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.

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.

Variabilidade temporal e espacial da precipitação incidente sobre a unidade de gerenciamento de recursos hídricos Sorocaba e Médio Tietê e anomalias

Pós-graduação em Ciências Ambientais - Sorocaba

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

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

Análise de desempenho de índices de instabilidade atmosférica na previsão de fenômenos convectivos de mesoescala na região metropolitana de São Paulo entre 28 de janeiro e 04 de fevereiro de 2004

Discute-se o potencial prognóstico de índices de instabilidade para eventos convectivos de verão na Região Metropolitana de São Paulo. Cinco dos oito dias do período analisado foram considerados chuvosos, com observação de tempestades a partir do meio da tarde. O Índice K (IK) obteve valores abaixo de 31 nos 5 eventos, afetado pela presença de uma camada fria e seca em níveis médios da atmosfera em relação aos baixos níveis. O Índice Total Totals (ITT) falhou na detecção de severidade em 3 dos 5 eventos, apresentando valores inferiores ao mínimo limiar tabelado para fenômenos convectivos (ITT < 44) nesses dias. O Índice Levantado (IL) variou entre -4.9 e -4.3 em todos os 5 casos, valores associados a instabilidade moderada. O Índice de Showalter (IS) indicou possibilidade de tempestades severas em 4 dos 5 casos. Tanto o IS como o CAPE Tv tiveram seus valores fortemente reduzidos em uma sondagem com camada isotérmica entre 910 e 840 hPa. As séries temporais de CAPE Tv e IL mostraram significativa concordância de fase, com alta correlação linear entre ambas. CINE Tv ≈ 0 J kg-1 em associação com baixo cisalhamento vertical e com IS, IL e CAPE Tv, pelo menos moderados, parecem ser fatores comuns em dias de verão com chuvas abundantes e pequena influência da dinâmica de grande escala na área de estudo.

Análise do erro de previsão de vazões mensais com diferentes horizontes de previsão

Este trabalho aborda o problema de previsão para séries de vazões médias mensais, no qual denomina-se de horizonte de previsão (h), o intervalo de tempo que separa a última observação usada no ajuste do modelo de previsão e o valor futuro a ser previsto. A análise do erro de previsão é feita em função deste horizonte de previsão. Estas séries possuem um comportamento periódico na média, na variância e na função de autocorrelação. Portanto, considera-se a abordagem amplamente usada para a modelagem destas séries que consiste inicialmente em remover a periodicidade na média e na variância das séries de vazões e em seguida calcular uma série padronizada para a qual são ajustados modelos estocásticos. Neste estudo considera-se para a série padronizada os modelos autorregressivos periódicos PAR (p m). As ordens p m dos modelos ajustados para cada mês são determinadas usando os seguintes critérios: a análise clássica da função de autocorrelação parcial periódica (FACPPe); usando-se o Bayesian Information Criterion (BIC) proposto em (MecLeod, 1994); e com a análise da FACPPe proposta em (Stedinger, 2001). Os erros de previsão são calculados, na escala original da série de vazão, em função dos parâmetros dos modelos ajustados e avaliados para horizontes de previsão h variando de 1 a 12 meses. Estes erros são comparados com as estimativas das variâncias das vazões para o mês que está sendo previsto. Como resultado tem-se uma avaliação da capacidade de previsão, em meses, dos modelos ajustados para cada mês.

Impact of artifact correction methods on R-R interbeat signals to quantifying heart rate variability (HRV) according to linear and nonlinear methods.

In the analysis of heart rate variability (HRV) are used temporal series that contains the distances between successive heartbeats in order to assess autonomic regulation of the cardiovascular system. These series are obtained from the electrocardiogram (ECG) signal analysis, which can be affected by different types of artifacts leading to incorrect interpretations in the analysis of the HRV signals. Classic approach to deal with these artifacts implies the use of correction methods, some of them based on interpolation, substitution or statistical techniques. However, there are few studies that shows the accuracy and performance of these correction methods on real HRV signals. This study aims to determine the performance of some linear and non-linear correction methods on HRV signals with induced artefacts by quantification of its linear and nonlinear HRV parameters. As part of the methodology, ECG signals of rats measured using the technique of telemetry were used to generate real heart rate variability signals without any error. In these series were simulated missing points (beats) in different quantities in order to emulate a real experimental situation as accurately as possible. In order to compare recovering efficiency, deletion (DEL), linear interpolation (LI), cubic spline interpolation (CI), moving average window (MAW) and nonlinear predictive interpolation (NPI) were used as correction methods for the series with induced artifacts. The accuracy of each correction method was known through the results obtained after the measurement of the mean value of the series (AVNN), standard deviation (SDNN), root mean square error of the differences between successive heartbeats (RMSSD), Lomb\'s periodogram (LSP), Detrended Fluctuation Analysis (DFA), multiscale entropy (MSE) and symbolic dynamics (SD) on each HRV signal with and without artifacts. The results show that, at low levels of missing points the performance of all correction techniques are very similar with very close values for each HRV parameter. However, at higher levels of losses only the NPI method allows to obtain HRV parameters with low error values and low quantity of significant differences in comparison to the values calculated for the same signals without the presence of missing points.

