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.

Wear Particle Classifier System Based on an Artificial Neural Network

This paper describes a method of identifying morphological attributes that classify wear particles in relation to the wear process from which they originate and permit the automatic identification without human expertise. The method is based on the use of Multi Layer Perceptron (MLP) for analysis of specific types of microscopic wear particles. The classification of the wear particles was performed according to their morphological attributes of size and aspect ratio, among others. (C) 2010 Journal of Mechanical Engineering. 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)

Study of charge transport in blends of natural rubber and poly(o-methoxyaniline) based on a resistor network statistical model

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

In silico network topology-based prediction of gene essentiality

The identification of genes essential for survival is important for the understanding of the minimal requirements for cellular life and for drug design. As experimental studies with the purpose of building a catalog of essential genes for a given organism are time-consuming and laborious, a computational approach which could predict gene essentiality with high accuracy would be of great value. We present here a novel computational approach, called NTPGE (Network Topology-based Prediction of Gene Essentiality), that relies on the network topology features of a gene to estimate its essentiality. The first step of NTPGE is to construct the integrated molecular network for a given organism comprising protein physical, metabolic and transcriptional regulation interactions. The second step consists in training a decision-tree-based machine-learning algorithm on known essential and non-essential genes of the organism of interest, considering as learning attributes the network topology information for each of these genes. Finally, the decision-tree classifier generated is applied to the set of genes of this organism to estimate essentiality for each gene. We applied the NTPGE approach for discovering the essential genes in Escherichia coli and then assessed its performance. (C) 2007 Elsevier B.V. All rights reserved.

Weather-based prediction of anthracnose severity using artificial neural network models

Data were collected and analysed from seven field sites in Australia, Brazil and Colombia on weather conditions and the severity of anthracnose disease of the tropical pasture legume Stylosanthes scabra caused by Colletotrichum gloeosporioides. Disease severity and weather data were analysed using artificial neural network (ANN) models developed using data from some or all field sites in Australia and/or South America to predict severity at other sites. Three series of models were developed using different weather summaries. of these, ANN models with weather for the day of disease assessment and the previous 24 h period had the highest prediction success, and models trained on data from all sites within one continent correctly predicted disease severity in the other continent on more than 75% of days; the overall prediction error was 21.9% for the Australian and 22.1% for the South American model. of the six cross-continent ANN models trained on pooled data for five sites from two continents to predict severity for the remaining sixth site, the model developed without data from Planaltina in Brazil was the most accurate, with >85% prediction success, and the model without Carimagua in Colombia was the least accurate, with only 54% success. In common with multiple regression models, moisture-related variables such as rain, leaf surface wetness and variables that influence moisture availability such as radiation and wind on the day of disease severity assessment or the day before assessment were the most important weather variables in all ANN models. A set of weights from the ANN models was used to calculate the overall risk of anthracnose for the various sites. Sites with high and low anthracnose risk are present in both continents, and weather conditions at centres of diversity in Brazil and Colombia do not appear to be more conducive than conditions in Australia to serious anthracnose development.

A 2D coordination polymer with brick-wall network topology based on the [Cu(NCS)(2)(pn)] monomer

The new complex [Cu(NCS)(2)(pn)] (1) (pn = 1,3-propanediamine) has been synthesized and characterized by elemental analysis, infrared and electronic spectroscopy. Single crystal X-ray diffraction studies revealed that complex 1 is made up of neutral [Cu(NCS)(2)(pn)] units which are connected by mu-1,3,3-thiocyanato groups to yield a 2D metal-organic framework with a brick-wall network topology. Intermolecular hydrogen bonds of the type NH...SCN and NH...NCS are also responsible for the stabilization of the crystal structure. (c) 2007 Elsevier B.V. All rights reserved.

Oriented texture classification based on self-organizing neural network and Hough transform

This paper presents a technique for oriented texture classification which is based on the Hough transform and Kohonen's neural network model. In this technique, oriented texture features are extracted from the Hough space by means of two distinct strategies. While the first operates on a non-uniformly sampled Hough space, the second concentrates on the peaks produced in the Hough space. The described technique gives good results for the classification of oriented textures, a common phenomenon in nature underlying an important class of images. Experimental results are presented to demonstrate the performance of the new technique in comparison, with an implemented technique based on Gabor filters.

Unveiling fieldbus network technology through project-based learning

Fieldbus communications networks are a fundamental part of modern industrial automation technique. This paperwork presents an application of project-based learning (PBL) paradigm to help electrical engineering students grasp the major concepts of fieldbus networks, while attending a one-term long, elective microcontroller course. © 2012 IEEE.

Identification of steel bars immersed in reinforced concrete based on experimental results of eddy current testing and artificial neural network analysis

This paper presents an experimental research on the use of eddy current testing (ECT) and artificial neural networks (ANNs) in order to identify the gauge and position of steel bars immersed in concrete structures. The paper presents details of the ECT probe and concrete specimens constructed for the tests, and a study about the influence of the concrete on the values of measured voltages. After this, new measurements were done with a greater number of specimens, simulating a field condition and the results were used to generate training and validation vectors for multilayer perceptron ANNs. The results show a high percentage of correct identification with respect to both, the gauge of the bar and of the thickness of the concrete cover. © 2013 Copyright Taylor and Francis Group, LLC.

An emergy-based evaluation of a reverse logistics network for steel recycling

Efficient implementation of recycling networks requires appropriate logistical structures for managing the reverse flow of materials from users to producers. The steel sheet distributor studied had established a protocol for scrap recovery with the steel plant and its customers. The company invested in producing containers, hiring a specialized labor force and in purchasing trucks for container transportation to implement the logistics network for recycling. That network interconnected the company with two kinds of customers: the ones returning scrap and the ones who preferred to continue business-as-usual. The logistical network was analyzed using emergy synthesis, and the data obtained were used to evaluate and compare the system's environmental costs and benefits from the perspective of the distributor and the steel plant operator. The use of emergy ternary diagrams provided a way to assess recycle strategies to compare the relative economic and environmental benefits of the logistical network implemented. The minimum quantity of scrap that the distributor must recover to improve environmental benefits was determined allowing decision on whether it is worth keeping the system running. The new assessment method proposed also may help policy-makers to create strategies to reward or incentive users of reverse logistics, and help to establish regulations, by decreasing taxes or stimulating innovation, for effectively implement the National Policy on Solid Waste. (C) 2013 Elsevier Ltd. All rights reserved.

Prediction of Oncogenic Interactions and Cancer-Related Signaling Networks Based on Network Topology

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

An improved interolog mapping-based computational prediction of protein protein interactions with increased network coverage

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Dynamic Routing in Translucent WDM Optical Networks: The Intradomain Case

Translucent wavelength-division multiplexing optical networks use sparse placement of regenerators to overcome physical impairments and wavelength contention introduced by fully transparent networks, and achieve a performance close to fully opaque networks at a much less cost. In previous studies, we addressed the placement of regenerators based on static schemes, allowing for only a limited number of regenerators at fixed locations. This paper furthers those studies by proposing a dynamic resource allocation and dynamic routing scheme to operate translucent networks. This scheme is realized through dynamically sharing regeneration resources, including transmitters, receivers, and electronic interfaces, between regeneration and access functions under a multidomain hierarchical translucent network model. An intradomain routing algorithm, which takes into consideration optical-layer constraints as well as dynamic allocation of regeneration resources, is developed to address the problem of translucent dynamic routing in a single routing domain. Network performance in terms of blocking probability, resource utilization, and running times under different resource allocation and routing schemes is measured through simulation experiments.