Estudo e análise estatística no mercado de ações brasileiro

The objective of this paper is to verify and analyze the existence in Brazil of stylized facts observed in financial time series: volatility clustering, probability distributions with fat tails, the presence of long run memory in absolute return time series, absence of linear return autocorrelation, gain/loss asymmetry, aggregative gaussianity, slow absolute return autocorrelation decay, trading volume/volatility correlation and leverage effect. We analyzed intraday prices for 10 stocks traded at the BM&FBovespa, responsible for 52.1% of the Ibovespa portfolio on Sept. 01, 2009. The data analysis confirms the stylized facts, whose behavior is consistent with what is observed in international markets.

Precipitação pluviométrica mensal no estado do Rio de Janeiro: sazonalidade e tendência

The objective of this work was to carry a descriptive analysis in the monthly precipitation of rainfall stations from Rio de Janeiro State, Brazil, using data of position and dispersion and graphical analyses, and to verify the presence of seasonality and trend in these data, with a study about the application of models of time series. The descriptive statistics was to characterize the general behavior of the series in three stations selected which present consistent historical series. The methodology of analysis of variance in randomized blocks and the determination of models of multiple linear regression, considering years and months as predictors variables, disclosed the presence of seasonality, what allowed to infer on the occurrence of repetitive natural phenomena throughout the time and absence of trend in the data. It was applied the methodology of multiple linear regression to removal the seasonality of these time series. The original data had been deducted from the estimates made by the adjusted model and the analysis of variance in randomized blocks for the residues of regression was preceded again. With the results obtained it was possible to conclude that the monthly rainfall present seasonality and they don't present trend, the analysis of multiple regression was efficient in the removal of the seasonality, and the rainfall can be studied by means of time series.

Avaliação da intervenção psicoterapêutica de modelo analitico em crianças e adolescentes com doenças onco-hematológicas

Pós-graduação em Pesquisa e Desenvolvimento (Biotecnologia Médica) - FMB

Potencial solar das radiações global, difusa e direta em Botucatu

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Análise do campo térmico de cidades de médio porte: estudo de caso no pólo textil de Americana - SP

Pós-graduação em Geografia - IGCE

Avaliação de um escarificador em função dos tipos de haste e profundidades de trabalho

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Interaction between GIS and hydrologic model: a preliminary approach using ArcHydro Framework Data Model

In different regions of Brazil, population growth and economic development can degrade water quality, compromising watershed health and human supply. Because of its ability to combine spatial and temporal data in the same environment and to create water resources management (WRM) models, the Geographical Information System (GIS) is a powerful tool for managing water resources, preventing floods and estimating water supply. This paper discusses the integration between GIS and hydrological models and presents a case study relating to the upper section of the Paraíba do Sul Basin (Sao Paulo State portion), situated in the Southeast of Brazil. The case study presented in this paper has a database suitable for the basin's dimensions, including digitized topographic maps at a 50,000 scale. From an ArcGIS®/ArcHydro Framework Data Model, a geometric network was created to produce different raster products. This first grid derived from the digital elevation model grid (DEM) is the flow direction map followed by flow accumulation, stream and catchment maps. The next steps in this research are to include the different multipurpose reservoirs situated along the Paraíba do Sul River and to incorporate rainfall time series data in ArcHydro to build a hydrologic data model within a GIS environment in order to produce a comprehensive spatial-temporal model.

Relação entre a precipitação anual e o incremento em volume de árvores amostradas em plantações de Pinus taeda

This work was based on a complete tree stem analysis to assess the growth behavior and current annual volume increment (CAI) of four individuals of Pinus taeda sampled in populations located in the 'Avare II' State Forest and 'Itapeva' Experimental Station, State of São Paulo. The relationship between the rainfall time series and CAI index was examined by means of cross-correlation coefficients. The convergence coefficients (GL) between the series were calculated. In the individuals that showed a statistical significance in the cross-correlation between the time series, the previous year's rainfall significantly affected the current annual volume increment in the year under consideration. The GL values between the series were higher in 'Itapeva'. Since the two sites showed no significant difference in rainfall distribution, the difference was attributed to the soil texture at 40-60 cm - medium in 'Avare' and clayey in 'Itapeva', so the CAI of the 'Itapeva' plantation reflects the higher availability of water.

Correlação do posicionamento por ponto GNSS com a ionosfera e com indices de atividade solar no periodo de 2002 a 2011

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Modelo discreto para o ciclo eritrocitário da Malária

In this work, some aspects of the erythrocyte cycle of the malaria parasite was incorporated into a cellular automata model to simulated the major factors leading to disruption of the erythrocyte cycle and consequent appearance of gametocytes, which infected the mosquitoes. Furthermore, the time seies of parasitaemia of infected patients was analyzed and compared to simulated data. The results suggested that differences in the temporal patterns of the asexual parasitaemia are associated with different effectiveness of the immune system in controlling the infection

Modelagem espacial de áreas de recarga subterrânea em região de afloramento do sistema aquífero guarani (sag), em Brotas/SP

Pós-graduação em Agronomia (Irrigação e Drenagem) - FCA

Avaliação dos parâmetros do índice de qualidade de água segundo o modelo ARIMA

Time series tendencies are an important tool for different sectors such as the scientific community, industries and environmental protection agencies who can evaluate the variability of a specific parameter in time, what is very important piece of information for establishing corrective and preventive actions. This work presents a time series model of main physical, chemical and biological parameters of the Water Quality Index (WQI) determined for different selected points of a hydrographical basin form May/2006 to Aug/2010. The statistical model Arima enabled a better understanding of the physical, chemical and biological processes that most clearly influences WQI. The Arima model allowed the assessment of the trend of several parameters used in the calculation of the WQI, showing that dissolved oxygen, turbidity, total nitrogen, and fecal E. coli were highly correlated and are the parameters that caused the index changes over time.

Monitoramento e avaliação de processos erosivos marginais em reservatórios de usinas hidrelétricas por meio de varredura a laser

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Montagem e avaliação de um sistema de varredura a LASER embarcado em VANT

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelagem auto-regressiva na previsão de demanda dos produtos de uma empresa do setor químico

Considering the high competitiveness in the industrial chemical sector, demand forecast is a relevant factor for decision-making. There is a need for tools capable of assisting in the analysis and definition of the forecast. In that sense, the objective is to generate the chemical industry forecast using an advanced forecasting model and thus verify the accuracy of the method. Because it is time series with seasonality, the model of seasonal autoregressive integrated moving average - SARIMA generated reliable forecasts and acceding to the problem analyzed, thus enabling, through validation with real data improvements in the management and decision making of supply chain