Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model

Análise de agrupamentos dos dados de DFA oriundos de perfis elétricos de indução de poços de petróleo

The main objective of this study is to apply recently developed methods of physical-statistic to time series analysis, particularly in electrical induction s profiles of oil wells data, to study the petrophysical similarity of those wells in a spatial distribution. For this, we used the DFA method in order to know if we can or not use this technique to characterize spatially the fields. After obtain the DFA values for all wells, we applied clustering analysis. To do these tests we used the non-hierarchical method called K-means. Usually based on the Euclidean distance, the K-means consists in dividing the elements of a data matrix N in k groups, so that the similarities among elements belonging to different groups are the smallest possible. In order to test if a dataset generated by the K-means method or randomly generated datasets form spatial patterns, we created the parameter Ω (index of neighborhood). High values of Ω reveals more aggregated data and low values of Ω show scattered data or data without spatial correlation. Thus we concluded that data from the DFA of 54 wells are grouped and can be used to characterize spatial fields. Applying contour level technique we confirm the results obtained by the K-means, confirming that DFA is effective to perform spatial analysis

Is the meander growth in the Brazil Current system off Southeast Brazil due to baroclinic instability?

Temporally-growing frontal meandering and occasional eddy-shedding is observed in the Brazil Current (BC) as it flows adjacent to the Brazilian Coast. No study of the dynamics of this phenomenon has been conducted to date in the region between 22 degrees S and 25 degrees S. Within this latitude range, the flow over the intermediate continental slope is marked by a current inversion at a depth that is associated with the Intermediate Western Boundary Current (IWBC). A time series analysis of 10-current-meter mooring data was used to describe a mean vertical profile for the BC-IWBC jet and a typical meander vertical structure. The latter was obtained by an empirical orthogonal function (EOF) analysis that showed a single mode explaining 82% of the total variance. This mode structure decayed sharply with depth, revealing that the meandering is much more vigorous within the BC domain than it is in the IWBC region. As the spectral analysis of the mode amplitude time series revealed no significant periods, we searched for dominant wavelengths. This search was done via a spatial EOF analysis on 51 thermal front patterns derived from digitized AVHRR images. Four modes were statistically significant at the 95% confidence level. Modes 3 and 4, which together explained 18% of the total variance, are associated with 266 and 338-km vorticity waves, respectively. With this new information derived from the data, the [Johns, W.E., 1988. One-dimensional baroclinically unstable waves on the Gulf Stream potential vorticity gradient near Cape Hatteras. Dyn. Atmos. Oceans 11, 323-350] one-dimensional quasi-geostrophic model was applied to the interpolated mean BC-IWBC jet. The results indicated that the BC system is indeed baroclinically unstable and that the wavelengths depicted in the thermal front analysis are associated with the most unstable waves produced by the model. Growth rates were about 0.06 (0.05) days(-1) for the 266-km (338-km) wave. Moreover, phase speeds for these waves were low compared to the surface BC velocity and may account for remarks in the literature about growing standing or stationary meanders off southeast Brazil. The theoretical vertical structure modes associated with these waves resembled very closely to the one obtained for the current-meter mooring EOF analysis. We interpret this agreement as a confirmation that baroclinic instability is an important mechanism in meander growth in the BC system. (C) 2008 Elsevier B.V. All rights reserved.

The administration of exogenous prostaglandin may improve ovulation in pacu (Piaractus mesopotamicus)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Sugarcane genes differentially expressed during water deficit

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

Influência do parasitismo pelo nematoide de galhas nos níveis de nutrientes em folhas e na fenologia de goiabeira 'Paluma'

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

Proposta de algoritmo para detecção de vazamentos em oleodutos utilizando análise freqüencial de sinais de pressão

Pipeline leak detection is a matter of great interest for companies who transport petroleum and its derivatives, in face of rising exigencies of environmental policies in industrialized and industrializing countries. However, existing technologies are not yet fully consolidated and many studies have been accomplished in order to achieve better levels of sensitivity and reliability for pipeline leak detection in a wide range of flowing conditions. In this sense, this study presents the results obtained from frequency spectrum analysis of pressure signals from pipelines in several flowing conditions like normal flowing, leakages, pump switching, etc. The results show that is possible to distinguish between the frequency spectra of those different flowing conditions, allowing recognition and announce of liquid pipeline leakages from pressure monitoring. Based upon these results, a pipeline leak detection algorithm employing frequency analysis of pressure signals is proposed, along with a methodology for its tuning and calibration. The proposed algorithm and its tuning methodology are evaluated with data obtained from real leakages accomplished in pipelines transferring crude oil and water, in order to evaluate its sensitivity, reliability and applicability to different flowing conditions

