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.

Brazilian coffee genome project: an EST-based genomic resource

O café é um dos principais produtos agrícolas, sendo considerado o segundo item em importância do comércio internacional de commodities. O gênero Coffea pertence à família Rubiaceae que também inclui outras plantas importantes. Este gênero contém aproximadamente 100 espécies, mas a produção comercial é baseada somente em duas espécies, Coffea arabica e Coffea canephora, que representam aproximadamente 70 % e 30 % do mercado total de café, respectivamente. O Projeto Genoma Café Brasileiro foi desenvolvido com o objetivo de disponibilizar os modernos recursos da genômica à comunidade científica e aos diferentes segmentos da cadeia produtiva do café. Para isso, foram seqüenciados 214.964 clones escolhidos aleatoriamente de 37 bibliotecas de cDNA de C. arabica, C. canephora e C. racemosa representando estádios específicos do desenvolvimento de células e de tecidos do cafeeiro, resultando em 130.792, 12.381 e 10.566 seqüências de cada espécie, respectivamente, após processo de trimagem. Os ESTs foram agrupados em 17.982 contigs e em 32.155 singletons. A comparação destas seqüências pelo programa BLAST revelou que 22 % não tiveram nenhuma similaridade significativa às seqüências no banco de dados do National Center for Biotechnology Information (de função conhecida ou desconhecida). A base de dados de ESTs do cafeeiro resultou na identificação de cerca de 33.000 unigenes diferentes. Os resultados de anotação das seqüências foram armazenados em base de dados online em http://www.lge.ibi.unicamp.br/cafe. Os recursos desenvolvidos por este projeto disponibilizam ferramentas genéticas e genômicas que podem ser decisivas para a sustentabilidade, a competitividade e a futura viabilidade da agroindústria cafeeira nos mercados interno e externo.

A mixture theory based method for three-dimensional modeling of reinforce concrete members with embedded crack finite elements

The paper presents a methodology to model three-dimensional reinforced concrete members by means of embedded discontinuity elements based on the Continuum Strong Discontinuous Approach (CSDA). Mixture theory concepts are used to model reinforced concrete as a 31) composite material constituted of concrete with long fibers (rebars) bundles oriented in different directions embedded in it. The effects of the rebars are modeled by phenomenological constitutive models devised to reproduce the axial non-linear behavior, as well as the bond-slip and dowel action. The paper presents the constitutive models assumed for the components and the compatibility conditions chosen to constitute the composite. Numerical analyses of existing experimental reinforced concrete members are presented, illustrating the applicability of the proposed methodology.

Neural network based on adaptive resonance theory with continuous training for multi-configuration transient stability analysis of electric power systems

This work presents a methodology to analyze electric power systems transient stability for first swing using a neural network based on adaptive resonance theory (ART) architecture, called Euclidean ARTMAP neural network. The ART architectures present plasticity and stability characteristics, which are very important for the training and to execute the analysis in a fast way. The Euclidean ARTMAP version provides more accurate and faster solutions, when compared to the fuzzy ARTMAP configuration. Three steps are necessary for the network working, training, analysis and continuous training. The training step requires much effort (processing) while the analysis is effectuated almost without computational effort. The proposed network allows approaching several topologies of the electric system at the same time; therefore it is an alternative for real time transient stability of electric power systems. To illustrate the proposed neural network an application is presented for a multi-machine electric power systems composed of 10 synchronous machines, 45 buses and 73 transmission lines. (C) 2010 Elsevier B.V. All rights reserved.

Robust fault diagnosis in power distribution systems based on fuzzy ARTMAP neural network-aided evidence theory

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

Reactive Control for Transmission Overload Relief Based on Sensitivity Analysis and Cooperative Game Theory

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Alternative Model of Three-Phase Transmission Line Theory-Based Modal Decomposition

In this paper is shown the development of a transmission line, based on discrete circuit elements that provide responses directly in the time domain and phase. This model is valid for ideally transposed rows represent the phases of each of the small line segments are separated in their modes of propagation and the voltage and current are calculated at the modal field. However, the conversion phase-mode-phase is inserted in the state equations which describe the currents and voltages along the line of which there is no need to know the user of the model representation of the theory in the field lines modal.

Linear analysis of building floor structures by a BEM formulation based on Reissner's theory

In this work, the plate bending formulation of the boundary element method (BEM) based on the Reissner's hypothesis is extended to the analysis of zoned plates in order to model a building floor structure. In the proposed formulation each sub-region defines a beam or a slab and depending on the way the sub-regions are represented, one can have two different types of analysis. In the simple bending problem all sub-regions are defined by their middle surface. on the other hand, for the coupled stretching-bending problem all sub-regions are referred to a chosen reference surface, therefore eccentricity effects are taken into account. Equilibrium and compatibility conditions are automatically imposed by the integral equations, which treat this composed structure as a single body. The bending and stretching values defined on the interfaces are approximated along the beam width, reducing therefore the number of degrees of freedom. Then, in the proposed model the set of equations is written in terms of the problem values on the beam axis and on the external boundary without beams. Finally some numerical examples are presented to show the accuracy of the proposed model.

