Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

New developmental stages for common marmosets (Callithrix jacchus) using mass and age variables obtained by K-means algorithm and self-organizing maps (SOM)

LEÃO, Adriano de Castro; DÓRIA NETO, Adrião Duarte; SOUSA, Maria Bernardete Cordeiro de. New developmental stages for common marmosets (Callithrix jacchus) using mass and age variables obtained by K-means algorithm and self-organizing maps (SOM). Computers in Biology and Medicine, v. 39, p. 853-859, 2009

Parallel Cyclostationarity-Exploiting Algorithm for Energy-Efficient Spectrum Sensing

The evolution of wireless communication systems leads to Dynamic Spectrum Allocation for Cognitive Radio, which requires reliable spectrum sensing techniques. Among the spectrum sensing methods proposed in the literature, those that exploit cyclostationary characteristics of radio signals are particularly suitable for communication environments with low signal-to-noise ratios, or with non-stationary noise. However, such methods have high computational complexity that directly raises the power consumption of devices which often have very stringent low-power requirements. We propose a strategy for cyclostationary spectrum sensing with reduced energy consumption. This strategy is based on the principle that p processors working at slower frequencies consume less power than a single processor for the same execution time. We devise a strict relation between the energy savings and common parallel system metrics. The results of simulations show that our strategy promises very significant savings in actual devices.

Um sistema para estimação da vazão de gás de poços produzindo por Plunger Lift para vaso separador de teste em plataformas de petróleo

This work intends to analyze the behavior of the gas flow of plunger lift wells producing to well testing separators in offshore production platforms to aim a technical procedure to estimate the gas flow during the slug production period. The motivation for this work appeared from the expectation of some wells equipped with plunger lift method by PETROBRAS in Ubarana sea field located at Rio Grande do Norte State coast where the produced fluids measurement is made in well testing separators at the platform. The oil artificial lift method called plunger lift is used when the available energy of the reservoir is not high enough to overcome all the necessary load losses to lift the oil from the bottom of the well to the surface continuously. This method consists, basically, in one free piston acting as a mechanical interface between the formation gas and the produced liquids, greatly increasing the well s lifting efficiency. A pneumatic control valve is mounted at the flow line to control the cycles. When this valve opens, the plunger starts to move from the bottom to the surface of the well lifting all the oil and gas that are above it until to reach the well test separator where the fluids are measured. The well test separator is used to measure all the volumes produced by the well during a certain period of time called production test. In most cases, the separators are designed to measure stabilized flow, in other words, reasonably constant flow by the use of level and pressure electronic controllers (PLC) and by assumption of a steady pressure inside the separator. With plunger lift wells the liquid and gas flow at the surface are cyclical and unstable what causes the appearance of slugs inside the separator, mainly in the gas phase, because introduce significant errors in the measurement system (e.g.: overrange error). The flow gas analysis proposed in this work is based on two mathematical models used together: i) a plunger lift well model proposed by Baruzzi [1] with later modifications made by Bolonhini [2] to built a plunger lift simulator; ii) a two-phase separator model (gas + liquid) based from a three-phase separator model (gas + oil + water) proposed by Nunes [3]. Based on the models above and with field data collected from the well test separator of PUB-02 platform (Ubarana sea field) it was possible to demonstrate that the output gas flow of the separator can be estimate, with a reasonable precision, from the control signal of the Pressure Control Valve (PCV). Several models of the System Identification Toolbox from MATLAB® were analyzed to evaluate which one better fit to the data collected from the field. For validation of the models, it was used the AIC criterion, as well as a variant of the cross validation criterion. The ARX model performance was the best one to fit to the data and, this way, we decided to evaluate a recursive algorithm (RARX) also with real time data. The results were quite promising that indicating the viability to estimate the output gas flow rate from a plunger lift well producing to a well test separator, with the built-in information of the control signal to the PCV

Image processing algorithm for the identification of Martian dust devil tracks in MOC and HiRISE images

This paper presents a method for automatic identification of dust devils tracks in MOC NA and HiRISE images of Mars. The method is based on Mathematical Morphology and is able to successfully process those images despite their difference in spatial resolution or size of the scene. A dataset of 200 images from the surface of Mars representative of the diversity of those track features was considered for developing, testing and evaluating our method, confronting the outputs with reference images made manually. Analysis showed a mean accuracy of about 92%. We also give some examples on how to use the results to get information about dust devils, namelly mean width, main direction of movement and coverage per scene. (c) 2012 Elsevier Ltd. All rights reserved.

