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.

Development of a micro heat exchanger made with ceramic multi-layers (LTCC) and its setup to gas flow measurements

A green ceramic tape micro heat exchanger was developed using LTCC technology. The device was designed by using a CAD software and 2D and 3D simulations using a CFD package (COMSOL Multiphysics) to evaluate the fluid behavior in the microchannels. The micro heat exchanger is composed of five thermal exchange plates in cross flow arrangement and two connecting plates; heat exchanger dimensions are 26 × 26 × 6 mm3. Preliminary tests were carried out to characterize the device both in atmospheric pressure and in vacuum. The same techniques used in vacuum technology were applied to check the rotameters and to prevent device leakages. Thermal performance of the micro heat exchanger was experimentally tested. © 2009 Elsevier B.V. All rights reserved.

Pré-regulador retificador boost com controle digital por valores médios, para sistema de iluminação fluorescente multi-lâmpadas, utilizando dispositivo FPGA e VHDL

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Um modelo bi-nível para o investimento multi-etapa em capacidade de transmissão e geração de energia elétrica em mercados competitivos

Pós-graduação em Engenharia Elétrica - FEIS

Performance evaluation of multi-stage filtration with use of granular activated carbon and synthetic non-woven fabrics

The multi stage filtration (MSF) is an alternative that permits to enlarge the spectrum of application of the slow sand filtration as for the effluent quality and run duration. In this research the use of MSF technology associated to a granular activated carbon (GAC) column as polishing mechanism of the final effluent was evaluated; in the slow sand filters GAC was used as an intermediate layer and non-woven synthetic fabrics were utilized as a first layer of the filter media. Five different tests were conducted, where the systems subjected to the treatment were: water from the Ipe Lake (Ilha Solteira, Sao Paulo, Brazil); water from the lake with water from a recreational fish pond; water from the lake with a phytoplankton and cyanobacteria overload simulation, with and without the use of the pre-filters as a stage of the treatment. The synthetic fabrics and GAC use resulted in the best turbidity removal and an efficient apparent and true color removal; in spite that the polishing columns reported similar results for those parameters. The utilization of GAC as an intermediate layer contributed to a better organic matter removal and the fabrics improved chlorophyll-a removal. The pre-filtration columns made an efficient algae and cyanobacteria removal, a function that was completed by the filters and reached >98% efficiency. The synthetic non-woven fabrics and GAC inclusion in MSF operation improved performance of this technology with ease of application and operation.

A Multi-Stage Stochastic Non-Linear Model for Reactive Power Planning Under Contingencies

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

Estimating the concentration of gold nanoparticles incorporated on natural rubber membranes using multi-level starlet optimal segmentation

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

Nonlinear dynamical analysis of an aeroelastic system with multi-segmented moment in the pitch degree-of-freedom

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

Multi-task control strategy for grid-tied inverters based on conservative power theory

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

Optimization of in situ derivatization SPME by experimental design for GC-MS multi-residue analysis of pharmaceutical drugs in wastewater

This paper presents the development of a procedure, which enables the analysis of nine pharmaceutical drugs in wastewater using gas chromatography-mass spectrometry (GC-MS) associated with solid-phase microextraction (SPME) for the sample preparation. Experimental design was applied to optimize the in situ derivatization and the SPME extraction conditions. Ethyl chloroformate (ECF) was employed as derivatizing agent and polydimethylsiloxane-divinylbenzene (PDMS-DVB) as the SPME fiber coating. A fractional factorial design was used to evaluate the main factors for the in situ derivatization and SPME extraction. Thereafter, a Doehlert matrix design was applied to find out the best experimental conditions. The method presented a linear range from 0.5 to 10 mu g/L, and the intraday and interday precision were lower than 16%. Applicability of the method was verified from real influent and effluent samples of a wastewater treatment plant, as well as from samples of an industry wastewater and a river.

A general framework for multi-compartmental analysis of drug chemotherapy dynamics in human immunodeficiency virus type-1 infected individuals

An optimal control strategy for the highly active antiretroviral therapy associated to the acquired immunodeficiency syndrome should be designed regarding a comprehensive analysis of the drug chemotherapy behavior in the host tissues, from major viral replication sites to viral sanctuary compartments. Such approach is critical in order to efficiently explore synergistic, competitive and prohibitive relationships among drugs and, hence, therapy costs and side-effect minimization. In this paper, a novel mathematical model for HIV-1 drug chemotherapy dynamics in distinct host anatomic compartments is proposed and theoretically evaluated on fifteen conventional anti-retroviral drugs. Rather than interdependence between drug type and its concentration profile in a host tissue, simulated results suggest that such profile is importantly correlated with the host tissue under consideration. Furthermore, the drug accumulative dynamics are drastically affected by low patient compliance with pharmacotherapy, even when a single dose lacks. (C) 2012 Elsevier Inc. All rights reserved.

Numerical simulation of anisotropic polymeric foams

This paper shows in detail the modelling of anisotropic polymeric foam under compression and tension loadings, including discussions on isotropic material models and the entire procedure to calibrate the parameters involved. First, specimens of poly(vinyl chloride) (PVC) foam were investigated through experimental analyses in order to understand the mechanical behavior of this anisotropic material. Then, isotropic material models available in the commercial software Abaqus (TM) were investigated in order to verify their ability to model anisotropic foams and how the parameters involved can influence the results. Due to anisotropy, it is possible to obtain different values for the same parameter in the calibration process. The obtained set of parameters are used to calibrate the model according to the application of the structure. The models investigated showed minor and major limitations to simulate the mechanical behavior of anisotropic PVC foams under compression, tension and multi-axial loadings. Results show that the calibration process and the choice of the material model applied to the polymeric foam can provide good quantitative results and save project time. Results also indicate what kind and order of error one will get if certain choices are made throughout the modelling process. Finally, even though the developed calibration procedure is applied to specific PVC foam, it still outlines a very broad drill to analyze other anisotropic cellular materials.

Exploration of the parameter space in an agent-based model of tuberculosis spread: emergence of drug resistance in developing vs developed countries

In this work we present an agent-based model for the spread of tuberculosis where the individuals can be infected with either drug-susceptible or drug-resistant strains and can also receive a treatment. The dynamics of the model and the role of each one of the parameters are explained. The whole set of parameters is explored to check their importance in the numerical simulation results. The model captures the beneficial impact of the adequate treatment on the prevalence of tuberculosis. Nevertheless, depending on the treatment parameters range, it also captures the emergence of drug resistance. Drug resistance emergence is particularly likely to occur for parameter values corresponding to less efficacious treatment, as usually found in developing countries.