O uso da volatilidade realizada na simulação histórica ajustada para cálculo do VaR

O presente trabalho propõe para o cálculo VaR o modelo de simulação histórica, com os retornos atualizados pela volatilidade realizada calculada a partir de dados intradiários. A base de dados consiste de cinco ações entre as mais líquidas do Ibovespa de distintos segmentos. Para a metodologia proposta utilizamos duas teorias da literatura empírica – simulação histórica ajustada e volatilidade realizada. Para análise e verificação do desempenho da metodologia proposta utilizamos o Teste de Kupiec e o Teste de Christoffersen.

A Modular and digitally programmable interface based on band-pass sigma-delta modulator for mixed-signal systems-on-chip

The focus of this thesis is to discuss the development and modeling of an interface architecture to be employed for interfacing analog signals in mixed-signal SOC. We claim that the approach that is going to be presented is able to achieve wide frequency range, and covers a large range of applications with constant performance, allied to digital configuration compatibility. Our primary assumptions are to use a fixed analog block and to promote application configurability in the digital domain, which leads to a mixed-signal interface. The use of a fixed analog block avoids the performance loss common to configurable analog blocks. The usage of configurability on the digital domain makes possible the use of all existing tools for high level design, simulation and synthesis to implement the target application, with very good performance prediction. The proposed approach utilizes the concept of frequency translation (mixing) of the input signal followed by its conversion to the ΣΔ domain, which makes possible the use of a fairly constant analog block, and also, a uniform treatment of input signal from DC to high frequencies. The programmability is performed in the ΣΔ digital domain where performance can be closely achieved according to application specification. The interface performance theoretical and simulation model are developed for design space exploration and for physical design support. Two prototypes are built and characterized to validate the proposed model and to implement some application examples. The usage of this interface as a multi-band parametric ADC and as a two channels analog multiplier and adder are shown. The multi-channel analog interface architecture is also presented. The characterization measurements support the main advantages of the approach proposed.

Predicting Amazon Deforestation through the deterninants of demand for agricultural land

This paper develops a model of deforestation pressure in the Amazon. It is based on the determinants of demand for agricultural land, i.e. the interactions between population dynamics, urbanization and the growth of local markets, land prices, and government spending and policies. The mo deI is estimated using data from the period 1970 - 1985, and predictions for the period 1985 - 2010 are made under explicit assumptions about the underlying factors of deforestation. The predictions indicate that economic growth in the Amazon is likely to continue at high rates even if the federal government abandons its aggressive development policy. Deforestation will be much smaller if they do, though, since the active development policies tend to promote wasteful use of land.

Análise econômica da reforma fiscal do PIS e da COFINS: integrando um modelo de micro-simulação com um modelo de equilíbrio geral computável

Neste texto é apresentado o relatório final do projeto 561/06, “Análise Econômica da Reforma Fiscal do PIS-COFINS: Integrando um modelo de micro-simulação com um Modelo de Equilíbrio Geral Computável”. Essencialmente trata-se de uma extensão metodológica do projeto 461/04, visando um aprimoramento da quantificação dos impactos sobre indicadores de bem estar, particularmente pobreza e desigualdade. Além do modelo de Equilíbrio Geral, busca-se uma integração com um modelo de micro-simulação, baseado nas pesquisas domiciliares com o intuito de aprofundar e identificar o impacto que a reforma fiscal teve sobre indivíduos e famílias brasileiras, fazendo com estes sejam identificados com uma precisão muito maior, na medida em que a pesquisa anterior permitia apenas a identificação de um agrupamento representativo da população brasileira, enquanto esta permite a integração no modelo das amostras individuais presentes na PNAD. Os resultados apresentados são sensíveis a nova metodologia utilizada.

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.

Estudo do processo de combustão in-situ em reservatórios maduros de óleos médios e leves (high pressure air injection)