Multi-population genetic algorithm to solve the synchronized and integrated two-level lot sizing and scheduling problem

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

Conexão entre as redes complexas e estatística de Kaniadakis e busca eficiente das propriedades críticas do processo epidêmico difusivo 1D

In this work we study a connection between a non-Gaussian statistics, the Kaniadakis statistics, and Complex Networks. We show that the degree distribution P(k)of a scale free-network, can be calculated using a maximization of information entropy in the context of non-gaussian statistics. As an example, a numerical analysis based on the preferential attachment growth model is discussed, as well as a numerical behavior of the Kaniadakis and Tsallis degree distribution is compared. We also analyze the diffusive epidemic process (DEP) on a regular lattice one-dimensional. The model is composed of A (healthy) and B (sick) species that independently diffusive on lattice with diffusion rates DA and DB for which the probabilistic dynamical rule A + B → 2B and B → A. This model belongs to the category of non-equilibrium systems with an absorbing state and a phase transition between active an inactive states. We investigate the critical behavior of the DEP using an auto-adaptive algorithm to find critical points: the method of automatic searching for critical points (MASCP). We compare our results with the literature and we find that the MASCP successfully finds the critical exponents 1/ѵ and 1/zѵ in all the cases DA =DB, DA DB. The simulations show that the DEP has the same critical exponents as are expected from field-theoretical arguments. Moreover, we find that, contrary to a renormalization group prediction, the system does not show a discontinuous phase transition in the regime o DA >DB.

A novel algorithm for feature selection using Harmony Search and its application for non-technical losses detection

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A new algorithm for Reverse Monte Carlo simulations

We present a new algorithm for Reverse Monte Carlo (RMC) simulations of liquids. During the simulations, we calculate energy, excess chemical potentials, bond-angle distributions and three-body correlations. This allows us to test the quality and physical meaning of RMC-generated results and its limitations. It also indicates the possibility to explore orientational correlations from simple scattering experiments. The new technique has been applied to bulk hard-sphere and Lennard-Jones systems and compared to standard Metropolis Monte Carlo results. (C) 1998 American Institute of Physics.

About the Use of the HdHr Algorithm Group in Integrating the Movement Equation with Nonlinear Terms

This work summarizes the HdHr group of Hermitian integration algorithms for dynamic structural analysis applications. It proposes a procedure for their use when nonlinear terms are present in the equilibrium equation. The simple pendulum problem is solved as a first example and the numerical results are discussed. Directions to be pursued in future research are also mentioned. Copyright (C) 2009 H.M. Bottura and A. C. Rigitano.

Hybrid evolutionary algorithm for the Capacitated Centered Clustering Problem

The Capacitated Centered Clustering Problem (CCCP) consists of defining a set of p groups with minimum dissimilarity on a network with n points. Demand values are associated with each point and each group has a demand capacity. The problem is well known to be NP-hard and has many practical applications. In this paper, the hybrid method Clustering Search (CS) is implemented to solve the CCCP. This method identifies promising regions of the search space by generating solutions with a metaheuristic, such as Genetic Algorithm, and clustering them into clusters that are then explored further with local search heuristics. Computational results considering instances available in the literature are presented to demonstrate the efficacy of CS. (C) 2010 Elsevier Ltd. All rights reserved.

Economic-statistical design of the (X)over-bar chart used to control a wandering process mean using genetic algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Interior point algorithm for linear programming used in transmission network synthesis

This article presents a well-known interior point method (IPM) used to solve problems of linear programming that appear as sub-problems in the solution of the long-term transmission network expansion planning problem. The linear programming problem appears when the transportation model is used, and when there is the intention to solve the planning problem using a constructive heuristic algorithm (CHA), ora branch-and-bound algorithm. This paper shows the application of the IPM in a CHA. A good performance of the IPM was obtained, and then it can be used as tool inside algorithm, used to solve the planning problem. Illustrative tests are shown, using electrical systems known in the specialized literature. (C) 2005 Elsevier B.V. All rights reserved.

Transmission system expansion planning by an extended genetic algorithm

The paper presents an extended genetic algorithm for solving the optimal transmission network expansion planning problem. Two main improvements have been introduced in the genetic algorithm: (a) initial population obtained by conventional optimisation based methods; (b) mutation approach inspired in the simulated annealing technique, the proposed method is general in the sense that it does not assume any particular property of the problem being solved, such as linearity or convexity. Excellent performance is reported in the test results section of the paper for a difficult large-scale real-life problem: a substantial reduction in investment costs has been obtained with regard to previous solutions obtained via conventional optimisation methods and simulated annealing algorithms; statistical comparison procedures have been employed in benchmarking different versions of the genetic algorithm and simulated annealing methods.

Reactive power dispatch and planning using a non-linear branch-and-bound algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)