Impacto das negociações algorítmicas de alta frequência no mercado futuro de dólar

Este trabalho apresenta um estudo do impacto das negociações algorítmicas no processo de descoberta de preços no mercado de câmbio. Foram utilizados dados de negociação de alta frequência para contratos futuros de reais por dólar (DOL), negociados na Bolsa de Valores de São Paulo no período de janeiro a junho de 2013. No intuito de verificar se as estratégias algorítmicas de negociação são mais dependentes do que as negociações não algorítmicas, foi examinada a frequência em que algoritmos negociam entre si e comparou-se a um modelo benchmark que produz probabilidades teóricas para diferentes tipos de negociadores. Os resultados obtidos para as negociações minuto a minuto apresentam evidências de que as ações e estratégias de negociadores algorítmicos parecem ser menos diversas e mais dependentes do que aquelas realizadas por negociadores não algorítmicos. E para modelar a interação entre a autocorrelação serial dos retornos e negociações algorítmicas, foi estimado um vetor autorregressivo de alta frequência (VAR) em sua forma reduzida. As estimações mostram que as atividades dos algoritmos de negociação causam um aumento na autocorrelação dos retornos, indicando que eles podem contribuir para o aumento da volatilidade.

Metodologia estatística na solução do problema do caixeiro viajante e na avaliação de algoritmos : um estudo aplicado à transgenética computacional

The problems of combinatory optimization have involved a large number of researchers in search of approximative solutions for them, since it is generally accepted that they are unsolvable in polynomial time. Initially, these solutions were focused on heuristics. Currently, metaheuristics are used more for this task, especially those based on evolutionary algorithms. The two main contributions of this work are: the creation of what is called an -Operon- heuristic, for the construction of the information chains necessary for the implementation of transgenetic (evolutionary) algorithms, mainly using statistical methodology - the Cluster Analysis and the Principal Component Analysis; and the utilization of statistical analyses that are adequate for the evaluation of the performance of the algorithms that are developed to solve these problems. The aim of the Operon is to construct good quality dynamic information chains to promote an -intelligent- search in the space of solutions. The Traveling Salesman Problem (TSP) is intended for applications based on a transgenetic algorithmic known as ProtoG. A strategy is also proposed for the renovation of part of the chromosome population indicated by adopting a minimum limit in the coefficient of variation of the adequation function of the individuals, with calculations based on the population. Statistical methodology is used for the evaluation of the performance of four algorithms, as follows: the proposed ProtoG, two memetic algorithms and a Simulated Annealing algorithm. Three performance analyses of these algorithms are proposed. The first is accomplished through the Logistic Regression, based on the probability of finding an optimal solution for a TSP instance by the algorithm being tested. The second is accomplished through Survival Analysis, based on a probability of the time observed for its execution until an optimal solution is achieved. The third is accomplished by means of a non-parametric Analysis of Variance, considering the Percent Error of the Solution (PES) obtained by the percentage in which the solution found exceeds the best solution available in the literature. Six experiments have been conducted applied to sixty-one instances of Euclidean TSP with sizes of up to 1,655 cities. The first two experiments deal with the adjustments of four parameters used in the ProtoG algorithm in an attempt to improve its performance. The last four have been undertaken to evaluate the performance of the ProtoG in comparison to the three algorithms adopted. For these sixty-one instances, it has been concluded on the grounds of statistical tests that there is evidence that the ProtoG performs better than these three algorithms in fifty instances. In addition, for the thirty-six instances considered in the last three trials in which the performance of the algorithms was evaluated through PES, it was observed that the PES average obtained with the ProtoG was less than 1% in almost half of these instances, having reached the greatest average for one instance of 1,173 cities, with an PES average equal to 3.52%. Therefore, the ProtoG can be considered a competitive algorithm for solving the TSP, since it is not rare in the literature find PESs averages greater than 10% to be reported for instances of this size.

