Fragmentos de complexidade aplicados ao mercado financeiro

O aumento da complexidade do mercado financeiro tem sido relatado por Rajan (2005), Gorton (2008) e Haldane e May (2011) como um dos principais fatores responsáveis pelo incremento do risco sistêmico que culminou na crise financeira de 2007/08. O Bank for International Settlements (2013) aborda a questão da complexidade no contexto da regulação bancária e discute a comparabilidade da adequação de capital entre os bancos e entre jurisdições. No entanto, as definições dos conceitos de complexidade e de sistemas adaptativos complexos são suprimidas das principais discussões. Este artigo esclarece alguns conceitos relacionados às teorias da Complexidade, como se dá a emergência deste fenômeno, como os conceitos podem ser aplicados ao mercado financeiro. São discutidas duas ferramentas que podem ser utilizadas no contexto de sistemas adaptativos complexos: Agent Based Models (ABMs) e entropia e comparadas com ferramentas tradicionais. Concluímos que ainda que a linha de pesquisa da complexidade deixe lacunas, certamente esta contribui com a agenda de pesquisa econômica para se compreender os mecanismos que desencadeiam riscos sistêmicos, bem como adiciona ferramentas que possibilitam modelar agentes heterogêneos que interagem, de forma a permitir o surgimento de fenômenos emergentes no sistema. Hipóteses de pesquisa são sugeridas para aprofundamento posterior.

Otimização e análise mecânica de pastas geopoliméricas para uso em poços sujeitos à injeção cíclica de vapor

Oil wells subjected to cyclic steam injection present important challenges for the development of well cementing systems, mainly due to tensile stresses caused by thermal gradients during its useful life. Cement sheath failures in wells using conventional high compressive strength systems lead to the use of cement systems that are more flexible and/or ductile, with emphasis on Portland cement systems with latex addition. Recent research efforts have presented geopolymeric systems as alternatives. These cementing systems are based on alkaline activation of amorphous aluminosilicates such as metakaolin or fly ash and display advantageous properties such as high compressive strength, fast setting and thermal stability. Basic geopolymeric formulations can be found in the literature, which meet basic oil industry specifications such as rheology, compressive strength and thickening time. In this work, new geopolymeric formulations were developed, based on metakaolin, potassium silicate, potassium hydroxide, silica fume and mineral fiber, using the state of the art in chemical composition, mixture modeling and additivation to optimize the most relevant properties for oil well cementing. Starting from molar ratios considered ideal in the literature (SiO2/Al2O3 = 3.8 e K2O/Al2O3 = 1.0), a study of dry mixtures was performed,based on the compressive packing model, resulting in an optimal volume of 6% for the added solid material. This material (silica fume and mineral fiber) works both as an additional silica source (in the case of silica fume) and as mechanical reinforcement, especially in the case of mineral fiber, which incremented the tensile strength. The first triaxial mechanical study of this class of materials was performed. For comparison, a mechanical study of conventional latex-based cementing systems was also carried out. Regardless of differences in the failure mode (brittle for geopolymers, ductile for latex-based systems), the superior uniaxial compressive strength (37 MPa for the geopolymeric slurry P5 versus 18 MPa for the conventional slurry P2), similar triaxial behavior (friction angle 21° for P5 and P2) and lower stifness (in the elastic region 5.1 GPa for P5 versus 6.8 GPa for P2) of the geopolymeric systems allowed them to withstand a similar amount of mechanical energy (155 kJ/m3 for P5 versus 208 kJ/m3 for P2), noting that geopolymers work in the elastic regime, without the microcracking present in the case of latex-based systems. Therefore, the geopolymers studied on this work must be designed for application in the elastic region to avoid brittle failure. Finally, the tensile strength of geopolymers is originally poor (1.3 MPa for the geopolymeric slurry P3) due to its brittle structure. However, after additivation with mineral fiber, the tensile strength became equivalent to that of latex-based systems (2.3 MPa for P5 and 2.1 MPa for P2). The technical viability of conventional and proposed formulations was evaluated for the whole well life, including stresses due to cyclic steam injection. This analysis was performed using finite element-based simulation software. It was verified that conventional slurries are viable up to 204ºF (400ºC) and geopolymeric slurries are viable above 500ºF (260ºC)