Nearly 3 x 1011 m3 of medium and light oils will remain in reservoirs worldwide after conventional recovery methods have been exhausted and much of this volume would be recovered by Enhanced Oil Recovery (EOR) methods. The in-situ combustion (ISC) is an EOR method in which an oxygen-containing gas is injected into a reservoir where it reacts with the crude oil to create a high-temperature combustion front that is propagated through the reservoir. The High Pressure Air Injection (HPAI) method is a particular denomination of the air injection process applied in light oil reservoirs, for which the combustion reactions are dominant between 150 and 300°C and the generation of flue gas is the main factor to the oil displacement. A simulation model of a homogeneous reservoir was built to study, which was initially undergone to primary production, for 3 years, next by a waterflooding process for 21 more years. At this point, with the mature condition established into the reservoir, three variations of this model were selected, according to the recovery factors (RF) reached, for study the in-situ combustion (HPAI) technique. Next to this, a sensitivity analysis on the RF of characteristic operational parameters of the method was carried out: air injection rate per well, oxygen concentration into the injected gas, patterns of air injection and wells perforations configuration. This analysis, for 10 more years of production time, was performed with assistance of the central composite design. The reservoir behavior and the impacts of chemical reactions parameters and of reservoir particularities on the RF were also evaluated. An economic analysis and a study to maximize the RF of the process were also carried out. The simulation runs were performed in the simulator of thermal processes in reservoirs STARS (Steam, Thermal, and Advanced Processes Reservoir Simulator) from CMG (Computer Modelling Group). The results showed the incremental RF were small and the net present value (NPV) is affected by high initial investments to compress the air. It was noticed that the adoption of high oxygen concentration into the injected gas and of the five spot pattern tends to improve the RF, and the wells perforations configuration has more influence with the increase of the oil thickness. Simulated cases relating to the reservoir particularities showed that smaller residual oil saturations to gas lead to greater RF and the presence of heterogeneities results in important variations on the RF and on the production curves

Análise de viabilidade de injeção de fluidos alternativos ao vapor em reservatórios de óleo pesado

Many of hydrocarbon reserves existing in the world are formed by heavy oils (°API between 10 and 20). Moreover, several heavy oil fields are mature and, thus, offer great challenges for oil industry. Among the thermal methods used to recover these resources, steamflooding has been the main economically viable alternative. Latent heat carried by steam heats the reservoir, reducing oil viscosity and facilitating the production. This method has many variations and has been studied both theoretically and experimentally (in pilot projects and in full field applications). In order to increase oil recovery and reduce steam injection costs, the injection of alternative fluid has been used on three main ways: alternately, co-injected with steam and after steam injection interruption. The main objective of these injection systems is to reduce the amount of heat supplied to the reservoir, using cheaper fluids and maintaining the same oil production levels. This works discusses the use of carbon dioxide, nitrogen, methane and water as an alternative fluid to the steam. The analyzed parameters were oil recoveries and net cumulative oil productions. The reservoir simulation model corresponds to an oil reservoir of 100 m x 100 m x 28 m size, on a Cartesian coordinates system (x, y and z directions). It is a semi synthetic model with some reservoir data similar to those found in Brazilian Potiguar Basin. All studied cases were done using the simulator STARS from CMG (Computer Modelling Group, version 2009.10). It was found that waterflood after steam injection interruption achieved the highest net cumulative oil compared to other fluids injection. Moreover, it was observed that steam and alternative fluids, co-injected and alternately, did not present increase on profitability project compared with steamflooding

Modelo em dinâmica de sistemas para gestão de aeroportos brasileiros

The importance of the airport sector in the development of a country refers to the need for studies on management of airports, to aid the process of decision making. In Brazil, growth in passenger demand is why investments in order to balance the capacity of an airport with air demand. Thus, the study aims to develop a model for Dynamic Systems able to assist airport management in Brazilian sizing subsystems an airport (Passenger Terminal, Runway and Patio). The methodology of this work consists in the steps of defining the problem, formulating the hypothesis dynamic building simulation model, and validation experiments. Finally, we examined the status of each subsystem in thirteen Brazilian airports in scenarios current, most likely and optimistic for air passenger demand

PCJ River Basins' Water Availability Caused by Water Diversion Scenarios to Supply Metropolitan Areas of So Paulo

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A gestão da qualidade nos cursos de graduação a distância da UFRN/SEDIS : a percepção dos discentes

