Dois modelos de controle de risco: o modelo Nelson-Siegel dinâmico e o cálculo de VaR por modelos GARCH

A presente dissertação tem como objetivo apresentar dois importantes modelos usados na análise de risco. Essa análise culmina em uma aplicação empírica para cada um deles. Apresenta-se primeiro o modelo Nelson-Siegel dinâmico, que estima a curva de juros usando um modelo paramétrico exponencial parcimonioso. É citada a referência criadora dessa abordagem, que é Nelson & Siegel (1987), passa-se pela apresentação da mais importante abordagem moderna que é a de Diebold & Li (2006), que é quem cria a abordagem dinâmica do modelo Nelson-Siegel, e que é inspiradora de diversas extensões. Muitas dessas extensões também são apresentadas aqui. Na parte empírica, usando dados da taxa a termo americana de Janeiro de 2004 a Março de 2015, estimam-se os modelos Nelson-Siegel dinâmico e de Svensson e comparam-se os resultados numa janela móvel de 12 meses e comparamos seus desempenhos com aqueles de um passeio aleatório. Em seguida, são apresentados os modelos ARCH e GARCH, citando as obras originais de Engle (1982) e Bolleslev (1986) respectivamente, discutem-se características destes modelos e apresentam-se algumas extensões ao modelo GARCH, incluindo aí alguns modelos GARCH multivariados. Passa-se então por uma rápida apresentação do conceito de VaR (Value at Risk), que será o objetivo da parte empírica. Nesta, usando dados de 02 de Janeiro de 2004 até 25 de Fevereiro de 2015, são feitas uma estimação da variância de um portfólio usando os modelos GARCH, GJR-GARCH e EGARCH e uma previsão do VaR do portfólio a partir da estimação feita anteriormente. Por fim, são apresentados alguns trabalhos que usam os dois modelos conjuntamente, ou seja, que consideram que as taxas ou os fatores que as podem explicam possuem variância variante no tempo.

DEMO models based automatic workflow process generation

Nowadays, more than half of the computer development projects fail to meet the final users' expectations. One of the main causes is insufficient knowledge about the organization of the enterprise to be supported by the respective information system. The DEMO methodology (Design and Engineering Methodology for Organizations) has been proved as a well-defined method to specify, through models and diagrams, the essence of any organization at a high level of abstraction. However, this methodology is platform implementation independent, lacking the possibility of saving and propagating possible changes from the organization models to the implemented software, in a runtime environment. The Universal Enterprise Adaptive Object Model (UEAOM) is a conceptual schema being used as a basis for a wiki system, to allow the modeling of any organization, independent of its implementation, as well as the previously mentioned change propagation in a runtime environment. Based on DEMO and UEAOM, this project aims to develop efficient and standardized methods, to enable an automatic conversion of DEMO Ontological Models, based on UEAOM specification into BPMN (Business Process Model and Notation) models of processes, using clear semantics, without ambiguities, in order to facilitate the creation of processes, almost ready for being executed on workflow systems that support BPMN.

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

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Models for the analysis of growth curves for rearing tinamous (Rhynchotus rufescens) in captivity

Growth curves models provide a visual assessment of growth as a function of time, and prediction body weight at a specific age. This study aimed at estimating tinamous growth curve using different models, and at verifying their goodness of fit. A total number 11,639 weight records from 411 birds, being 6,671 from females and 3,095 from males, was analyzed. The highest estimates of a parameter were obtained using Brody (BD), von Bertalanffy (VB), Gompertz (GP,) and Logistic function (LG). Adult females were 5.7% heavier than males. The highest estimates of b parameter were obtained in the LG, GP, BID, and VB models. The estimated k parameter values in decreasing order were obtained in LG, GP, VB, and BID models. The correlation between the parameters a and k showed heavier birds are less precocious than the lighter. The estimates of intercept, linear regression coefficient, quadratic regression coefficient, and differences between quadratic coefficient of functions and estimated ties of quadratic-quadratic-quadratic segmented polynomials (QQQSP) were: 31.1732 +/- 2.41339; 3.07898 +/- 0.13287; 0.02689 +/- 0.00152; -0.05566 +/- 0.00193; 0.02349 +/- 0.00107, and 57 and 145 days, respectively. The estimated predicted mean error values (PME) of VB, GP, BID, LG, and QQQSP models were, respectively, 0.8353; 0.01715; -0.6939; -2.2453; and -0.7544%. The coefficient of determination (RI) and least square error values (MS) showed similar results. In conclusion, the VB and the QQQSP models adequately described tinamous growth. The best model to describe tinamous growth was the Gompertz model, because it presented the highest R-2 values, easiness of convergence, lower PME, and the easiness of parameter biological interpretation.