Redes sociais e a lógica do desvio comportamental em relação às normas de trabalho

This paper aim to check a hypothesis that assumes several behaviors related to social work norm´s obeying as a phenomenon that can be explained by actor´s social network structure and the rational choice processes related to the social norm inside that network, principally the payoff´s analysis received by the closest actors, or neighbors, at a social situation. Taking the sociological paradigm of rational action theory as a basis, the focus is on a debate about the logic of social norms, from Émile Durkheim´s method to Jon Elster´s theory, but also including social network analysis´s variables according to Robert Hanneman; and also Vilfredo Pareto´s constants related to human sociability, at the aim to detect elements that can help the scholars to develop an agent based model which could explain the sociological problem of deviance by a better way than the common sense´s view about morality and ethics at a social work environment

Um framework de agentes de recomendação para sistemas Web

The World Wide Web has been consolidated over the last years as a standard platform to provide software systems in the Internet. Nowadays, a great variety of user applications are available on the Web, varying from corporate applications to the banking domain, or from electronic commerce to the governmental domain. Given the quantity of information available and the quantity of users dealing with their services, many Web systems have sought to present recommendations of use as part of their functionalities, in order to let the users to have a better usage of the services available, based on their profile, history navigation and system use. In this context, this dissertation proposes the development of an agent-based framework that offers recommendations for users of Web systems. It involves the conception, design and implementation of an object-oriented framework. The framework agents can be plugged or unplugged in a non-invasive way in existing Web applications using aspect-oriented techniques. The framework is evaluated through its instantiation to three different Web systems

A Markovian model market-Akerlof's lemons and the asymmetry of information

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Rural-urban migration in D-dimensional lattices

The rural-urban migration phenomenon is analyzed by using an agent-based computational model. Agents are placed on lattices which dimensions varying from d = 2 up to d = 7. The localization of the agents in the lattice defines that their social neighborhood (rural or urban) is not related to their spatial distribution. The effect of the dimension of lattice is studied by analyzing the variation of the main parameters that characterizes the migratory process. The dynamics displays strong effects even for around one million of sites, in higher dimensions (d = 6, 7).

Spatial electric load forecasting using a local movement approach

An agent based model for spatial electric load forecasting using a local movement approach for the spatiotemporal allocation of the new loads in the service zone is presented. The density of electrical load for each of the major consumer classes in each sub-zone is used as the current state of the agents. The spatial growth is simulated with a walking agent who starts his path in one of the activity centers of the city and goes to the limits of the city following a radial path depending on the different load levels. A series of update rules are established to simulate the S growth behavior and the complementarity between classes. The results are presented in future load density maps. The tests in a real system from a mid-size city show a high rate of success when compared with other techniques. The most important features of this methodology are the need for few data and the simplicity of the algorithm, allowing for future scalability. © 2009 IEEE.

Inovações tecnológicas e a complexidade do sistema econômico

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Finanças comportamentais e modelos baseados em agentes

Pós-graduação em Economia - FCLAR

Desenvolvimento e caracterização acústica de painéis multicamadas unifibra, multifibras e mesclados, fabricados a partir de fibras vegetais