O nexo causal entre crédito rural e crescimento do produto agropecuário na economia brasileira

O nexo causal entre desenvolvimento financeiro e crescimento econômico vem ganhando destaque na literatura desde o início dos anos 1990. As principais linhas teóricas nessa área buscam demonstrar qual a significância da relação e o sentido da causalidade, se houver. Causalidade unidirecional no sentido do desenvolvimento financeiro para o crescimento econômico, bicausalidade entre ambos, e causalidade reversa, no sentido do crescimento para o desenvolvimento financeiro, são as principais hipóteses testadas nas pesquisas empíricas. O presente trabalho de tese tem por objetivo avaliar o nexo causal entre crédito (como um indicador do desenvolvimento financeiro) e crescimento no setor agropecuário brasileiro. O crédito rural como proporção do PIB agropecuário cresceu substancialmente desde meados da década de 90, passando de 15,44% em 1996 para 65,24% em 2014. Ao longo do período 1969-2014, a razão média anual entre crédito rural e PIB agropecuário foi de 43,87%. No mesmo período, o produto agropecuário cresceu em média 3,76% ao ano. Questiona-se se no mercado rural o crédito causa o crescimento agropecuário, se ocorre causalidade reversa ou se se opera a hipótese de bicausalidade. Para avaliar o nexo causal entre essas duas variáveis econômica foram empregados quatro procedimentos metodológicos: teste de causalidade de Granger em uma representação VAR com a abordagem de Toda e Yamamoto, teste de causalidade de Granger em um modelo FMOLS (Fully Modified OLS), teste de causalidade de Granger em um modelo ARDL (Autoregressive-Distributed Lag) e teste de causalidade de Granger no domínio da frequência, com o uso do método de Breitung e Candelon. Os resultados mostram de forma uniforme a presença de causalidade unidirecional do crédito rural para o crescimento do produto agropecuário. Causalidade reversa, no sentido do crescimento agropecuário para o crédito rural, não foi detectada de forma significativa em nenhum dos quatro métodos empregados. A não detecção de bicausalidade pode ser uma evidência do impacto da forte política de subsídio governamental ao crédito rural. A decisão do Governo quanto ao montante anual de crédito rural disponível a taxas de juros subsidiadas pode estar impedindo que o desempenho do setor, medido pela sua taxa de crescimento, exerça uma influência significativa na dinâmica do crédito rural. Os resultados também abrem a possibilidade a testar a hipótese de exogeneidade do crédito rural, o que seria uma extensão direta dos resultados obtidos.

Análise wavelet e modelo de manchas em curvas de luz estelares dos telescópios espaciais Kepler e CoRoT