Bayesian analysis of random regression models using B-splines to model test-day milk yield of Holstein cattle in Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Environmental and genetic factors affecting the weaning-estrus interval in sows

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Random regression models using different functions to model test-day milk yield of Brazilian Holstein cows

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

Bundle Block Adjustment of CBERS-2B HRC Imagery Combining Control Points and Lines

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

Detection and thinning of edges in previously known directions

This work presents a study on the generation of digital masks aiming at edge detection with previously known directions. This solution is important when edge direction is available either from a direction histogram or from a prediction based on camera and object models. A modification in the non-maximum suppression method of thinning is also presented enabling the comparison of local maxima for any edge directions. Results with a synthetic image and with crops of a CBERS satellite images are presented showing an example with its application in road detection, provided that directions are previously known.

LEARNING A COMPLEX MOTOR SKILL FROM VIDEO and POINT-LIGHT DEMONSTRATIONS

The aim of this Study was to compare the learning process of a highly complex ballet skill following demonstrations of point light and video models 16 participants divided into point light and video groups (ns = 8) performed 160 trials of a pirouette equally distributed in blocks of 20 trials alternating periods of demonstration and practice with a retention test a day later Measures of head and trunk oscillation coordination d1 parity from the model and movement time difference showed similarities between video and point light groups ballet experts evaluations indicated superiority of performance in the video over the point light group Results are discussed in terms of the task requirements of dissociation between head and trunk rotations focusing on the hypothesis of sufficiency and higher relevance of information contained in biological motion models applied to learning of complex motor skills

Structural and Electronic Effects of Incorporating Mn in TiO2 Films Grown by Sputtering: Anatase versus Rutile

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

O processo aterosclerótico em artérias de coelhos submetidos a dieta suplementada com gema de ovo: modelo experimental de baixo custo

OBJETIVO: Verificar a aterogenicidade do modelo de hipercolesterolemia por suplementação alimentar com gema de ovo em coelhos e seu uso como modelo de aterosclerose experimental de baixo custo. MATERIAL E MÉTODO: Foram utilizados 14 coelhos divididos em dois grupos de sete animais: grupo controle (G1), que recebeu ração comercial ad libitum, e grupo tratado (G2), que foi alimentado com dieta suplementada com gema de ovo. Ambos os grupos foram alimentados por 90 dias. Foram realizadas dosagens do perfil lipídico dos animais nos momentos 0, 30, 60 e 90 dias. Ao término do período experimental, os animais foram submetidos a eutanásia e retirada da aorta e de seus ramos diretos para realização de estudo anatomopatológico. RESULTADOS Apenas no grupo G2 houve aumento significativo nos níveis de colesterol total e frações. Ao exame macroscópico, foram observadas estrias gordurosas no arco aórtico e aorta abdominal e, à microscopia, acúmulos lipídicos discretos na íntima da aorta abdominal, renal, carótida, transição toracoabdominal e femoral. Portanto, a dieta com gema de ovo provocou aterosclerose leve no animal de experimentação e alterações equivalentes àquelas provocadas pelo colesterol purificado comercial quando fornecido em baixa dosagem. Assim sendo, a gema de ovo pode ser utilizada como fonte de colesterol alimentar de baixo custo em modelos de aterosclerose experimental.

Non-additive genetic effects on weights and performance of a Brazilian Bos taurus x Bos indicus beef composite

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

Photoelastic Analysis of Biomechanical Behavior of Single and Multiple Fixed Partial Prostheses With Different Prosthetic Connections

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