Extração e Representação de Conhecimento de Séries Temporais de Demanda de Energia Elétrica Usando TSKR

The opening of the Brazilian market of electricity and competitiveness between companies in the energy sector make the search for useful information and tools that will assist in decision making activities, increase by the concessionaires. An important source of knowledge for these utilities is the time series of energy demand. The identification of behavior patterns and description of events become important for the planning execution, seeking improvements in service quality and financial benefits. This dissertation presents a methodology based on mining and representation tools of time series, in order to extract knowledge that relate series of electricity demand in various substations connected of a electric utility. The method exploits the relationship of duration, coincidence and partial order of events in multi-dimensionals time series. To represent the knowledge is used the language proposed by Mörchen (2005) called Time Series Knowledge Representation (TSKR). We conducted a case study using time series of energy demand of 8 substations interconnected by a ring system, which feeds the metropolitan area of Goiânia-GO, provided by CELG (Companhia Energética de Goiás), responsible for the service of power distribution in the state of Goiás (Brazil). Using the proposed methodology were extracted three levels of knowledge that describe the behavior of the system studied, representing clearly the system dynamics, becoming a tool to assist planning activities

Análise tempo-intensidade dos estímulos doce e amargo de extrato de folhas de estévia [Stevia rebaudiana (Bert.) Bertoni] em doçura equivalente a sacarose

O extrato de folhas de estévia (Stevia rebaudiana Bertoni) é o único edulcorante utilizado na substituição da sacarose, que pode ser produzido totalmente no Brasil. O objetivo deste estudo foi determinar os comportamentos de características temporais dos estímulos doce e amargo da estevia em doçuras equivalentes a soluções de sacarose (DESS) a 3 e 10%. As curvas tempo-intensidade (T-I) para cada substância foram coletadas utilizando-se o programa Sistema de Coleta de Dados Tempo-Intensidade - SCDTI para Windows, onde os provadores registravam com auxílio do mouse a percepção de cada estímulo solicitado em função do tempo, para cada amostra. Os parâmetros das curvas T-I coletados foram: tempo de intensidade máxima (TImax), intensidade máxima (Imax), tempo onde a intensidade máxima começa a declinar (Td), tempo de platô (Platô), área sob a curva (Área) e tempo total de duração do estímulo (Ttot). Os parâmetros Td, Ttot, Área e Platô das curvas T-I para o estímulo doce nos dois níveis de doçura foram significativamente superiores para estévia, enquanto TImax e Imax foram significativamente menores (p£0,05), sendo que as diferenças entre os valores para as duas substâncias foram muito maiores a DESS a 10%. A sacarose não apresentou nenhum registro para o estímulo amargo tanto a 3 como a 10%, enquanto a estévia apresentou curvas T-I características, com intensidade e o tempo total de duração dependente da concentração.

Análise tempo-intensidade dos gostos doce e amargo de extrato de folhas de estévia (Stévia rebaudiana Bertoni) em doçura equivalente a sacarose

O extrato de folhas de estévia (Stévia rebaudiana Bertoni) é o único edulcorante utilizado na substituição da sacarose, que pode ser produzido totalmente no Brasil. Este trabalho objetivou determinar o comportamento de características temporais dos estímulos doce e amargo do extrato de estévia em doçuras equivalentes a soluções de sacarose (DESS) a 3 e 10%. As curvas tempo-intensidade (T-I) para cada substância foram coletadas utilizando-se o programa Sistema de Coleta de Dados Tempo-Intensidade - SCDTI para Windows, onde os provadores registravam com auxílio do mouse a percepção de cada estímulo solicitado em função do tempo, para cada amostra. Os parâmetros das curvas T-I determinados foram: tempo de intensidade máxima (TImax), intensidade máxima (Imax), tempo onde a intensidade máxima começa a declinar (Td), tempo de platô (Platô), área sob a curva (Área) e tempo total de duração do estímulo (Ttot). Os parâmetros Td, Ttot, Área e Platô das curvas T-I para o estímulo doce nos dois níveis de doçura significativamente foram superiores para o extrato de estévia, enquanto TImax e Imax foram significativamente menores (p£ 0,05). As diferenças entre os valores de sacarose e extrato de estévia foram muito maiores a DESS a 10%. A sacarose não apresentou nenhum registro para o estímulo amargo tanto a 3 como a 10%, enquanto a estévia apresentou curvas T-I características, com intensidade e o tempo total de duração dependente da concentração.

