An evolving possibilistic fuzzy modeling approach for value-at-risk estimation

Market risk exposure plays a key role for nancial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incurwhen the price of the portfolio's assets declines using Value-at-Risk (VaR) estimates, one of the most prominent measure of nancial downside market risk. This paper suggests an evolving possibilistic fuzzy modeling approach for VaR estimation. The approach is based on an extension of the possibilistic fuzzy c-means clustering and functional fuzzy rule-based modeling, which employs memberships and typicalities to update clusters and creates new clusters based on a statistical control distance-based criteria. ePFM also uses an utility measure to evaluate the quality of the current cluster structure. Computational experiments consider data of the main global equity market indexes of United States, London, Germany, Spain and Brazil from January 2000 to December 2012 for VaR estimation using ePFM, traditional VaR benchmarks such as Historical Simulation, GARCH, EWMA, and Extreme Value Theory and state of the art evolving approaches. The results show that ePFM is a potential candidate for VaR modeling, with better performance than alternative approaches.

Organizational modeling with a semantic wiki: formalization of content and automatic diagram generation

A key to maintain Enterprises competitiveness is the ability to describe, standardize, and adapt the way it reacts to certain types of business events, and how it interacts with suppliers, partners, competitors, and customers. In this context the field of organization modeling has emerged with the aim to create models that help to create a state of self-awareness in the organization. This project's context is the use of Semantic Web in the Organizational modeling area. The Semantic Web technology advantages can be used to improve the way of modeling organizations. This was accomplished using a Semantic wiki to model organizations. Our research and implementation had two main purposes: formalization of textual content in semantic wiki pages; and automatic generation of diagrams from organization data stored in the semantic wiki pages.

Entre serras e sertões A(s) (trans)formaç(ões) de centralidade(s) da Região Metropolitana do Cariri/CE

This study reviews the spatial configuration from the road network of an urban compound formed by the cities of Crato, Juazeiro do Norte and Barbalha (the Crajubar - core of the Cariri metropolitan region, in the State of Ceará, Brazil), in order to establish nexus (or relations) between different levels of accessibility and the formation/ transformation and specialization of centralities in local and metropolitan scales. Stemming from the Social Logic of Space theoretical and operational apparatus, the study explores modeling possibilities (with axial lines, segments and lines of continuity) which is then confronted to empirical observations concerning movement flows and land use, within a Geographic Information System database. At different scales of analysis, the results suggest evidences of continuity were found in the permanence of intra-urban centres and sub-centres within each town, whereas evidences of change pointed out to the formation of a new centrality of metropolitan magnitude in the neighbourhood referred to as the Triângulo, in the municipality of Juazeiro, where high levels of topological accessibility coincides with the appearance of new business buildings as well as with the emergence of urban equipment of a scale more adequate to meet a regional demand

Potencialidades de cultivo de macroalgas no litoral do Rio Grande do Norte (NE, Brasil): uma perspectiva de integração de dados ambientais em sistemas de informação geográfica (SIG)

Since centuries ago, the Asians use seaweed as an important source of feeding and are their greatest world-wide consumers. The migration of these peoples for other countries, made the demand for seaweed to increase. This increasing demand prompted an industry with annual values of around US$ 6 billion. The algal biomass used for the industry is collected in natural reservoirs or cultivated. The market necessity for products of the seaweed base promotes an unsustainable exploration of the natural banks, compromising its associated biological balance. In this context, seaweed culture appears as a viable alternative to prevent the depletion of these natural supplies. Geographic Information Systems (GIS) provide space and produce information that can facilitate the evaluation of important physical and socio-economic characteristics for the planning of seaweed culture. This objective of this study is to identify potential coastal areas for seaweed culture in the state of Rio Grande do Norte, from the integration of social-environmental data in the SIG. In order to achieve this objective, a geo-referred database composed of geographical maps, nautical maps and orbital digital images was assembled; and a bank of attributes including physical and oceanographical variables (winds, chains, bathymetry, operational distance from the culture) and social and environmental factors (main income, experience with seaweed harvesting, demographic density, proximity of the sheltered coast and distance of the banks) was produced. In the modeling of the data, the integration of the space database with the bank of attributes for the attainment of the map of potentiality of seaweed culture was carried out. Of a total of 2,011 ha analyzed by the GIS for the culture of seaweed, around 34% or 682 ha were indicated as high potential, 55% or 1,101 ha as medium potential, and 11% or 228 ha as low potential. The good indices of potentiality obtained in the localities studied demonstrate that there are adequate conditions for the installation of seaweed culture in the state of Rio Grande do Norte

Caracterização batimétrica e fisicooceanográfica do canal de acesso ao porto de Cabedelo/PB: uma análise ambiental ao derrame de óleo