Accountability in Smart Microgrids Based on Conservative Power Theory

Smart microgrids offer a new challenging domain for power theories and metering techniques because they include a variety of intermittent power sources which positively impact on power flow and distribution losses but may cause voltage asymmetry and frequency variation. In smart microgrids, the voltage distortion and asymmetry in presence of poly-phase nonlinear loads can be also greater than in usual distribution lines fed by the utility, thus affecting measurement accuracy and possibly causing tripping of protections. In such a context, a reconsideration of power theories is required since they form the basis for supply and load characterization. A revision of revenue metering techniques is also suggested to ensure a correct penalization of the loads for their responsibility in generating reactive power, voltage asymmetry, and distortion. This paper shows that the conservative power theory provides a suitable background to cope with smart grids characterization and metering needs. Simulation and experimental results show the properties of the proposed approach.

Possible shunt compensation strategies based on Conservative Power Theory

Considering the Conservative Power Theory (CPT), this paper proposes some novel compensation strategies for shunt passive or active devices. The CPT current decompositions result in several current terms (associated with specific physical phenomena), which were used for the definition of different selective current compensators, in terms of minimizing particular disturbing effects. Simulation results have been demonstrated in order to validate the possibilities and performance of the proposed strategies for single and three-phase four wired circuits.

A BEM formulation based on Reissner's theory to perform simple bending analysis of plates reinforced by rectangular beams

In this work, the plate bending formulation of the boundary element method (BEM), based on the Reissner's hypothesis, is extended to the analysis of plates reinforced by rectangular beams. This composed structure is modelled by a zoned plate, being the beams represented by narrow sub-regions with larger thickness. The integral equations are derived by applying the weighted residual method to each sub-region, and summing them to get the equation for the whole plate. Equilibrium and compatibility conditions are automatically imposed by the integral equations, which treat this composed structure as a single body. In order to decrease the number of degrees of freedom, some approximations are considered for both displacements and tractions along the beam width. The accuracy of the proposed model is illustrated by simple examples whose exact solution are known as well as by more complex examples whose numerical results are compared with a well-known finite element code.

Selective current compensators based on the conservative power theory

This paper presents possible selective current compensation strategies based on the Conservative Power Theory (CPT). This recently proposed theory, introduces the concept of complex power conservation under non-sinusoidal conditions. Moreover, the related current decompositions results in several current terms, which are associated with a specific physical phenomena (power absorption P, energy storage Q, voltage and current distortion D). Such current components are used in this work for the definition of different current compensators, which can be selective in terms of minimizing particular disturbing effects. The choice of one or other current component for compensation directly affects the sizing and cost of active and/or passive devices and it will be demonstrated that it can be done to attend predefined limits for harmonic distortion, unbalances and/or power factor. Single-phase compensation strategies will be discussed by means of the CPT and simulation results will demonstrate their performance. © 2009 IEEE.

Possible shunt compensation strategies based on conservative power theory

Considering the Conservative Power Theory (CPT), this paper proposes some novel compensation strategies for shunt passive or active devices. The CPT current decompositions result in several current terms, which are associated with specific physical phenomena (average power consumption P, energy storage Q, load and source distortion D, unbalances N). These current components were used in this work for the definition of different current compensators, which can be selective in terms of minimizing particular disturbing effects. Compensation strategies for single and three-phase four-wire circuits have also been considered. Simulation results have been demonstrated in order to validate the possibilities and performance of the proposed strategies. © 2010 IEEE.

Optimized dynamic response of parallel operation of two single phase inverters based on evolutionary theory

In this work it is proposed an optimized dynamic response of parallel operation of two single-phase inverters with no control communication. The optimization aims the tuning of the slopes of P-ω and Q-V curves so that the system is stable, damped and minimum settling time. The slopes are tuned using an algorithm based on evolutionary theory. Simulation and experimental results are presented to prove the feasibility of the proposed approach. © 2010 IEEE.

Real-time estimation of transmission line impedance based on modal analysis theory

The objective of this paper is to show a methodology to estimate the longitudinal parameters of transmission lines. The method is based on the modal analysis theory and developed from the currents and voltages measured at the sending and receiving ends of the line. Another proposal is to estimate the line impedance in function of the real-time load apparent power and power factor. The procedure is applied for a non-transposed 440 kV three-phase line. © 2011 IEEE.