Escalabilidade Paralela de um Algoritmo de Migração Reversa no Tempo (RTM) Pré-empilhamento

The seismic method is of extreme importance in geophysics. Mainly associated with oil exploration, this line of research focuses most of all investment in this area. The acquisition, processing and interpretation of seismic data are the parts that instantiate a seismic study. Seismic processing in particular is focused on the imaging that represents the geological structures in subsurface. Seismic processing has evolved significantly in recent decades due to the demands of the oil industry, and also due to the technological advances of hardware that achieved higher storage and digital information processing capabilities, which enabled the development of more sophisticated processing algorithms such as the ones that use of parallel architectures. One of the most important steps in seismic processing is imaging. Migration of seismic data is one of the techniques used for imaging, with the goal of obtaining a seismic section image that represents the geological structures the most accurately and faithfully as possible. The result of migration is a 2D or 3D image which it is possible to identify faults and salt domes among other structures of interest, such as potential hydrocarbon reservoirs. However, a migration fulfilled with quality and accuracy may be a long time consuming process, due to the mathematical algorithm heuristics and the extensive amount of data inputs and outputs involved in this process, which may take days, weeks and even months of uninterrupted execution on the supercomputers, representing large computational and financial costs, that could derail the implementation of these methods. Aiming at performance improvement, this work conducted the core parallelization of a Reverse Time Migration (RTM) algorithm, using the parallel programming model Open Multi-Processing (OpenMP), due to the large computational effort required by this migration technique. Furthermore, analyzes such as speedup, efficiency were performed, and ultimately, the identification of the algorithmic scalability degree with respect to the technological advancement expected by future processors

As quatro operações básicas: uma compreensão dos procedimentos algorítmicos

The current research had as main objective to analyze the possibility of knowledge elaboration/re-elaboration about ideas and algorithmic procedures related to basic operations by pupils of the 6th degree fundamental teaching in a significant learning process. This way the study had as basis a methodological intervention developed in a 6th degree class of a Fundamental Teaching Municipal School in the city of João Pessoa, PB. The research had as central steps the application of pre-tests (1 and 2); the execution of semi-structured interviews with the pupils involved in the theme deep studies; the elaboration and development of teaching activities, having as referential the significant learning and the application of a pre-test. The data collected in the pre-tests (1 and 2) showed a low level of the pupils comprehension about the contents related to the four operations. The answers to the post-test questions were analyzed mainly from the qualitative point of view based on the mathematic concepts comprehension theory proposed by Skemp (1980) having as complementary subsidy data collected through interviews. The analysis of the results obtained in the post-test showed that the major part of pupils reached a relational comprehension about the ideas and algorithmic procedures related to addition, subtraction, multiplication, and division. Such results showed us that the application of a teaching methodology that privileges the content comprehension, considering the pupils previous knowledge and the reflection about the action along the activities proposed, made possible the elaboration or re-elaboration of knowledge by pupils regarding to contents adopted as theme for our research

O problema do caixeiro viajante alugador : um estudo algorítmico

The Car Rental Salesman Problem (CaRS) is a variant of the classical Traveling Salesman Problem which was not described in the literature where a tour of visits can be decomposed into contiguous paths that may be performed in different rental cars. The aim is to determine the Hamiltonian cycle that results in a final minimum cost, considering the cost of the route added to the cost of an expected penalty paid for each exchange of vehicles on the route. This penalty is due to the return of the car dropped to the base. This paper introduces the general problem and illustrates some examples, also featuring some of its associated variants. An overview of the complexity of this combinatorial problem is also outlined, to justify their classification in the NPhard class. A database of instances for the problem is presented, describing the methodology of its constitution. The presented problem is also the subject of a study based on experimental algorithmic implementation of six metaheuristic solutions, representing adaptations of the best of state-of-the-art heuristic programming. New neighborhoods, construction procedures, search operators, evolutionary agents, cooperation by multi-pheromone are created for this problem. Furtermore, computational experiments and comparative performance tests are conducted on a sample of 60 instances of the created database, aiming to offer a algorithm with an efficient solution for this problem. These results will illustrate the best performance reached by the transgenetic algorithm in all instances of the dataset

Um estudo algorítmico para otimização do plano de tratamento da radioterapia conformal