Em um tempo em que altos níveis de ruído fazem parte do cotidiano das pessoas, a necessidade de controlá-los não é somente evidente, mas providencial. Atualmente a poluição sonora, em nível mundial, só não é mais grave do que a poluição do ar e da água. No Brasil a situação não é diferente, pois se estima que mais de 15 milhões de pessoas apresentem algum grau de deficiência auditiva devido a este problema ambiental. Dispositivos acústicos como painéis, barreiras, etc., quando de alta eficiência, geralmente, são de custosa aquisição, tornando, em muitas das vezes, inviável sua utilização, principalmente, por empresas de pequeno porte e orçamento limitado. Assim, soluções alternativas, a começar por novos materiais, que sejam menos custosos e possuam desempenho satisfatório surgem como uma ótima opção caso propostas tradicionais sejam inviabilizadas devido ao custo. Algumas fibras vegetais, na forma de painéis, possuem características acústicas satisfatórias quando utilizadas para reduzir a reverberação em determinados ambientes fechados. Dessa forma, considerando as tendências ambientais globais, o uso de fibras vegetais é uma boa oportunidade para agregar valor às referidas fibras e assim contribuir com o desenvolvimento tecnológico do país, já que estes materiais são de fácil obtenção, existem em abundância, não são tóxicos e provêm de fontes renováveis. Este trabalho apresenta a metodologia de desenvolvimento de painéis fabricados a partir de fibras vegetais (açaí, coco, sisal e dendê), assim como a metodologia utilizada para sua caracterização acústica em câmara reverberante em escala reduzida, baseando-se na norma ISO 354/1999. Os dados de coeficiente de absorção dos painéis são obtidos através de um analisador de frequências utilizando-se o Método da Interrupção do Ruído. A comparação entre os resultados obtidos para os painéis artesanais e os materiais convencionais ensaiados permite concluir que o desempenho acústico demonstrado por alguns painéis de fibras vegetais são muito satisfatórios, uma vez que seus coeficientes de absorção sonora foram compatíveis, e em alguns casos superiores, àqueles apresentados pelos materiais convencionais em determinada faixa de freqüência. Finalmente, uma comparação numérico-experimental é realizada, a fim de avaliar a influência de painéis de fibras de sisal sobre as características acústicas de uma pequena sala.

Inovações tecnológicas e a complexidade do sistema econômico

O objetivo deste trabalho é analisar como o processo de inovações tecnológicas é tratado pela Teoria dos Sistemas Complexos. A abordagem neoclássica tradicional, ao partir de pressupostos bastante restritivos sobre os agentes e os mercados, não é capaz de fornecer explicações plausíveis aos vários problemas econômicos da vida real. Ao desconsiderar a dinâmica dos fenômenos econômicos, essa abordagem foi incapaz de incorporar os aspectos do processo de inovação e mudança tecnológica. A abordagem evolucionária, nesse sentido, ao considerar a racionalidade limitada, incerteza e heterogeneidade presente em ambientes que exibem inovação, foi capaz de fornecer um tratamento mais próximo da realidade. A inovação é, então, entendida como uma mudança descontínua que altera as condições estruturais gerando desenvolvimento, progresso e evolução no sistema. Já abordagem dos sistemas complexos, ao apresentar um arcabouço não reducionista e que se fundamenta sobre uma perspectiva evolucionária e sistêmica, concebe a economia como um sistema composto por agentes heterogêneos que interagem entre si. Apesar do ambiente de incerteza nas decisões tomadas, os agentes procuram se adaptar às informações recebidas do meio e se auto-organizarem gerando com isso novos padrões de auto-ordenamento e estruturas emergentes. A modelagem, nesse sentido, tem por principal objetivo descobrir as propriedades emergentes resultantes da interação entre os agentes no sistema. Por fim chega-se a conclusão de que as inovações tecnológicas apresentaram resultados mais satisfatórios e mais condizentes quando analisadas dentro dessa perspectiva agent-based.