The management of water resources in the river basin level, as it defines the Law nº 9433/97, requires the effective knowledge of the processes of hydrological basin, resulting from studies based on consistent series of hydrological data that reflect the characteristics of the basin. In this context, the objective of this work was to develop the modeling of catchment basin of the river Jundiaí - RN and carry out the study of attenuation of a flood of the dam Tabatinga, by means of a monitoring project of hydrological data and climatology of the basin, with a view to promoting the development of research activities by applying methodologies unified and appropriate for the assessment of hydrological studies in the transition region of the semiarid and the forest zone on the coast of Rio Grande do Norte. For the study of the hydrological characteristics of the basin was conducted the automatic design of the basin of the river Jundiaí, with the aid of programs of geoprocessing, was adopted a hydrological model daily, the NRCS, which is a model determined and concentrated. For the use of this model was necessary to determine some parameters that are used in this model, as the Curve Number. Having in mind that this is the first study that is being conducted in the basin with the employment of this model, it was made sensitivity analysis of the results of this model from the adoption of different values of CN, situated within a range appropriate to the conditions of use, occupation and the nature of the soil of this basin. As the objective of this study was also developing a simulation model of the operation of the Tabatinga dam and with this flood control caused in the city of Macaíba, it was developed a mathematical model of fluid balance, developed to be used in Microsoft Excel. The simulation was conducted in two phases: the first step was promoted the water balance daily that allowed the analysis of the sensitivity of the model in relation to the volume of waiting, as well as the determination of the period of greatest discharges daily averages. From this point, it was assumed for the second stage, which was in the determination of the hydrograph of discharges effluent slots, that was determined by means of the fluid balance time, on the basis of the discharges effluents generated by a mathematical equation whose parameters were adjusted according to the hydrograph daily. Through the analyzes it was realized that the dam Tabatinga only has how to carry out the attenuation of floods through the regularization of the volume of waiting, with this there is a loss of approximately 56.5% on storage capacity of this dam, because for causing the attenuation effect of filled the shell of this dam has to remain more than 5m below the level of the sill, representing at least 50.582.927m3. The results obtained with the modeling represents a first step in the direction of improving the level of hydrological information about the behavior of the basins of the semiarid. In order to monitor quantitatively the hydrographic basin of the river Jundiaí will be necessary to install a rain gauge register, next to the Tabatinga dam and a pressure transducer, for regular measurements of flow in the reservoir of the dam. The climatological data will be collected in full automatic weather station installed in Agricultural School Jundiaí

Otimização do Uso das Águas da Barragem Santa Cruz-RN

The semiarid potiguar presents a quite discrepant. It is a region with one of the highest rates of artificial lake the world, but the policy of building dams to mitigate the problem of water scarcity does not solve, given that they have not demonstrated the ability to ensure supply human priority during periods of great drought and fail to solve the widespread demand existent in the semiarid. This work aims to present the optimal allocation of water, according to multiple uses and limited availability of water resources in the reservoir, from the simulation of the operation of the same, with the application of techniques to support decision making and performance evaluation alternatives for water use. The reservoir of Santa Cruz, the second largest reservoir of RN with storage capacity of approximately 600 million cubic meters, located about 20 km from the town of Apodi in RN, was conceived as a way to promote economic development in the region as well as the water supply of nearby towns. The techniques used are the simulation model of network flow ACQUANET and also the set of performance indicators. The results showed that the container has the capacity to serve up to 3,83m3/s flow required by existing uses, without any compromising the same. However, it was also observed that all anticipated future demands are implemented it will generate failures in meeting some uses

Evolução da paisagem do baixo curso do rio de Piranhas-Assu (1988-2024): uso de autômatos celulares em modelo dinâmico espacial para simulação de cenários futuros

The lower course of Piranhas-Assu river, located in the north coast of Rio Grande do Norte, Brazil, arouses a keen interest as a study field, once it concentrates, besides petroleum and gas exploration, activities related to shrimp culture, salt and horticulture, factors that also deserve special attention. Thus, the awareness of the study field environmental stage demands studies from researchers and discernment from society, as a way of understanding the inter-relation between environment and men. Therefore, this work attempts at understanding and studying the dynamics of land use in the lower course of Piranhas-Assu river, through a multitemporal analysis of present and past, accomplishing future projections through simulation models. The work is divided in stages that include the research, analysis, interpretation of results, and the generation of simulation models, to analyze the landscape tendencies, making possible to identify indicators which cause such changes in the lower course of the river. From Geographical Database, the necessary exploratory analyses were accomplished to the following items: land use evolution, natural and environmental vulnerability, multiple geodiversity indexes, and preparation of the data to be used in the simulation model. Later, the construction of the landscape simulation model was conducted. Sequentially, simulations of future sceneries were accomplished through the execution of the model in a specific software environment. Last, the analyses of landscape tendencies in the study field were carried out. The lower course of Piranhas-Assu River didn't show any intense dynamics in landscape changing, once in the period taken into account (from 1988 to 2004) class stability proved to be superior to its transformations. Activities related to agriculture and livestock are the ones that influence, mostly, the landscape dynamics. The production of sea shrimp and petroleum also infers in the landscape, although in smaller proportion. INCRA s public policies excessively determined the dynamics of the landscape in the lower course of Piranhas-Assu River, RN. In respect to its natural vulnerability, the lower course of Piranhas-Assu River, RN, features more vulnerable than stable areas. The landscape simulation, in the first taken period (2004-2009), indicated considerable increases and decreases of antropic activities, if compared to its sequent periods (2009-2014, 2014-2019 and 2019-2024). The simulation, in a wider analysis, showed that the determining factors for the space mobility of antropic activities, in the focused area, are related to the pre-existence of communities with agricultural capability and to the existence of access routes and drainage. Considering the area that features fixed and mobile dunes, located in Porto do Mangue district, we recommend its conversion into a conservation area