This work performs an algorithmic study of optimization of a conformal radiotherapy plan treatment. Initially we show: an overview about cancer, radiotherapy and the physics of interaction of ionizing radiation with matery. A proposal for optimization of a plan of treatment in radiotherapy is developed in a systematic way. We show the paradigm of multicriteria problem, the concept of Pareto optimum and Pareto dominance. A generic optimization model for radioterapic treatment is proposed. We construct the input of the model, estimate the dose given by the radiation using the dose matrix, and show the objective function for the model. The complexity of optimization models in radiotherapy treatment is typically NP which justifyis the use of heuristic methods. We propose three distinct methods: MOGA, MOSA e MOTS. The project of these three metaheuristic procedures is shown. For each procedures follows: a brief motivation, the algorithm itself and the method for tuning its parameters. The three method are applied to a concrete case and we confront their performances. Finally it is analyzed for each method: the quality of the Pareto sets, some solutions and the respective Pareto curves

Um estudo algorítmico da programação da intervenção de sondas de produção

This work approaches the Scheduling Workover Rigs Problem (SWRP) to maintain the wells of an oil field, although difficult to resolve, is extremely important economical, technical and environmental. A mathematical formulation of this problem is presented, where an algorithmic approach was developed. The problem can be considered to find the best scheduling service to the wells by the workover rigs, taking into account the minimization of the composition related to the costs of the workover rigs and the total loss of oil suffered by the wells. This problem is similar to the Vehicle Routing Problem (VRP), which is classified as belonging to the NP-hard class. The goal of this research is to develop an algorithmic approach to solve the SWRP, using the fundamentals of metaheuristics like Memetic Algorithm and GRASP. Instances are generated for the tests to analyze the computational performance of the approaches mentioned above, using data that are close to reality. Thereafter, is performed a comparison of performance and quality of the results obtained by each one of techniques used

Multicast packing problem: abordagem multiobjetivo

This work presents a algorithmic study of Multicast Packing Problem considering a multiobjective approach. The first step realized was an extensive review about the problem. This review serverd as a reference point for the definition of the multiobjective mathematical model. Then, the instances used in the experimentation process were defined, this instances were created based on the main caracteristics from literature. Since both mathematical model and the instances were definined, then several algoritms were created. The algorithms were based on the classical approaches to multiobjective optimization: NSGA2 (3 versions), SPEA2 (3 versions). In addition, the GRASP procedures were adapted to work with multiples objectives, two vesions were created. These algorithms were composed by three recombination operators(C1, C2 e C3), two operator for build solution, a mutation operator and a local search procedure. Finally, a long experimentation process was performed. This process has three stages: the first consisted of adjusting the parameters; the second was perfomed to indentify the best version for each algorithm. After, the best versions for each algorithm were compared in order to identify the best algorithm among all. The algorithms were evaluated based on quality indicators and Hypervolume Multiplicative Epsilon

Um estudo algorítmico de problemas logísticos na indústria de petróleo e gás natural

This work consists on the study of two important problems arising from the operations of petroleum and natural gas industries. The first problem the pipe dimensioning problem on constrained gas distribution networks consists in finding the least cost combination of diameters from a discrete set of commercially available ones for the pipes of a given gas network, such that it respects minimum pressure requirements at each demand node and upstream pipe conditions. On its turn, the second problem the piston pump unit routing problem comes from the need of defining the piston pump unit routes for visiting a number of non-emergent wells in on-shore fields, i.e., wells which don t have enough pressure to make the oil emerge to surface. The periodic version of this problem takes into account the wells re-filling equation to provide a more accurate planning in the long term. Besides the mathematical formulation of both problems, an exact algorithm and a taboo search were developed for the solution of the first problem and a theoretical limit and a ProtoGene transgenetic algorithm were developed for the solution of the second problem. The main concepts of the metaheuristics are presented along with the details of their application to the cited problems. The obtained results for both applications are promising when compared to theoretical limits and alternate solutions, either relative to the quality of the solutions or to associated running time

