Extraindo as expectativas de mercado para a taxa de juros no Brasil usando opções sobre IDI

Este trabalho demonstra como podemos usar opções sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI) para extrair a função densidade de probabilidade (FDP) para os próximos passos do Comitê de Política Monetária (COPOM). Como a decisão do COPOM tem uma natureza discreta, podemos estimar a FDP usando Mínimo Quadrados Ordinários (MQO). Esta técnica permite incluir restrições sobre as probabilidades estimadas. As probabilidades calculadas usando opções sobre IDI são então comparadas com as probabilidades encontradas usando o Futuro de DI e as probabilidades calculadas através de pesquisas.

Desenvolvimento de monopolos quase-espirais para aplicações em sistemas UWB

This work is the analysis of a structure of the microstrip antenna designed for application in ultra wide band systems (Ultra Wideband - UWB). This is a prospective analytical study where they tested the changes in the geometry of the antenna, observing their suitability to the proposed objectives. It is known that the UWB antenna must operate in a range of at least 500 MHz, and answer a fractional bandwidth greater than or equal to 25%. It is also desirable that the antenna meets the specifications of track determined by FCC - Federal Communication Commission, which regulates the system in 2002 designating the UWB bandwidth of 7.5 GHz, a range that varies from 3.1 GHz to 10, 6 GHz. by setting the maximum power spectral density of operation in -41.3 dB / MHz, and defining the fractional bandwidth by 20%. The study starts of a structure of geometry in the form of stylized @, which evolves through changes in its form, in simulated commercial software CST MICROWAVE STUDIO, version 5.3.1, and then tested using the ANSOFT HFSS, version 9. These variations, based on observations of publications available from literature referring to the microstrip monopole planar antennas. As a result it is proposed an antenna, called Monopole Antenna Planar Spiral Almost Rectangular for applications in UWB systems - AMQEUWB, which presents simulated and measured results satisfactory, consistent with the objectives of the study. Some proposals for future work are mentioned

Função de distribuição generalizada aplicada à velocidade de rotação estelar

In the present work we use a Tsallis maximum entropy distribution law to fit the observations of projected rotational velocity measurements of stars in the Pleiades open cluster. This new distribution funtion which generalizes the Ma.xwel1-Boltzmann one is derived from the non-extensivity of the Boltzmann-Gibbs entropy. We also present a oomparison between results from the generalized distribution and the Ma.xwellia.n law, and show that the generalized distribution fits more closely the observational data. In addition, we present a oomparison between the q values of the generalized distribution determined for the V sin i distribution of the main sequence stars (Pleiades) and ones found for the observed distribution of evolved stars (subgiants). We then observe a correlation between the q values and the star evolution stage for a certain range of stel1ar mass

Detecção e diagnóstico de falhas não-supervisionados baseados em estimativa de densidade recursiva e classificador fuzzy auto-evolutivo

In this work, we propose a two-stage algorithm for real-time fault detection and identification of industrial plants. Our proposal is based on the analysis of selected features using recursive density estimation and a new evolving classifier algorithm. More specifically, the proposed approach for the detection stage is based on the concept of density in the data space, which is not the same as probability density function, but is a very useful measure for abnormality/outliers detection. This density can be expressed by a Cauchy function and can be calculated recursively, which makes it memory and computational power efficient and, therefore, suitable for on-line applications. The identification/diagnosis stage is based on a self-developing (evolving) fuzzy rule-based classifier system proposed in this work, called AutoClass. An important property of AutoClass is that it can start learning from scratch". Not only do the fuzzy rules not need to be prespecified, but neither do the number of classes for AutoClass (the number may grow, with new class labels being added by the on-line learning process), in a fully unsupervised manner. In the event that an initial rule base exists, AutoClass can evolve/develop it further based on the newly arrived faulty state data. In order to validate our proposal, we present experimental results from a level control didactic process, where control and error signals are used as features for the fault detection and identification systems, but the approach is generic and the number of features can be significant due to the computationally lean methodology, since covariance or more complex calculations, as well as storage of old data, are not required. The obtained results are significantly better than the traditional approaches used for comparison

Predicting the potential distribution of the alien invasive American bullfrog (Lithobates catesbeianus) in Brazil

The non-native invasive anuran Lithobates catesbeianus is presently distributed in Brazil, especially in the Atlantic Rainforest biodiversity hotspot. Here, we use a maximum entropy ecological niche modeling algorithm (i) to model the North American native geographic distribution of this species and (ii) to project that model onto the whole of Brazil. After applying a threshold value that balances commission and omission errors, the projection results suggested high probabilities of occurrence mostly in southern and southeastern Brazil. We also present the first report on the species known distribution in Brazil, showing good agreement with model predictions. If the predictive map is interpreted as depicting invasiveness potential of L. catesbeianus, strategies to prevent further invasion in Brazil should be focused especially in the Atlantic Rainforest biodiversity hotspot.

