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.

Neural network based on adaptive resonance theory with continuous training for multi-configuration transient stability analysis of electric power systems

This work presents a methodology to analyze electric power systems transient stability for first swing using a neural network based on adaptive resonance theory (ART) architecture, called Euclidean ARTMAP neural network. The ART architectures present plasticity and stability characteristics, which are very important for the training and to execute the analysis in a fast way. The Euclidean ARTMAP version provides more accurate and faster solutions, when compared to the fuzzy ARTMAP configuration. Three steps are necessary for the network working, training, analysis and continuous training. The training step requires much effort (processing) while the analysis is effectuated almost without computational effort. The proposed network allows approaching several topologies of the electric system at the same time; therefore it is an alternative for real time transient stability of electric power systems. To illustrate the proposed neural network an application is presented for a multi-machine electric power systems composed of 10 synchronous machines, 45 buses and 73 transmission lines. (C) 2010 Elsevier B.V. All rights reserved.

Robust fault diagnosis in power distribution systems based on fuzzy ARTMAP neural network-aided evidence theory

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

Colombeau's theory and shock wave solutions for systems of PDEs

In this article we study the existence of shock wave solutions for systems of partial differential equations of hydrodynamics with viscosity in one space dimension in the context of Colombeau's theory of generalized functions. This study uses the equality in the strict sense and the association of generalized functions (that is the weak equality). The shock wave solutions are given in terms of generalized functions that have the classical Heaviside step function as macroscopic aspect. This means that solutions are sought in the form of sequences of regularizations to the Heaviside function that have to satisfy part of the equations in the strict sense and part of the equations in the sense of association.

Effective theory for trapped few-fermion systems

We apply the general principles of effective field theories to the construction of effective interactions suitable for few- and many-body calculations in a no-core shell model framework. We calculate the spectrum of systems with three and four two-component fermions in a harmonic trap. In the unitary limit, we find that three-particle results are within 10% of known semianalytical values even in small model spaces. The method is very general, and can be readily extended to other regimes, more particles, different species (e.g., protons and neutrons in nuclear physics), or more-component fermions (as well as bosons). As an illustration, we present calculations of the lowest-energy three-fermion states away from the unitary limit and find a possible inversion of parity in the ground state in the limit of trap size large compared to the scattering length. Furthermore, we investigate the lowest positive-parity states for four fermions, although we are limited by the dimensions we can currently handle in this case.

Many-body theory for systems of composite hadrons

Many-body systems of composite hadrons are characterized by processes that involve the simultaneous presence of hadrons and their constituents. We briefly review several methods that have been devised to study such systems and present a novel method that is based on the ideas of mapping between physical and ideal Fock spaces. The method, known as the Fock-Tani representation, was invented years ago in the context of atomic physics problems and was recently extended to hadronic physics. Starting with the Fock-space representation of single-hadron states, a change of representation is implemented by a unitary transformation such that composites are redescribed by elementary Bose and Fermi field operators in an extended Fock space. When the unitary transformation is applied to the microscopic quark Hamiltonian, effective, Hermitian Hamiltonians with a clear physical interpretation are obtained. The use of the method in connection with the linked-cluster formalism to describe short-range correlations and quark deconfinement effects in nuclear matter is discussed. As an application of the method, an effective nucleon-nucleon interaction is derived from a constituent quark model and used to obtain the equation of state of nuclear matter in the Hartree-Fock approximation.

Density functional theory study on the structural and electronic properties of low index rutile surfaces for TiO2/SnO2/TiO2 and SnO2/TiO2/SnO2 composite systems

The present study is concerned with the structural and electronic properties of the TiO2/SnO2/TiO2 and SnO2/TiO2/SnO2 composite systems. Periodic quantum mechanical method with density functional theory at the B3LYP level has been carried out. Relaxed surface energies, structural characteristics and electronic properties of the (I 10), (0 10), (10 1) and (00) low-index rutile surfaces for TiO2/SnO2/TiO2 and SnO2/TiO2/SnO2 models are studied. For, comparison purposes, the bare rutile TiO2 and SnO2 structures are also analyzed and compared with previous theoretical and experimental data. The calculated surface energy for both rutile TiO2 and SnO2 surfaces follows the sequence (110) < (010) < (101) < (001) and the energy increases as (010) < (101) < (110) < (001) and (010) approximate to (110) < (101) < (001) for SnO2/TiO2/SnO2 and TiO2/SnO2/TiO2 composite systems, respectively. SnO2/TiO2/SnO2 presents larger values of surface energy than the individual SnO2 and TiO2 metal oxides and the TiO2/SnO2/TiO2 system renders surface energy values of the same order that the TiO2 and lower than the SnO2. An analysis of the electronic structure of the TiO2/SnO2/TiO2 and SnO2/TiO2/SnO2 systems shows that the main characteristics of the upper part of the valence bands for all the studied surfaces are dominated by the external layers, i.e., by the TiO2 and the SnO2, respectively, and the topology of the lower part of the conduction bands looks like the core layers. There is an energy stabilization of both valence band top and conduction band bottom for (110) and (010) surfaces of the SnO2/TiO2/SnO2 composite system in relation to their core TiO2, whereas an opposite trend is found for the same surfaces of the TiO2/SnO2/TiO2 composite system in relation to the bare SnO2. The present theoretical results may explain the growth of TiO2@SnO2 bimorph composite nanotape.