Previsão espacial da densidade de carga nos sistemas de distribuição de energia elétrica considerando a geometria fractal da zona urbana

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Mobile TuCSoN: theoretical and technological requirements for TuCSoN's porting over Android mobile devices

Communication and coordination are two key-aspects in open distributed agent system, being both responsible for the system’s behaviour integrity. An infrastructure capable to handling these issues, like TuCSoN, should to be able to exploit modern technologies and tools provided by fast software engineering contexts. Thesis aims to demonstrate TuCSoN infrastructure’s abilities to cope new possibilities, hardware and software, offered by mobile technology. The scenarios are going to configure, are related to the distributed nature of multi-agent systems where an agent should be located and runned just on a mobile device. We deal new mobile technology frontiers concerned with smartphones using Android operating system by Google. Analysis and deployment of a distributed agent-based system so described go first to impact with quality and quantity considerations about available resources. Engineering issue at the base of our research is to use TuCSoN against to reduced memory and computing capability of a smartphone, without the loss of functionality, efficiency and integrity for the infrastructure. Thesis work is organized on two fronts simultaneously: the former is the rationalization process of the available hardware and software resources, the latter, totally orthogonal, is the adaptation and optimization process about TuCSoN architecture for an ad-hoc client side release.

BDI agents for Real Time Strategy games

While the use of distributed intelligence has been incrementally spreading in the design of a great number of intelligent systems, the field of Artificial Intelligence in Real Time Strategy games has remained mostly a centralized environment. Despite turn-based games have attained AIs of world-class level, the fast paced nature of RTS games has proven to be a significant obstacle to the quality of its AIs. Chapter 1 introduces RTS games describing their characteristics, mechanics and elements. Chapter 2 introduces Multi-Agent Systems and the use of the Beliefs-Desires-Intentions abstraction, analysing the possibilities given by self-computing properties. In Chapter 3 the current state of AI development in RTS games is analyzed highlighting the struggles of the gaming industry to produce valuable. The focus on improving multiplayer experience has impacted gravely on the quality of the AIs thus leaving them with serious flaws that impair their ability to challenge and entertain players. Chapter 4 explores different aspects of AI development for RTS, evaluating the potential strengths and weaknesses of an agent-based approach and analysing which aspects can benefit the most against centralized AIs. Chapter 5 describes a generic agent-based framework for RTS games where every game entity becomes an agent, each of which having its own knowledge and set of goals. Different aspects of the game, like economy, exploration and warfare are also analysed, and some agent-based solutions are outlined. The possible exploitation of self-computing properties to efficiently organize the agents activity is then inspected. Chapter 6 presents the design and implementation of an AI for an existing Open Source game in beta development stage: 0 a.d., an historical RTS game on ancient warfare which features a modern graphical engine and evolved mechanics. The entities in the conceptual framework are implemented in a new agent-based platform seamlessly nested inside the existing game engine, called ABot, widely described in Chapters 7, 8 and 9. Chapter 10 and 11 include the design and realization of a new agent based language useful for defining behavioural modules for the agents in ABot, paving the way for a wider spectrum of contributors. Chapter 12 concludes the work analysing the outcome of tests meant to evaluate strategies, realism and pure performance, finally drawing conclusions and future works in Chapter 13.

Enabling a direct path from end-user specifications to executable protocols in a biology laboratory environment

Biomedical analyses are becoming increasingly complex, with respect to both the type of the data to be produced and the procedures to be executed. This trend is expected to continue in the future. The development of information and protocol management systems that can sustain this challenge is therefore becoming an essential enabling factor for all actors in the field. The use of custom-built solutions that require the biology domain expert to acquire or procure software engineering expertise in the development of the laboratory infrastructure is not fully satisfactory because it incurs undesirable mutual knowledge dependencies between the two camps. We propose instead an infrastructure concept that enables the domain experts to express laboratory protocols using proper domain knowledge, free from the incidence and mediation of the software implementation artefacts. In the system that we propose this is made possible by basing the modelling language on an authoritative domain specific ontology and then using modern model-driven architecture technology to transform the user models in software artefacts ready for execution in a multi-agent based execution platform specialized for biomedical laboratories.