The State of Paraíba is one of the most dynamic states of Brazil, strategically located in the northeast, is notable for the excellent potential for integration of different transportation modes forming the states of Rio Grande do Norte, Pernambuco and Alagoas. The dynamic that occurs with port activity causes changes in the space where it is installed. And the elements of this space are always more than suffering direct or indirect influences as the flow in the port is expanded. Therefore, this region became subject to the accidental spillage of oil, because it presents a heavy traffic of ships of various sizes that can run aground or collide with oil causing accidental events. The study of geomorphological and sedimentological compositions of seafloor becomes important as more is known about the relationships between these parameters and associated fauna, and can identify their preferred habitats. The database background, acoustically collected along the proposed study area, is a wealth of information, which were duly examined, cataloged and made available. Such information can serve as an important tool, providing a geomorphological survey of the sedimentary area studied, and come to subsidize, in a flexible, future decision making. With the study area Port of Cabedelo, Paraíba - Brazil, this research aimed to evaluate the influence of the tidal surface and background in modeling the seabed, including the acquisition of information about the location of submerged rocky bodies and the depth of these bodies may turn out to be natural traps for the trapping of oil in case of leaks, and obtain the relationship between types of bed and the hydrodynamic conditions present in the region. In this context, for this study were collected bathymetric data (depth) and physical oceanographic (height of water column, water temperature, intensity and direction of currents, waves and turbidity), meteorological (rainfall, air temperature, humidity, winds and barometric pressure) of the access channel to the Port of Cabedelo / PB and its basin evolution (where the cruise ships dock), and includes tools of remote sensing (Landsat 7 ETM +, 2001), so that images and the results are integrated into Geographic Information Systems and used in the elaboration of measures aimed at environmental protection areas under the influence of this scale facilities, serving as a grant to prepare a contingency plan in case of oil spills in the region. The main findings highlight the techniques of using hydroacoustic data acquisition together bathymetric surveys of high and low frequency. From there, five were prepared in bathymetric pattern of Directorate of Hydrography and Navigation - DHN, with the depth in meters, on a scale of 1:2500 (Channel and Basin Evolution of Access to Port of Cabedelo), where there is a large extent possible beachrocks that hinder the movement of vessels in the port area, which can cause collisions, running aground and leaking oil. From the scatter diagram of the vectors of currents, it can be seen as the tidal stream and undergoes a channeling effect caused by the bidirectional effect of the tide (ebb and flood) in the basin of the Port of Cabedelo evolution in NW-direction SE and the highest speed of the currents occurs at low tide. The characterization weather for the period from 28/02 to 04/07/2010 values was within the expected average for the region of study. The multidisciplinary integration of products (digital maps and remote sensing images), proved to be efficient for the characterization of underwater geomorphological study area, reaching the aim to discriminate and enhance submerged structures, previously not visible in the images

Semiparametric modeling of the spatial distribution of occupational accident risk in the casual labor market, Piracicaba, southeast Brazil

The objective of this study was to estimate the spatial distribution of work accident risk in the informal work market in the urban zone of an industrialized city in southeast Brazil and to examine concomitant effects of age, gender, and type of occupation after controlling for spatial risk variation. The basic methodology adopted was that of a population-based case-control study with particular interest focused on the spatial location of work. Cases were all casual workers in the city suffering work accidents during a one-year period; controls were selected from the source population of casual laborers by systematic random sampling of urban homes. The spatial distribution of work accidents was estimated via a semiparametric generalized additive model with a nonparametric bidimensional spline of the geographical coordinates of cases and controls as the nonlinear spatial component, and including age, gender, and occupation as linear predictive variables in the parametric component. We analyzed 1,918 cases and 2,245 controls between 1/11/2003 and 31/10/2004 in Piracicaba, Brazil. Areas of significantly high and low accident risk were identified in relation to mean risk in the study region (p < 0.01). Work accident risk for informal workers varied significantly in the study area. Significant age, gender, and occupational group effects on accident risk were identified after correcting for this spatial variation. A good understanding of high-risk groups and high-risk regions underpins the formulation of hypotheses concerning accident causality and the development of effective public accident prevention policies.

Alcoolemia em vítimas fatais de acidentes de trânsito no Rio Grande do Norte empregando cromatografia em fase gasosa - head space

