Stretched-exponential behavior and random walks on diluted hypercubic lattices

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

A General Solution of the Fokker-Planck Equation

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

The gradually truncated Levy flight for systems with power-law distributions

Power-law distributions have been observed in various economical and physical systems. Levy flights have infinite variance which discourage a physical approach. We introduce a class of stochastic processes, the gradually truncated Levy flight in which large steps of a Levy flight are gradually eliminated. It has finite variance and the system can be analyzed in a closed form. We applied the present method to explain the distribution of a particular economical index. The present method can be applied to describe time series in a variety of fields, i.e. turbulent flow, anomalous diffusion, polymers, etc. (C) 1999 Elsevier B.V. B.V. All rights reserved.

In-process grinding monitoring through acoustic emission

This work aims to investigate the efficiency of digital signal processing tools of acoustic emission signals in order to detect thermal damages in grinding processes. To accomplish such a goal, an experimental work was carried out for 15 runs in a surface grinding machine operating with an aluminum oxide grinding wheel and ABNT 1045 Steel as work material. The acoustic emission signals were acquired from a fixed sensor placed on the workpiece holder. A high sampling rate data acquisition system working at 2.5 MHz was used to collect the raw acoustic emission instead of the root mean square value usually employed. Many statistical analyses have shown to be effective to detect burn, such as the root mean square (RMS), correlation of the AE, constant false alarm rate (CFAR), ratio of power (ROP) and mean-value deviance (MVD). However, the CFAR, ROP, Kurtosis and correlation of the AE have been presented more sensitive than the RMS. Copyright © 2006 by ABCM.

A proposal for reliability evaluation of components on electric power distribution system integrating probabilistic models and fuzzy inference systems

The system reliability depends on the reliability of its components itself. Therefore, it is necessary a methodology capable of inferring the state of functionality of these components to establish reliable indices of quality. Allocation models for maintenance and protective devices, among others, have been used in order to improve the quality and availability of services on electric power distribution systems. This paper proposes a methodology for assessing the reliability of distribution system components in an integrated way, using probabilistic models and fuzzy inference systems to infer about the operation probability of each component. © 2012 IEEE.

Solução da equação de Fokker-Planck para o potencial do oscilador harmônico duplo

Pós-graduação em Biofísica Molecular - IBILCE

Modelagem estocástica de opções de câmbio no Brasil: aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston

Pós-graduação em Física - IFT

Generalizações do movimento browniano e suas aplicações à física e a finanças

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

O tempo e sua reflexão a partir da obra de Iannis Xenakis

Pós-graduação em Música - IA

Modeling heat transfer in die milling

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

Otimização ecológica dos ciclos ar-padrão Otto e Diesel

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estruturação de metacomunidades de girinos em diferentes fitofisionomias da Mata Atlântica: uma análise em diferentes escalas espaciais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Harmonic deformation of Delaunay triangulations

We construct harmonic functions on random graphs given by Delaunay triangulations of ergodic point processes as the limit of the zero-temperature harness process. (C) 2012 Elsevier B.V All rights reserved.

A quantitative approach to evolution of music and philosophy

The development of new statistical and computational methods is increasingly making it possible to bridge the gap between hard sciences and humanities. In this study, we propose an approach based on a quantitative evaluation of attributes of objects in fields of humanities, from which concepts such as dialectics and opposition are formally defined mathematically. As case studies, we analyzed the temporal evolution of classical music and philosophy by obtaining data for 8 features characterizing the corresponding fields for 7 well-known composers and philosophers, which were treated with multivariate statistics and pattern recognition methods. A bootstrap method was applied to avoid statistical bias caused by the small sample data set, with which hundreds of artificial composers and philosophers were generated, influenced by the 7 names originally chosen. Upon defining indices for opposition, skewness and counter-dialectics, we confirmed the intuitive analysis of historians in that classical music evolved according to a master apprentice tradition, while in philosophy changes were driven by opposition. Though these case studies were meant only to show the possibility of treating phenomena in humanities quantitatively, including a quantitative measure of concepts such as dialectics and opposition, the results are encouraging for further application of the approach presented here to many other areas, since it is entirely generic.