Uma colônia de formigas para o caminho mais curto multiobjetivo

Multi-objective combinatorial optimization problems have peculiar characteristics that require optimization methods to adapt for this context. Since many of these problems are NP-Hard, the use of metaheuristics has grown over the last years. Particularly, many different approaches using Ant Colony Optimization (ACO) have been proposed. In this work, an ACO is proposed for the Multi-objective Shortest Path Problem, and is compared to two other optimizers found in the literature. A set of 18 instances from two distinct types of graphs are used, as well as a specific multiobjective performance assessment methodology. Initial experiments showed that the proposed algorithm is able to generate better approximation sets than the other optimizers for all instances. In the second part of this work, an experimental analysis is conducted, using several different multiobjective ACO proposals recently published and the same instances used in the first part. Results show each type of instance benefits a particular type of instance benefits a particular algorithmic approach. A new metaphor for the development of multiobjective ACOs is, then, proposed. Usually, ants share the same characteristics and only few works address multi-species approaches. This works proposes an approach where multi-species ants compete for food resources. Each specie has its own search strategy and different species do not access pheromone information of each other. As in nature, the successful ant populations are allowed to grow, whereas unsuccessful ones shrink. The approach introduced here shows to be able to inherit the behavior of strategies that are successful for different types of problems. Results of computational experiments are reported and show that the proposed approach is able to produce significantly better approximation sets than other methods

O problema do caixeiro alugador com coleta de bonus: um estudo algoritmico

This paper introduces a new variant of the Traveling Car Renter Problem, named Prizecollecting Traveling Car Renter Problem. In this problem, a set of vertices, each associated with a bonus, and a set of vehicles are given. The objective is to determine a cycle that visits some vertices collecting, at least, a pre-defined bonus, and minimizing the cost of the tour that can be traveled with different vehicles. A mathematical formulation is presented and implemented in a solver to produce results for sixty-two instances. The proposed problem is also subject of an experimental study based on the algorithmic application of four metaheuristics representing the best adaptations of the state of the art of the heuristic programming.We also provide new local search operators which exploit the neighborhoods of the problem, construction procedures and adjustments, created specifically for the addressed problem. Comparative computational experiments and performance tests are performed on a sample of 80 instances, aiming to offer a competitive algorithm to the problem. We conclude that memetic algorithms, computational transgenetic and a hybrid evolutive algorithm are competitive in tests performed

A general survey and some taxonomic implications of diterpenes in the Asteraceae

This paper provides a general survey of the occurrence of diterpenes in the Asteraceae. Data on 4351 botanical occurrences were obtained from the literature. These were grouped by skeleton for each genus. Then, the genera were grouped by subtribes, which, in turn, were gathered in tribes, followed by subfamilies. In spite of the low number of species containing diterpenes, it was possible to describe some structural features of these compounds, i.e. The skeletal types in various taxa and the positions in some skeletons that are always oxidized or never undergo oxidation in some genera. Thus, it was verified that: in the subfamily Cichorioideae, only a few of the studied species possess diterpenes, wherein kaurane is the most frequent diterpene skeleton. In the Asteroideae, the presence of diterpenes is much greater than that in the Cichorioideae and Carduoideae. At tribal taxonomic level, for example, the Astereae produce labdanes and clerodanes; Heliantheae and Eupatorieae produce kauranes and labdanes, respectively; and Calenduleae produce pimaranes. Some taxonomic implications are presented. (c) 2005 the Linnean Society of London.

Triterpenes from Maytenus macrocarpa and evaluation of their anti-HIV activity

A set of pentacyclic triterpenes has been isolated from the bark of Maytenus macrocarpa (Celastraceae). It includes two new olean-12-ene derivatives, namely 3 beta, 22(alpha-dihydroxy-olean-12-en-30-oic acid (1) and 22 alpha-hydroxy-olean-12-en-3-oxo-30-oic acid (2), and the new urs-12-ene derivative 3-(E)-coumaroyluvaol (7), along with 10 known compounds possessing olean-12ene, urs-12-ene, lupane and friedelane skeletons. The structures have been elucidated by extensive spectroscopic methods including ID- and 2D-NMR experiments, as well as ESI-MS analysis. All isolated compounds were tested for anti-HIV activity in C8166 cells infected with HIV-1(MN), the most active compound was 22(alpha-hydroxy-12-en-3-oxo-29-oic acid (triterpenonic acid A, 4), with an EC50 value of I mu g/mL and a selectivity index of 35.