Propagação de danos no modelo de ising em redes de bravais e em fractais

In this work we have studied, by Monte Carlo computer simulation, several properties that characterize the damage spreading in the Ising model, defined in Bravais lattices (the square and the triangular lattices) and in the Sierpinski Gasket. First, we investigated the antiferromagnetic model in the triangular lattice with uniform magnetic field, by Glauber dynamics; The chaotic-frozen critical frontier that we obtained coincides , within error bars, with the paramegnetic-ferromagnetic frontier of the static transition. Using heat-bath dynamics, we have studied the ferromagnetic model in the Sierpinski Gasket: We have shown that there are two times that characterize the relaxation of the damage: One of them satisfy the generalized scaling theory proposed by Henley (critical exponent z~A/T for low temperatures). On the other hand, the other time does not obey any of the known scaling theories. Finally, we have used methods of time series analysis to study in Glauber dynamics, the damage in the ferromagnetic Ising model on a square lattice. We have obtained a Hurst exponent with value 0.5 in high temperatures and that grows to 1, close to the temperature TD, that separates the chaotic and the frozen phases

Em busca de um novo indicador Espectroscópico do período de rotação das Estrelas do tipo solar

The study of sunspots consistently contributed to a better understanding of magnetic phenomena of the Sun, as its activity. It was found with the dynamics of sunspots that the Sun has a rotation period of twenty-seven days around your axis. With the help of Project Sun-As-A-Star that solar spectra obtained for more than thirty years we observed oscillations of both the depth of the spectral line and its equivalent width, and analysis of the return information about the characteristics of solar magnetism. It also aims to find patterns of solar magnetic activity cycle and the average period of rotation of the Sun will indicate the spectral lines that are sensitive to magnetic activity and which are not. Sensitive lines how Ti II 5381.0 Å stands as the best indicator of the solar rotation period and also shows different periods of rotation cycles of minimum and maximum magnetic activity. It is the first time we observe clearly distinct rotation periods in the different cycles. The analysis also shows that Ca II 8542.1 Å and HI 6562.0 Å indicate the cycle of magnetic activity of eleven years. Some spectral lines no indicated connection with solar activity, this result can help us search for programs planets using spectroscopic models. Data analysis was performed using the Lomb-Scargle method that makes the time series analysis for unequally spaced data. Observe different rotation periods in the cycles of magnetic activity accounts for a discussion has been debated for many decades. We verified that spectroscopy can also specify the period of stellar rotation, thus being able to generalize the method to other stars

Contando o passado, tecendo a saudade: a construção simbólica do engenho açucareiro em Jose Lins do Rego (1919-1943)

In this work I have searched the symbolical sense of a specific place. I have started from the theoretical assumption that places are social relations resulting from material and symbolical conditions developed in a certain time and by certain factors. In this sense, I have analyzed the symbolical aspect of sugar plantation from some literary works created by the writer José Lins do Rego from the state of Paraíba. I intend to analyze the symbolical dimension senses, values and images used by this writer to show the sugar plantation. Giving special attention to the works from the named cycle of sugar plantation , I have searched for the senses and meanings used in José Lins do Rego literary discourse to create a fictional sugar plantation, showing this place in a specific way. Based in cultural history, I have used several sources: literary works, prefaces of books, memory works, journalistic works, letters written by intellectual men and history books. My time of analysis is from 1919 the beginning of José Lins do Rego s intellectual activity - until 1943 publication of Fogo Morto, last literary work that I have analyzed. In symbolical terms, what is sugar plantation, this place that has totally touched José Lins do Regos life and literary work? That was the structural question that has determined the present research

Direct and simultaneous spectrophotometric determination of Ni (II) and Co (II) using diethanoldithiocarbamate as complexing agent

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

Echocardiographic detection of congestive heart failure in postinfarction rats

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)