A multiple intelligences theory-based 3D virtual lab environment for digital systems teaching.

This paper describes a 3D virtual lab environment that was developed using OpenSim software integrated into Moodle. Virtuald software tool was used to provide pedagogical support to the lab by enabling to create online texts and delivering them to the students. The courses taught in this virtual lab are methodologically in conformity to theory of multiple intelligences. Some results are presented.

THREE TIME SCALE SINGULAR PERTURBATION PROBLEMS AND NONSMOOTH DYNAMICAL SYSTEMS

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

Geometric singular perturbartion theory for non-smooth dynamical systems

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

Analytic perturbation theory for bound states in the transfer matrix spectrum of weakly correlated lattice ferromagnetic spin systems

We consider general d-dimensional lattice ferromagnetic spin systems with nearest neighbor interactions in the high temperature region ('beta' << 1). Each model is characterized by a single site apriori spin distribution taken to be even. We also take the parameter 'alfa' = ('S POT.4') - 3 '(S POT.2') POT.2' > 0, i.e. in the region which we call Gaussian subjugation, where ('S POT.K') denotes the kth moment of the apriori distribution. Associated with the model is a lattice quantum field theory known to contain a particle of asymptotic mass -ln 'beta' and a bound state below the two-particle threshold. We develop a 'beta' analytic perturbation theory for the binding energy of this bound state. As a key ingredient in obtaining our result we show that the Fourier transform of the two-point function is a meromorphic function, with a simple pole, in a suitable complex spectral parameter and the coefficients of its Laurent expansion are analytic in 'beta'.

Progress in the mathematical theory of quantum disordered systems

We review recent progress in the mathematical theory of quantum disordered systems: the Anderson transition, including some joint work with Marchetti, the (quantum and classical) Edwards-Anderson (EA) spin-glass model and return to equilibrium for a class of spin-glass models, which includes the EA model initially in a very large transverse magnetic field. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4770066]

A Unitary Approach to Information and Estimation Theory in Digital Communication Systems

This thesis presents the outcomes of a Ph.D. course in telecommunications engineering. It is focused on the optimization of the physical layer of digital communication systems and it provides innovations for both multi- and single-carrier systems. For the former type we have first addressed the problem of the capacity in presence of several nuisances. Moreover, we have extended the concept of Single Frequency Network to the satellite scenario, and then we have introduced a novel concept in subcarrier data mapping, resulting in a very low PAPR of the OFDM signal. For single carrier systems we have proposed a method to optimize constellation design in presence of a strong distortion, such as the non linear distortion provided by satellites' on board high power amplifier, then we developed a method to calculate the bit/symbol error rate related to a given constellation, achieving an improved accuracy with respect to the traditional Union Bound with no additional complexity. Finally we have designed a low complexity SNR estimator, which saves one-half of multiplication with respect to the ML estimator, and it has similar estimation accuracy.

Quantum Correlations in Field Theory and Integrable Systems

In this thesis we will investigate some properties of one-dimensional quantum systems. From a theoretical point of view quantum models in one dimension are particularly interesting because they are strongly interacting, since particles cannot avoid each other in their motion, and you we can never ignore collisions. Yet, integrable models often generate new and non-trivial solutions, which could not be found perturbatively. In this dissertation we shall focus on two important aspects of integrable one- dimensional models: Their entanglement properties at equilibrium and their dynamical correlators after a quantum quench. The first part of the thesis will be therefore devoted to the study of the entanglement entropy in one- dimensional integrable systems, with a special focus on the XYZ spin-1/2 chain, which, in addition to being integrable, is also an interacting model. We will derive its Renyi entropies in the thermodynamic limit and its behaviour in different phases and for different values of the mass-gap will be analysed. In the second part of the thesis we will instead study the dynamics of correlators after a quantum quench , which represent a powerful tool to measure how perturbations and signals propagate through a quantum chain. The emphasis will be on the Transverse Field Ising Chain and the O(3) non-linear sigma model, which will be both studied by means of a semi-classical approach. Moreover in the last chapter we will demonstrate a general result about the dynamics of correlation functions of local observables after a quantum quench in integrable systems. In particular we will show that if there are not long-range interactions in the final Hamiltonian, then the dynamics of the model (non equal- time correlations) is described by the same statistical ensemble that describes its statical properties (equal-time correlations).