Analogous to sunspots and solar photospheric faculae, which visibility is modulated by stellar rotation, stellar active regions consist of cool spots and bright faculae caused by the magnetic field of the star. Such starspots are now well established as major tracers used to estimate the stellar rotation period, but their dynamic behavior may also be used to analyze other relevant phenomena such as the presence of magnetic activity and its cycles. To calculate the stellar rotation period, identify the presence of active regions and investigate if the star exhibits or not differential rotation, we apply two methods: a wavelet analysis and a spot model. The wavelet procedure is also applied here to study pulsation in order to identify specific signatures of this particular stellar variability for different types of pulsating variable stars. The wavelet transform has been used as a powerful tool for treating several problems in astrophysics. In this work, we show that the time-frequency analysis of stellar light curves using the wavelet transform is a practical tool for identifying rotation, magnetic activity, and pulsation signatures. We present the wavelet spectral composition and multiscale variations of the time series for four classes of stars: targets dominated by magnetic activity, stars with transiting planets, those with binary transits, and pulsating stars. We applied the Morlet wavelet (6th order), which offers high time and frequency resolution. By applying the wavelet transform to the signal, we obtain the wavelet local and global power spectra. The first is interpreted as energy distribution of the signal in time-frequency space, and the second is obtained by time integration of the local map. Since the wavelet transform is a useful mathematical tool for nonstationary signals, this technique applied to Kepler and CoRoT light curves allows us to clearly identify particular signatures for different phenomena. In particular, patterns were identified for the temporal evolution of the rotation period and other periodicity due to active regions affecting these light curves. In addition, a beat-pattern vii signature in the local wavelet map of pulsating stars over the entire time span was also detected. The second method is based on starspots detection during transits of an extrasolar planet orbiting its host star. As a planet eclipses its parent star, we can detect physical phenomena on the surface of the star. If a dark spot on the disk of the star is partially or totally eclipsed, the integrated stellar luminosity will increase slightly. By analyzing the transit light curve it is possible to infer the physical properties of starspots, such as size, intensity, position and temperature. By detecting the same spot on consecutive transits, it is possible to obtain additional information such as the stellar rotation period in the planetary transit latitude, differential rotation, and magnetic activity cycles. Transit observations of CoRoT-18 and Kepler-17 were used to implement this model.

Aids em idosos no Brasil no período de 2000 a 2012: uma análise de série temporal e dos fatores contextuais associados

The characteristics profile of individuals who develop AIDS in Brazil has changed over time. Among these modifications, a worrying finding is the increased incidence of AIDS in the elderly across the country. But, however, is not yet clear whether the increase in AIDS cases is sufficient to produce a change in the trend of measures in recent years in the Brazilian states, and this increase has an effect from the socioeconomic and demographic indicators. In this sense, the objective of this study is to analyze the AIDS incidence rates among the elderly in Brazil and its effect on socioeconomic and demographic inequalities in the period 2000 to 2012. This is an ecological time-series study to meet behavior of the time series of the incidence rates of AIDS in the elderly from 2000 to 2012. the rates were calculated using the secondary data from Diseases Information System Notification and the Brazilian Institute of Geography and Statistics. Data were analyzed statistically to know the trends in incidence rates, by polynomial regression model and joinpoint log-linear regression model, but also the simple linear regression analysis to find the relationship of trends with variables socioeconomic and demographic. SPSS 20.0® and Joinpoint 4.1.1 programs were used. All tests were carried out considering a significance of 5%. After the analysis, in Brazil were reported 62,052 new cases of AIDS in the elderly from 2000 to 2012. During this period, a significant increase was found for males, both aged 50-59 years (APPC: 3.46 %, p <0.001), such as above 59 years (AAPC: 4.38%; p <0.001). For females, the increase was significant and has the largest increments in the time series, when compared to males in both age groups (AAPC: 4.62%, p <0.001 and AAPC: 6.53%; p <0.001) respectively. The largest increases are observed in women and in the states of North and Northeast. In the Southeast Region is observed stabilization of rates throughout the series. The reason of trends between the sexes had a significant reduction, but also an approach in both age groups of the study, reaching a ratio of 1.7 males for every female in the youngest age group. The trends were related to illiteracy rates, with increasing social inequality and the lowest human development in the Brazilian states. We conclude that in Brazil the incidence of AIDS in the elderly follows an increasing trend in individuals over 50 years. Noteworthy are the highest rates of study in women and in the states of North and Northeast. In this sense, the country needs to enhance policies towards older people with STD / AIDS, training health professionals and developing effective measures for the prevention and early diagnosis of infected people, especially in places with limited resources and high social inequality. In the long term, it is developing new studies to understand whether the measures taken were effective in reducing the trends identified in this study.

Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

Capacity forecasting for radio access networks

The mobile networks market (focus of this work) strategy is based on the consolidation of the installed structure and the optimization of the already existent resources. The increasingly competition and aggression of this market requires, to the mobile operators, a continuous maintenance and update of the networks in order to obtain the minimum number of fails and provide the best experience for its subscribers. In this context, this dissertation presents a study aiming to assist the mobile operators improving future network modifications. In overview, this dissertation compares several forecasting methods (mostly based on time series analysis) capable of support mobile operators with their network planning. Moreover, it presents several network indicators about the more common bottlenecks.