Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems

Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.

Analysis an development of a prototype based on media wiki and semantic media wiki integrated with a design modeling that allows modeling of organizations based on demo

In a world where organizations are ever more complex the need for the knowledge of the organizational self is a growing necessity. The DEMO methodology sets a goal in achieving the specification of the organizational self capturing the essence of the organization in way independent of its implementation and also coherent, consistent, complete, modular and objective. But having such organization self notion is of little meaning if this notion is not shared by the organization actors. To achieve this goal in a society that has grown attached to technology and where time is of utmost importance, using a tool such as a semantic Wikipedia may be the perfect way of making the information accessible. However, to establish DEMO methodology in such platform there is a need to create bridges between its modeling components and semantic Wikipedia. It’s in that aspect that our thesis focuses, trying to establish and implement, using a study case, the principles of a way of transforming the DEMO methodology diagrams in comprehensive pages on semantic Wikipedia but keeping them as abstract as possible to allow expansibility and generalization to all diagrams without losing any valuable information so that, if that is the wish, those diagrams may be recreated from the semantic pages and make this process a full cycle.

Activity modeling in practice: a case-based guide to human-centered software engineering

The purpose of this study was to identify whether activity modeling framework supports problem analysis and provides a traceable and tangible connection from the problem identification up to solution modeling. Methodology validation relied on a real problem from a Portuguese teaching syndicate (ASPE), regarding courses development and management. The study was carried out with a perspective to elaborate a complete tutorial of how to apply activity modeling framework to a real world problem. Within each step of activity modeling, we provided a summary elucidation of the relevant elements required to perform it, pointed out some improvements and applied it to ASPE’s real problem. It was found that activity modeling potentiates well structured problem analysis as well as provides a guiding thread between problem and solution modeling. It was concluded that activity-based task modeling is key to shorten the gap between problem and solution. The results revealed that the solution obtained using activity modeling framework solved the core concerns of our customer and allowed them to enhance the quality of their courses development and management. The principal conclusion was that activity modeling is a properly defined methodology that supports software engineers in problem analysis, keeping a traceable guide among problem and solution.

A mixture theory based method for three-dimensional modeling of reinforce concrete members with embedded crack finite elements

The paper presents a methodology to model three-dimensional reinforced concrete members by means of embedded discontinuity elements based on the Continuum Strong Discontinuous Approach (CSDA). Mixture theory concepts are used to model reinforced concrete as a 31) composite material constituted of concrete with long fibers (rebars) bundles oriented in different directions embedded in it. The effects of the rebars are modeled by phenomenological constitutive models devised to reproduce the axial non-linear behavior, as well as the bond-slip and dowel action. The paper presents the constitutive models assumed for the components and the compatibility conditions chosen to constitute the composite. Numerical analyses of existing experimental reinforced concrete members are presented, illustrating the applicability of the proposed methodology.

An interactive environment for solid modeling based on free software

This paper describes an interactive environment built entirely upon public domain or free software, intended to be used as the preprocessor of a finite element package for the simulation of three-dimensional electromagnetic problems.

Study of alternative schemes for the parameterization step of the continuation power flow method based on physical parameters, part I: Mathematical modeling

The conventional power flow method is considered to be inadequate to obtain the maximum loading point because of the singularity of Jacobian matrix. Continuation methods are efficient tools for solving this kind of problem since different parameterization schemes can be used to avoid such ill-conditioning problems. This paper presents the details of new schemes for the parameterization step of the continuation power flow method. The new parameterization options are based on physical parameters, namely, the total power losses (real and reactive), the power at the slack bus (real or reactive), the reactive power at generation buses, and transmission line power losses (real and reactive). The simulation results obtained with the new approach for the IEEE test systems (14, 30, 57, and 118 buses) are presented and discussed in the companion paper. The results show that the characteristics of the conventional method are not only preserved but also improved.

Artificial neural networks for machining processes surface roughness modeling

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Challenges of modeling depth-integrated marine primary productivity over multiple decades: A case study at BATS and HOT

The performance of 36 models (22 ocean color models and 14 biogeochemical ocean circulation models (BOGCMs)) that estimate depth-integrated marine net primary productivity (NPP) was assessed by comparing their output to in situ (14)C data at the Bermuda Atlantic Time series Study (BATS) and the Hawaii Ocean Time series (HOT) over nearly two decades. Specifically, skill was assessed based on the models' ability to estimate the observed mean, variability, and trends of NPP. At both sites, more than 90% of the models underestimated mean NPP, with the average bias of the BOGCMs being nearly twice that of the ocean color models. However, the difference in overall skill between the best BOGCM and the best ocean color model at each site was not significant. Between 1989 and 2007, in situ NPP at BATS and HOT increased by an average of nearly 2% per year and was positively correlated to the North Pacific Gyre Oscillation index. The majority of ocean color models produced in situ NPP trends that were closer to the observed trends when chlorophyll-alpha was derived from high-performance liquid chromatography (HPLC), rather than fluorometric or SeaWiFS data. However, this was a function of time such that average trend magnitude was more accurately estimated over longer time periods. Among BOGCMs, only two individual models successfully produced an increasing NPP trend (one model at each site). We caution against the use of models to assess multiannual changes in NPP over short time periods. Ocean color model estimates of NPP trends could improve if more high quality HPLC chlorophyll-alpha time series were available.

