A fractional perspective to financial indices

The application of mathematical methods and computer algorithms in the analysis of economic and financial data series aims to give empirical descriptions of the hidden relations between many complex or unknown variables and systems. This strategy overcomes the requirement for building models based on a set of ‘fundamental laws’, which is the paradigm for studying phenomena usual in physics and engineering. In spite of this shortcut, the fact is that financial series demonstrate to be hard to tackle, involving complex memory effects and a apparently chaotic behaviour. Several measures for describing these objects were adopted by market agents, but, due to their simplicity, they are not capable to cope with the diversity and complexity embedded in the data. Therefore, it is important to propose new measures that, on one hand, are highly interpretable by standard personal but, on the other hand, are capable of capturing a significant part of the dynamical effects.

Dynamical Stability and Predictability of Football Players: The Study of One Match

The game of football demands new computational approaches to measure individual and collective performance. Understanding the phenomena involved in the game may foster the identification of strengths and weaknesses, not only of each player, but also of the whole team. The development of assertive quantitative methodologies constitutes a key element in sports training. In football, the predictability and stability inherent in the motion of a given player may be seen as one of the most important concepts to fully characterise the variability of the whole team. This paper characterises the predictability and stability levels of players during an official football match. A Fractional Calculus (FC) approach to define a player’s trajectory. By applying FC, one can benefit from newly considered modeling perspectives, such as the fractional coefficient, to estimate a player’s predictability and stability. This paper also formulates the concept of attraction domain, related to the tactical region of each player, inspired by stability theory principles. To compare the variability inherent in the player’s process variables (e.g., distance covered) and to assess his predictability and stability, entropy measures are considered. Experimental results suggest that the most predictable player is the goalkeeper while, conversely, the most unpredictable players are the midfielders. We also conclude that, despite his predictability, the goalkeeper is the most unstable player, while lateral defenders are the most stable during the match.

Numerical analysis of the initial conditions in fractional systems

Fractional dynamics is a growing topic in theoretical and experimental scientific research. A classical problem is the initialization required by fractional operators. While the problem is clear from the mathematical point of view, it constitutes a challenge in applied sciences. This paper addresses the problem of initialization and its effect upon dynamical system simulation when adopting numerical approximations. The results are compatible with system dynamics and clarify the formulation of adequate values for the initial conditions in numerical simulations.

On the numerical computation of the Mittag-Leffler function

Recently simple limiting functions establishing upper and lower bounds on the Mittag-Leffler function were found. This paper follows those expressions to design an efficient algorithm for the approximate calculation of expressions usual in fractional-order control systems. The numerical experiments demonstrate the superior efficiency of the proposed method.

Fractional Order Generalized Information

This paper formulates a novel expression for entropy inspired in the properties of Fractional Calculus. The characteristics of the generalized fractional entropy are tested both in standard probability distributions and real world data series. The results reveal that tuning the fractional order allow an high sensitivity to the signal evolution, which is useful in describing the dynamics of complex systems. The concepts are also extended to relative distances and tested with several sets of data, confirming the goodness of the generalization.

Rhapsody in fractional

This paper studies several topics related with the concept of “fractional” that are not directly related with Fractional Calculus, but can help the reader in pursuit new research directions. We introduce the concept of non-integer positional number systems, fractional sums, fractional powers of a square matrix, tolerant computing and FracSets, negative probabilities, fractional delay discrete-time linear systems, and fractional Fourier transform.

Delay approximation of fractional integrals

This paper explores the calculation of fractional integrals by means of the time delay operator. The study starts by reviewing the memory properties of fractional operators and their relationship with time delay. Based on the time response of the Mittag-Leffler function an approximation of fractional integrals consisting of time delayed samples is proposed. The tuning of the approximation is optimized by means of a genetic algorithm. The results demonstrate the feasibility of the new perspective and the limits of their application.

Fractional order modelling of dynamic backlash

This paper studies the dynamical properties of systems with backlash and impact phenomena. This type of non-linearity can be tackled in the perspective of the fractional calculus theory. Fractional and integer order models are compared and their influence upon the emerging dynamics is analysed. It is demonstrated that fractional models can memorize dynamical effects due to multiple micro-collisions.

The impact of an online mathematics education project (MATACTIVA) on higher education students

The Online Mathematics Education Project (MatActiva) is an exciting new initiative which aims to support and enhance mathematics education. The project is led by the Institute of Accounting and Administration of Porto (ISCAP), part of the Polytechnic Institute of Porto (IPP). It provides innovative resources and carefully constructed materials around themes such as Elementary Mathematics, Calculus, Algebra, Statistics and Financial Mathematics to help support and inspire students and teachers of mathematics. The goal is to increase mathematical understanding, confidence and enjoyment, enrich the mathematical experience of each person, and promote creative and imaginative approaches to mathematics. Furthermore the project can be used to deliver engaging and effective mathematics instruction through the flipped classroom model. This paper also presents the findings of a large survey, whose propose was to study the student’s reaction to the project.

