolenic (C18:3n-3). The FA contents obtained with Soxhlet dif ered from those obtained with SFE, with higher percentages of saturated and monounsaturated FA with the Soxhlet technique using petroleum ether. With respect to α-linolenic content (main component of linseed oil) in the samples, SFE performed better than Soxhlet extraction, obtaining percentages between 51.18% and 52.71%, whereas with Soxhlet extraction it was 47.84%. The antioxidant activity of the oil was assessed in the β-carotene/linoleic acid system. The percentages of inhibition of the oxidative process reached 22.11% for the SFE oil, but only 6.09% for commercial oil (cold pressing), suggesting that the SFE technique better preserves the phenolic compounds present in the seed, which are likely responsible for the antioxidant nature of the oil. In vitro tests with the sample displaying the best antioxidant response were conducted in rat liver homogenate to investigate the inhibition of spontaneous lipid peroxidation or autooxidation of biological tissue. Linseed oil proved to be more efficient than fish oil (used as standard) in decreasing lipid peroxidation in the liver tissue of Wistar rats, yielding similar results to those obtained with the use of BHT (synthetic antioxidant). Inhibitory capacity may be explained by the presence of phenolic compounds with antioxidant activity in the linseed oil. The results obtained indicate the need for more detailed studies, given the importance of linseed oil as one of the greatest sources of ω3 among vegetable oils

Sistema de secagem solar para frutos tropicais e modelagem da secagem de banana em um secador de coluna estática

In this study were projected, built and tested an electric solar dryer consisting of a solar collector, a drying chamber, an exhaust fan and a fan to promote forced hot air convection. Banana drying experiments were also carried out in a static column dryer to model the drying and to obtain parameters that can be used as a first approximation in the modeling of an electric solar dryer, depending on the similarity of the experimental conditions between the two drying systems. From the banana drying experiments conducted in the static column dryer, we obtained food weight data as a function of aqueous concentration and temperature. Simplified mathematical models of the banana drying were made, based on Fick s and Fourier s second equations, which were tested with the experimental data. We determined and/or modeled parameters such as banana moisture content, density, thin layer drying curves, equilibrium moisture content, molecular diffusivity of the water in banana DAB, external mass transfer coefficient kM, specific heat Cp, thermal conductivity k, latent heat of water evaporation in the food Lfood, time to heat food, and minimum energy and power required to heat the food and evaporate the water. When we considered the shrinkage of radius R of a banana, the calculated values of DAB and kM generally better represent the phenomenon of water diffusion in a solid. The latent heat of water evaporation in the food Lfood calculated by modeling is higher than the latent heat of pure water evaporation Lwater. The values calculated for DAB and KM that best represent the drying were obtained with the analytical model of the present paper. These values had good agreement with those assessed with a numeric model described in the literature, in which convective boundary condition and food shrinkage are considered. Using parameters such as Cp, DAB, k, kM and Lfood, one can elaborate the preliminary dryer project and calculate the economy using only solar energy rather than using solar energy along with electrical energy

Estudo da organização funcional do sistema circadiano por meio de ferramentas computacionais e matemáticas

Circadian rhythms are variations in physiological processes that help living beings to adapt to environmental cycles. These rhythms are generated and are synchronized to the dark light cycle through the suprachiasmatic nucleus. The integrity of circadian rhythmicity has great implication on human health. Currently it is known that disturbances in circadian rhythms are related to some problems of today such as obesity, propensity for certain types of cancer and mental disorders for example. The circadian rhythmicity can be studied through experiments with animal models and in humans directly. In this work we use computational models to gather experimental results from the literature and explain the results of our laboratory. Another focus of this study was to analyze data rhythms of activity and rest obtained experimentally. Here we made a review on the use of variables used to analyze these data and finally propose an update on how to calculate these variables. Our models were able to reproduce the main experimental results in the literature and provided explanations for the results of experiments performed in our laboratory. The new variables used to analyze the rhythm of activity and rest in humans were more efficient to describe the fragmentation and synchronization of this rhythm. Therefore, the work contributed improving existing tools for the study of circadian rhythms in mammals

Sinalização cromática da condição reprodutiva de fêmeas de segui comum (Callithrix jacchus)

As social animals, primates use different sensory modalities (acoustic, chemical, tactile and visual) to convey information about social and sexual status to conspecifics. Among these modalities, visual signals are widely used, especially color signals, since primates are the mammalian group that displays the greatest variety of colors in their skin and fur. Studies with Old World primate species suggest that hormonal variations are related to variations in the colors of individual faces and genitals. Therefore, chromatic cues can be used by conspecifics to identify the reproductive condition of an individual. To date, studies with the same approach are unknown for New World species. However, behavioral and physiological studies suggest that different New World primate species seem to perceive reproductive conditions such as the timing of female conception and gestation. Thus, in this study, our aim was to: i) identify whether there are chromatic cues on the skin of female common marmosets, (Callithrix jacchus) that indicate their reproductive condition; ii) define whether this chromatic variation can be perceived by all visual phenotypes known in this species; iii) identify if these chromatic cues can be perceived under different light intensity levels (dim, intermediate and high). For this, we selected 13 female common marmosets in four distinct reproductive conditions: pregnant female preceding parturition, postpartum mothers, noncycling and cycling females. The coloration of the skin in genital and thigh areas in females was measured using a spectrophotometer. Using mathematical models of visual perception, we calculated the values of quantum catch for each photoreceptor type known in this species, the visual opponency channels and color contrast between those body spots. Our results indicate the occurance of chromatic variations in the genital area during the weeks that precede and follow parturition, forming a U-pattern of variation perceptible to males and females in natural conditions of low and high luminosity. Furthermore, we observed distinct color patterns in the genital skin of pregnant and cycling females that indicate their reproductive conditions. Finally, we present evidence of color contrast in noncycling females that is higher than that of pregnant ones. This study suggests that there is a chromatic xii variation in the genital skin of females that can be perceived by conspecifics and that may be related to hormonal changes typical of pregnancy and the ovarian cycle

Métodos estatísticos recursivos aplicados ao problema de estimação de vazão de gás em plantas de Plunger-lift

This work has as main objective to find mathematical models based on linear parametric estimation techniques applied to the problem of calculating the grow of gas in oil wells. In particular we focus on achieving grow models applied to the case of wells that produce by plunger-lift technique on oil rigs, in which case, there are high peaks in the grow values that hinder their direct measurement by instruments. For this, we have developed estimators based on recursive least squares and make an analysis of statistical measures such as autocorrelation, cross-correlation, variogram and the cumulative periodogram, which are calculated recursively as data are obtained in real time from the plant in operation; the values obtained for these measures tell us how accurate the used model is and how it can be changed to better fit the measured values. The models have been tested in a pilot plant which emulates the process gas production in oil wells