Simulação da dinâmica operacional de uma linha industrial de abate de suínos

Este trabalho teve como objetivo implementar um modelo computacional para simular a dinâmica operacional de uma linha industrial de abate de suínos. O sistema real modelado pertence à empresa Frigorífico Frimesa, sediada no município de Medianeira (PR). O modelo implementado é tipo dinâmico, discreto e estocástico. Este simula 34 operações unitárias e foi estruturado com o uso da linguagem de simulação EXTEND TM. Para validação do modelo foram coletados dados relativos a cinco dias de operação, em que foram abatidos 1.346, 1.630, 1.360, 1.585 e 1.550 suínos, respectivamente. Como parâmetros de comparação entre os dados obtidos a partir do sistema e gerados pelo modelo foram selecionadas as seguintes variáveis: (i) tempo de duração da operação; (ii) tempo de deslocamento da insensibilização até a depiladeira; (iii) tempo deslocamento da insensibilização até a câmara fria; (iv) número de carcaças re-inspecionadas; e (v) número final de carcaças. Na validação do modelo, foi constatado que, para a variável tempo de duração da operação por meio do teste Tukey a 1% de significância, não foram detectadas diferenças estatísticas entre os valores obtidos do sistema real e os gerados pelo modelo. Considerando-se esta e outras análises, foi concluído que o modelo aplica-se à finalidade para a qual foi implementado. Sendo assim, foram realizadas duas análises de sensibilidade. Na primeira, ao alterar o número de suínos a abater de 1 mil para 2 mil, foi determinado que os tempos de duração da operação variariam de 6,20 a 10,10 h, respectivamente. Para a segunda, ao abater 1.340 suínos e alterar a velocidade das nórias de 300 para 600 animais por hora, o tempo de duração da operação passou de 8,10 para 7,40 h, respectivamente.

Methodology analysis of a computational tool used in electronic circuit design

This paper considers the importance of using a top-down methodology and suitable CAD tools in the development of electronic circuits. The paper presents an evaluation of the methodology used in a computational tool created to support the synthesis of digital to analog converter models by translating between different tools used in a wide variety of applications. This tool is named MS 2SV and works directly with the following two commercial tools: MATLAB/Simulink and SystemVision. Model translation of an electronic circuit is achieved by translating a mixed-signal block diagram developed in Simulink into a lower level of abstraction in VHDL-AMS and the simulation project support structure in SystemVision. The method validation was performed by analyzing the power spectral of the signal obtained by the discrete Fourier transform of a digital to analog converter simulation model. © 2011 IEEE.

Simulação da oferta e demanda de recursos hídricos nas bacias dos rios piracicaba, capivarí e jundiaí: Uma análise em dinâmica de sistemas

A dynamic systems water resources simulation model was developed as a tool to help to analyze water resources management alternatives for the Piracicaba, Capivari and Jundiaí River Water Basins (BH-PCJ). Different politics policy were simulated for 40-year. The model estimates water supply and demand, as well as contamination load from several consumers. Six runs were performed using average precipitation value, changing water supply and demand, and different volumes diverted from BH-PCJ to BH-Alto Tietê For the Business as Usual, the Sustainability Index went from 0.41 in 2010 to 0.22 by 2050; the Water Use Index changed from 80.7% in 2010, to 125.5% by 2050; and the Falkenmark Index changed from 1,302 m 3 person -1 year -1 in 2010 to 774 m 3 P -1 year -1 by 2050. It was noticed that sanitation is one of the biggest concerns in the near future at PCJ River Basin.