Modeling approach based on experimental results for prediction of measurement errors in energy meters

This paper presents a general modeling approach to investigate and to predict measurement errors in active energy meters both induction and electronic types. The measurement error modeling is based on Generalized Additive Model (GAM), Ridge Regression method and experimental results of meter provided by a measurement system. The measurement system provides a database of 26 pairs of test waveforms captured in a real electrical distribution system, with different load characteristics (industrial, commercial, agricultural, and residential), covering different harmonic distortions, and balanced and unbalanced voltage conditions. In order to illustrate the proposed approach, the measurement error models are discussed and several results, which are derived from experimental tests, are presented in the form of three-dimensional graphs, and generalized as error equations. © 2009 IEEE.

Development of sustainable precision farming systems for swine: Estimating realtime individual amino acid requirements in growing-finishing pigs

The objective of this study was to develop and evaluate a mathematical model used to estimate the daily amino acid requirements of individual growing-finishing pigs. The model includes empirical and mechanistic model components. The empirical component estimates daily feed intake (DFI), BW, and daily gain (DG) based on individual pig information collected in real time. Based on DFI, BW, and DG estimates, the mechanistic component uses classic factorial equations to estimate the optimal concentration of amino acids that must be offered to each pig to meet its requirements. The model was evaluated with data from a study that investigated the effect of feeding pigs with a 3-phase or daily multiphase system. The DFI and BW values measured in this study were compared with those estimated by the empirical component of the model. The coherence of the values estimated by the mechanistic component was evaluated by analyzing if it followed a normal pattern of requirements. Lastly, the proposed model was evaluated by comparing its estimates with those generated by the existing growth model (InraPorc). The precision of the proposed model and InraPorc in estimating DFI and BW was evaluated through the mean absolute error. The empirical component results indicated that the DFI and BW trajectories of individual pigs fed ad libitum could be predicted 1 d (DFI) or 7 d (BW) ahead with the average mean absolute error of 12.45 and 1.85%, respectively. The average mean absolute error obtained with the InraPorc for the average individual of the population was 14.72% for DFI and 5.38% for BW. Major differences were observed when estimates from InraPorc were compared with individual observations. The proposed model, however, was effective in tracking the change in DFI and BW for each individual pig. The mechanistic model component estimated the optimal standardized ileal digestible Lys to NE ratio with reasonable between animal (average CV = 7%) and overtime (average CV = 14%) variation. Thus, the amino acid requirements estimated by model are animal- and time-dependent and follow, in real time, the individual DFI and BW growth patterns. The proposed model can follow the average feed intake and feed weight trajectory of each individual pig in real time with good accuracy. Based on these trajectories and using classical factorial equations, the model makes it possible to estimate dynamically the AA requirements of each animal, taking into account the intake and growth changes of the animal. © 2012 American Society of Animal Science. All rights reserved.

Digital filtering of oscillations intrinsic to transmission line modeling based on lumped parameters

A correction procedure based on digital signal processing theory is proposed to smooth the numeric oscillations in electromagnetic transient simulation results from transmission line modeling based on an equivalent representation by lumped parameters. The proposed improvement to this well-known line representation is carried out with an Finite Impulse Response (FIR) digital filter used to exclude the high-frequency components associated with the spurious numeric oscillations. To prove the efficacy of this correction method, a well-established frequency-dependent line representation using state equations is modeled with an FIR filter included in the model. The results obtained from the state-space model with and without the FIR filtering are compared with the results simulated by a line model based on distributed parameters and inverse transforms. Finally, the line model integrated with the FIR filtering is also tested and validated based on simulations that include nonlinear and time-variable elements. © 2012 Elsevier Ltd. All rights reserved.

Cellular automata-based spatial dynamic modeling for analyzing urban land use change

This paper analyzes land use change in Rio Claro City and its surroundings, located in the southeastern state of Sao Paulo, in the period from 1988 to 1995, using air-borne digital imagery and a cellular automata model. The simulation experiment was carried out in the Dinamica EGO platform and the results revealed a constrained urban sprawl, resulting from both the densification of residential areas implemented in previous years and the economic recession that led to an internal financial crisis in Brazil during the early 1990s. The simulation outputs were validated using a multi-resolution procedure based on a fuzzy similarity index and showed a satisfactory fitness in relation to the historical reference data. © 2013 IEEE.

Optimal control strategy for fed-batch enzymatic hydrolysis of lignocellulosic biomass based on epidemic modeling

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Development and evolution of caste dimorphism in honeybees - a modeling approach

The difference in phenotypes of queens and workers is a hallmark of the highly eusocial insects. The caste dimorphism is often described as a switch-controlled polyphenism, in which environmental conditions decide an individual's caste. Using theoretical modeling and empirical data from honeybees, we show that there is no discrete larval developmental switch. Instead, a combination of larval developmental plasticity and nurse worker feeding behavior make up a colony-level social and physiological system that regulates development and produces the caste dimorphism. Discrete queen and worker phenotypes are the result of discrete feeding regimes imposed by nurses, whereas a range of experimental feeding regimes produces a continuous range of phenotypes. Worker ovariole numbers are reduced through feeding-regime-mediated reduction in juvenile hormone titers, involving reduced sugar in the larval food. Based on the mechanisms identified in our analysis, we propose a scenario of the evolutionary history of honeybee development and feeding regimes.