Matemática 100 stress: um projeto aberto no IPP

A Era Tecnológica em que nos vemos inseridos, cujos avanços acontecem a uma velocidade vertiginosa exige, por parte das Instituições de Ensino Superior (IES) uma atitude proactiva no sentido de utilização dos muitos recursos disponíveis. Por outro lado, os elementos próprios da sociedade da informação – flexibilidade, formação ao longo da vida, acessibilidade à informação, mobilidade, entre muito outros – atuam como fortes impulsionadores externos para que as IES procurem e analisem novas modalidades formativas. Perante a mobilidade crescente, que se tem revelado massiva, a aprendizagem tende a ser cada vez mais individualizada, visual e prática. A conjugação de várias formas/tipologias de transmissão de conhecimento, de métodos didáticos e mesmo de ambientes e situações de aprendizagem induzem uma melhor adaptação do estudante, que poderá procurar aqueles que melhor vão ao encontro das suas expetativas, isto é, favorecem um processo de ensino-aprendizagem eficiente na perspetiva da forma de aprender de cada um. A definição de políticas estratégicas relacionadas com novas modalidades de ensino/formação tem sido uma preocupação constante na nossa instituição, nomeadamente no domínio do ensino à distância, seja ele e-Learning, b-Learning ou, mais recentemente, “open-Learning”, onde se inserem os MOOC – Massive Open Online Courses (não esquecendo a vertente m-Learning), de acordo com as várias tendências europeias (OECD, 2007) (Comissão Europeia, 2014) e com os objetivos da “Europa 2020”. Neste sentido surge o Projeto Matemática 100 STRESS, integrado no projeto e-IPP | Unidade de e-Learning do Politécnico do Porto que criou a sua plataforma MOOC, abrindo em junho de 2014 o seu primeiro curso – Probabilidades e Combinatória. Pretendemos dar a conhecer este Projeto, e em particular este curso, que envolveu vários docentes de diferentes unidades orgânicas do IPP.

Análise e implementação de filtros digitais fraccionários

O projeto realizado teve como tema a aplicação das derivadas e integrais fraccionários para a implementação de filtros digitais numa perspetiva de processamento digital de sinais. Numa primeira fase do trabalho, é efetuado uma abordagem teórica sobre os filtros digitais e o cálculo fraccionário. Estes conceitos teóricos são utilizados posteriormente para o desenvolvimento do presente projeto. Numa segunda fase, é desenvolvida uma interface gráfica em ambiente MatLab, utilizando a ferramenta GUIDE. Esta interface gráfica tem como objetivo a implementação de filtros digitais fraccionários. Na terceira fase deste projeto são implementados os filtros desenvolvidos experimentalmente através do ADSP-2181, onde será possível analisar e comparar os resultados experimentais com os resultados obtidos por simulação no MatLab. Como quarta e última fase deste projeto é efetuado uma reflexão sobre todo o desenvolvimento da Tese e o que esta me proporcionou. Com este relatório pretendo apresentar todo o esforço aplicado na realização deste trabalho, bem como alguns dos conhecimentos adquiridos ao longo do curso.

Numerical analysis of the initial conditions in fractional systems

Fractional dynamics is a growing topic in theoretical and experimental scientific research. A classical problem is the initialization required by fractional operators. While the problem is clear from the mathematical point of view, it constitutes a challenge in applied sciences. This paper addresses the problem of initialization and its effect upon dynamical system simulation when adopting numerical approximations. The results are compatible with system dynamics and clarify the formulation of adequate values for the initial conditions in numerical simulations.

On the numerical computation of the Mittag-Leffler function

Recently simple limiting functions establishing upper and lower bounds on the Mittag-Leffler function were found. This paper follows those expressions to design an efficient algorithm for the approximate calculation of expressions usual in fractional-order control systems. The numerical experiments demonstrate the superior efficiency of the proposed method.

Fractional Order Generalized Information

This paper formulates a novel expression for entropy inspired in the properties of Fractional Calculus. The characteristics of the generalized fractional entropy are tested both in standard probability distributions and real world data series. The results reveal that tuning the fractional order allow an high sensitivity to the signal evolution, which is useful in describing the dynamics of complex systems. The concepts are also extended to relative distances and tested with several sets of data, confirming the goodness of the generalization.

Rhapsody in Fractional

This paper studies several topics related with the concept of “fractional” that are not directly related with Fractional Calculus, but can help the reader in pursuit new research directions. We introduce the concept of non-integer positional number systems, fractional sums, fractional powers of a square matrix, tolerant computing and FracSets, negative probabilities, fractional delay discrete-time linear systems, and fractional Fourier transform.