Multiscale Fractal Descriptors and Polynomial Classifier for Partial Pixels Identification in Regions of Interest of Mammographic Images

Computer systems are used to support breast cancer diagnosis, with decisions taken from measurements carried out in regions of interest (ROIs). We show that support decisions obtained from square or rectangular ROIs can to include background regions with different behavior of healthy or diseased tissues. In this study, the background regions were identified as Partial Pixels (PP), obtained with a multilevel method of segmentation based on maximum entropy. The behaviors of healthy, diseased and partial tissues were quantified by fractal dimension and multiscale lacunarity, calculated through signatures of textures. The separability of groups was achieved using a polynomial classifier. The polynomials have powerful approximation properties as classifiers to treat characteristics linearly separable or not. This proposed method allowed quantifying the ROIs investigated and demonstrated that different behaviors are obtained, with distinctions of 90% for images obtained in the Cranio-caudal (CC) and Mediolateral Oblique (MLO) views.

The Wigner function associated with the Rogers-Szego polynomials

A Wigner function associated with the Rogers-Szego polynomials is proposed and its properties are discussed. It is shown that from such a Wigner function it is possible to obtain well-behaved probability distribution functions for both angle and action variables, defined on the compact support -pi less than or equal to theta < pi, and for m greater than or equal to 0, respectively. The width of the angle probability density is governed by the free parameter q characterizing the polynomials.

Free expansion of fermionic dark solitons in a boson-fermion mixture

We use a time-dependent dynamical mean-field-hydrodynamic model to study the formation of fermionic dark solitons in a trapped degenerate Fermi gas mixed with a Bose-Einstein condensate in a harmonic as well as a periodic optical-lattice potential. The dark soliton with a 'notch' in the probability density with a zero at the minimum is simulated numerically as a nonlinear continuation of the first vibrational excitation of the linear mean-field-hydrodynamic equations, as suggested recently for pure bosons. We study the free expansion of these dark solitons as well as the consequent increase in the size of their central notch and discuss the possibility of experimental observation of the notch after free expansion.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Crossover between the extended and localized regimes in stochastic partially self-avoiding walks in one-dimensional disordered systems

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Effects of varying curvature and width on the electronic states of GaAs quantum rings

Stationary states of an electron in thin GaAs elliptical quantum rings are calculated within the effective-mass approximation. The width of the ring varies smoothly along the centerline, which is an ellipse. The solutions of the Schrödinger equation with Dirichlet boundary conditions are approximated by a product of longitudinal and transversal wave functions. The ground-state probability density shows peaks: (i) where the curvature is larger in a constant-with ring, and (ii) in thicker parts of a circular ring. For rings of typical dimensions, it is shown that the effects of a varying width may be stronger than those of the varying curvature. Also, a width profile which compensates the main localization effects of the varying curvature is obtained.

Relationships between the curing conditions and some mechanical properties of hybrid thermosetting materials

The relationship between the heat of polymerization (ΔH) and activation energy (Ea) parameters, obtained by differential scanning calorimetry (DSC) and the ratio of epoxy resin to hardener of the thermosetting materials based on an organic-inorganic hybrid epoxy resin (OG) was investigated. Activation energy (Ea) and heat of polymerization (ΔH) increased with an increasing OG content, up to 70 wt%. Further increase in OG content to 80wt% reduced Ea and ΔH. Dynamic mechanical analysis indicates that the maximum cross-link density is obtained at 83 wt% OG, whereas fracture toughness and tensile modulus mechanical properties are maximized at 70 wt% OG. ©2006 Sociedade Brasileira de Química.

RBF circuits based on folded cascode differential pairs

We propose new circuits for the implementation of Radial Basis Functions such as Gaussian and Gaussian-like functions. These RBFs are obtained by the subtraction of two differential pair output currents in a folded cascode configuration. We also propose a multidimensional version based on the unidimensional circuits. SPICE simulation results indicate good functionality. These circuits are intended to be applied in the implementation of radial basis function networks. One possible application of these networks is transducer signal conditioning in aircraft and spacecraft vehicles onboard telemetry systems. Copyright 2008 ACM.

False alarms in damage detection approaches

Structural Health Monitoring (SHM) denotes a system with the ability to detect and interpret adverse changes in structures in order to improve reliability and reduce life-cycle costs. The greatest challenge for designing a SHM system is knowing what changes to look for and how to classify them. Different approaches for SHM have been proposed for damage identification, each one with advantages and drawbacks. This paper presents a methodology for improvement in vibration signal analysis using statistics information involving the probability density. Generally, the presence of noises in input and output signals results in false alarms, then, it is important that the methodology can minimize this problem. In this paper, the proposed approach is experimentally tested in a flexible plate using a piezoelectric (PZT) actuator to provide the disturbance.

Biometria e qualidade fisiológica de sementes de diferentes matrizes de Tabebuia chrysotricha (Mart. Ex A. DC.) Stand I.

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)