Alcohol is one of the few psychotropic drugs that their consumption has admitted legally and sometimes encouraged by the society. Studies show alcohol as the highest consumption of drugs among young people and society in general, probably because of its availability and easy access. The abuse causes public health problems, which was closely related to the violence, socioeconomic problems and the high number of automobile accidents. Transit is one of the main sectors affected by the effects of alcohol, observing a high incidence in the studies. About half of automobile accidents occurs after the consumption of alcoholic beverage, and the vast majority of cases related to high concentrations of alcohol in the bloodstream. The relationship of drunk with traffic accidents is in fact evident everywhere in the world, including Brazil, where studies have shown a high relationship between alcohol consumption and traffic accidents. This study determined the alcohol in fatal victims of traffic accidents in the state of Rio Grande do Norte and established the profile of this population compared with those found in Brazil and other countries. Samples of blood of ethanol added to fulfillment of the standardization of chromatographic conditions and procedures for the analysis, being employed in the determination of alcohol in blood samples of 277 victims of traffic accidents, collected at the Institute of Scientific Technical Police of Rio Grande do North (ITEP) in the year 2007. The blood alcohol level was determined in these samples correlated with the sex, age and marital status of the victim and the location, day of week and month when the accident occurred, is doing a statistical analysis and outlining a profile of the victims of an accident at transit in the state of Rio Grande do Norte. The parameters of standardization studied ensured the quality of the analytical method and, consequently, to obtain reliable laboratory results. Being given the best temperature for injector (150 ºC), detector (250 ºC) and column (50 ºC) with a flow of gas in the column of 2mL/minutos and analysis of time of 12 minutes. The method was linear in the range of 0.01 to 3.2 g / L (r2 = 0.9989) with average recovery of 100.2% and precision with coefficient of variation less than 15%. The analysis carried out on victims of fatal road traffic accidents, ethanol detected in the blood in 66.43% of the victims and these, 96% showed concentration ≥ 0.2 g / L, 87.73% of victims were male, while 12.27% female. The younger age group (1535 years) was the most involved (52,35%) and most single (55.60%). The accidents occurred with greater prevalence in the day on Monday (27%) followed by Sunday (24,19%) and Saturday (15,52%) and it was found that the prevalence of injuries varied between the different months of the year, and in February (14.4%) and April (10.47%) the months that had a higher number of accidents, however this oscillation showed no statistically significant difference. Also no significant difference was observed between the tracks of concentration found in men and women. The standardized method showed to be efficient, given satisfactorily to the goals of this work, and the high levels of alcohol found in victims of fatal road traffic accidents are consistent with several studies of literature, and the profile of the victim also supported by presenting in its most young adults, male and single

Genetic diversity of natural populations of Anemopaegma arvense (Bignoniaceae) in the Cerrado of São Paulo State, Brazil

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

GPS/VRS positioning using atmospheric modeling

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

Modeling a system of phosphated cross-linked high amylose for controlled drug release. Part 1: Synthesis and polymer characterization

High amylose was cross-linked with sodium trimetaphosphate (STMP) using 2% and 4% solutions of NaOH at room temperature with reaction contact times of 0.5, 1, 2 and 4 h. The different polymers obtained were analyzed by FT IR, C-13 and P-31 solid state NMR, SEM and C, H and P elemental analysis. The results were used to propose a two-stage mechanism for phosphate incorporation, the first being kinetically controlled. (C) 2008 Elsevier Ltd. All rights reserved.

A new method for real time computation of power quality indices based on instantaneous space phasors

One of the important issues about using renewable energy is the integration of dispersed generation in the distribution networks. Previous experience has shown that the integration of dispersed generation can improve voltage profile in the network, decrease loss, etc. but can create safety and technical problems as well. This work report the application of the instantaneous space phasors and the instantaneous complex power in observing performances of the distribution networks with dispersed generators in steady state. New IEEE apparent power definition, the so-called Buchholz-Goodhue effective apparent power, as well as new proposed power quality (oscillation) index in the three-phase distribution systems with unbalanced loads and dispersed generators, are applied. Results obtained from several case studies using IEEE 34 nodes test network are presented and discussed. (C) 2006 Elsevier B.V. All rights reserved.

Population dynamics, life stage and ecological modeling in Chrysomya albiceps (Wiedemann) (Diptera: Calliphoridae)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modeling a spatially restricted distribution in the Neotropics: How the size of calibration area affects the performance of five presence-only methods

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Configuration-dependent diffusion can shift the kinetic transition state and barrier height of protein folding

We show that diffusion can play an important role in protein-folding kinetics. We explicitly calculate the diffusion coefficient of protein folding in a lattice model. We found that diffusion typically is configuration- or reaction coordinate-dependent. The diffusion coefficient is found to be decreasing with respect to the progression of folding toward the native state, which is caused by the collapse to a compact state constraining the configurational space for exploration. The configuration- or position-dependent diffusion coefficient has a significant contribution to the kinetics in addition to the thermodynamic free-energy barrier. It effectively changes (increases in this case) the kinetic barrier height as well as the position of the corresponding transition state and therefore modifies the folding kinetic rates as well as the kinetic routes. The resulting folding time, by considering both kinetic diffusion and the thermodynamic folding free-energy profile, thus is slower than the estimation from the thermodynamic free-energy barrier with constant diffusion but is consistent with the results from kinetic simulations. The configuration- or coordinate-dependent diffusion is especially important with respect to fast folding, when there is a small or no free-energy barrier and kinetics is controlled by diffusion. Including the configurational dependence will challenge the transition state theory of protein folding. The classical transition state theory will have to be modified to be consistent. The more detailed folding mechanistic studies involving phi value analysis based on the classical transition state theory also will have to be modified quantitatively.

Low-energy three-body charge transfer reactions with Coulomb interaction in the final state

Three-body charge transfer reactions with Coulomb interaction in the final state are considered within the framework of coordinate-space integro-differential Faddeev-Hahn-type equations within two- and six-state close-coupling approximations. The method is employed to study direct muon transfer in low-energy collisions of the muonic hydrogen H-mu by helium (He2+) and lithium (Li3+) nuclei. The experimentally observed isotopic dependence is reproduced.