Aplicação de Séries de Fourier para análise de retornos de ativos financeiros

As Séries de Fourier permitiram o advento de tecnologias aplicadas em diversas áreas do conhecimento ao proporcionar uma melhor compreensão do comportamento de séries de dados, decompondo-as em diversas harmônicas independentes. Poucos estudos foram encontrados aplicando tal ferramenta matemática para analisar séries de retornos de títulos financeiros. Este trabalho pesquisou - através de análise discreta de Fourier – o comportamento dos retornos de quatro ativos: Dow Jones, Ibovespa, e duas ações da Bolsa brasileira. Cotações mensais, diárias e de dez minutos (intraday) foram utilizadas. Além do espectro estático, registrou-se também a dinâmica dos coeficientes das harmônicas de Fourier. Os resultados indicaram a validade da forma fraca de eficiência de mercado para o curto prazo, dado que as harmônicas de período curto apresentaram comportamento aleatório. Por outro lado, o comportamento das harmônicas de longo prazo (período longo) apresentou maior correlação serial, sugerindo que no longo prazo o mercado não se comporta de acordo com o modelo Random Walk. Uma aplicação derivada deste estudo é a determinação do número de fatores necessários para uma modelagem via Precificação por Arbitragem (APT), dado um nível de correlação desejado.

The importance of common cyclical features in VAR analysis: a Monte-Carlo study

Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical features for estimates and forecasts based on vector autoregressive models. First, we show that the ìbestî empirical model developed without common cycle restrictions need not nest the ìbestî model developed with those restrictions. This is due to possible differences in the lag-lengths chosen by model selection criteria for the two alternative models. Second, we show that the costs of ignoring common cyclical features in vector autoregressive modelling can be high, both in terms of forecast accuracy and efficient estimation of variance decomposition coefficients. Third, we find that the Hannan-Quinn criterion performs best among model selection criteria in simultaneously selecting the lag-length and rank of vector autoregressions.

Um estudo sobre a transformada rápida de Fourier e aplicações

Este trabalho é uma síntese da transformada de Fourier na forma discreta e uma de suas principais aplicações à computação gráfica, a restauração de imagens corrompidas por movimento, seja do aparelho óptico ou da própria imagem.

Estimation of random coefficients logit demand models: an application to the Brazilian fixed income fund market

Estimation of demand and supply in differentiated products markets is a central issue in Empirical Industrial Organization and has been used to study the effects of taxes, merges, introduction of new goods, market power, among others. Logit and Random Coefficients Logit are examples of demand models used to study these effects. For the supply side it is generally supposed a Nash equilibrium in prices. This work presents a detailed discussion of these models of demand and supply as well as the procedure for estimation. Lastly, is made an application to the Brazilian fixed income fund market.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Immigration as a strategic vector for the socio-economic and institutional development of Brazil

Brazil has demonstrated resilience in relation to the recent economic crises and has an auspicious development potential projected for the coming decades, which, linked to the globalization process, provides important opportunities for our people. Gradually we have established ourselves as one of the leading nations in the world and we have become a reference in questions linked to economic equilibrium, development, energy, agriculture and the environment. This international recognition favors the exchange of experiences with other cultures, governments and organizations, bringing with it the possibility of stimulating a dynamic process of development and innovation.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Dispersões sólidas de sinvastatina: preparação, caracterização, no estado sólido utilizando técnicas emergentes e estudo de estabilidade

This thesis aimed to assess the increase in solubility of simvastatin (SINV) with solid dispersions using techniques such as kneading (MA), co-solvent evaporation (ES), melting carrier (FC) and spray dryer (SD). Soluplus (SOL), PEG 6000 (PEG), PVP K-30 (PVP) e sodium lauryl sulphate (LSS) were used as carriers. The solid dispersions containing PEG [PEG-2(SD)], Soluplus [SOL-2(MA)] and sodium lauryl sulphate [LSS-2(ES)] were presented with a greater increase in solubility (5.02, 5.60 and 5.43 times respectively); analyses by ANOVA between the three groups did not present significant difference (p<0.05). In the phase solubility study, the calculation of the Gibbs free energy (ΔG) revealed that the spontaneity of solubilisation of SINV occurred in the order SOL>PEG >PVP 75%>LSS, always 80%. The phase diagrams of PEG and LSS presented solubilization stoichiometry of type 1:1 (type AL). The diagrams with PVP and SOL tend to 1:2 stoichiometry (type AL + AP). The stability coefficients (Ks) of the phase diagrams revealed that the most stable reactions occurred with LSS and PVP. The solid dispersions were characterized by Fourier transform infrared (FTIR), differential scanning calorimetry (DSC), scanning electron microscopy (SEM), particle size distribution (PSD), near-infrared spectroscopy imaging (NIR-CI) and X-ray diffraction of the powder using the Topas software (PDRX-TOPAS). The solid dispersion PEG-2(SD) presented the greatest homogeneity and the lowest degree of crystallinity (18.2%). The accelerated stability study revealed that the solid dispersions are less stable than SINV, with PEG-2(SD) being the least stable, confirmed by FTIR and DSC. The analyses by PDRX-TOPAS revealed the amorphous character of the dispersions and the mechanism of increasing solubility

Análise e classificação de imagens de lesões da pele por atributos de cor, forma e textura utilizando máquina de vetor de suporte

The skin cancer is the most common of all cancers and the increase of its incidence must, in part, caused by the behavior of the people in relation to the exposition to the sun. In Brazil, the non-melanoma skin cancer is the most incident in the majority of the regions. The dermatoscopy and videodermatoscopy are the main types of examinations for the diagnosis of dermatological illnesses of the skin. The field that involves the use of computational tools to help or follow medical diagnosis in dermatological injuries is seen as very recent. Some methods had been proposed for automatic classification of pathology of the skin using images. The present work has the objective to present a new intelligent methodology for analysis and classification of skin cancer images, based on the techniques of digital processing of images for extraction of color characteristics, forms and texture, using Wavelet Packet Transform (WPT) and learning techniques called Support Vector Machine (SVM). The Wavelet Packet Transform is applied for extraction of texture characteristics in the images. The WPT consists of a set of base functions that represents the image in different bands of frequency, each one with distinct resolutions corresponding to each scale. Moreover, the characteristics of color of the injury are also computed that are dependants of a visual context, influenced for the existing colors in its surround, and the attributes of form through the Fourier describers. The Support Vector Machine is used for the classification task, which is based on the minimization principles of the structural risk, coming from the statistical learning theory. The SVM has the objective to construct optimum hyperplanes that represent the separation between classes. The generated hyperplane is determined by a subset of the classes, called support vectors. For the used database in this work, the results had revealed a good performance getting a global rightness of 92,73% for melanoma, and 86% for non-melanoma and benign injuries. The extracted describers and the SVM classifier became a method capable to recognize and to classify the analyzed skin injuries

Sistema inteligente para diagnóstico de patologias na laringe utilizando máquinas de vetor de suporte

The human voice is an important communication tool and any disorder of the voice can have profound implications for social and professional life of an individual. Techniques of digital signal processing have been used by acoustic analysis of vocal disorders caused by pathologies in the larynx, due to its simplicity and noninvasive nature. This work deals with the acoustic analysis of voice signals affected by pathologies in the larynx, specifically, edema, and nodules on the vocal folds. The purpose of this work is to develop a classification system of voices to help pre-diagnosis of pathologies in the larynx, as well as monitoring pharmacological treatments and after surgery. Linear Prediction Coefficients (LPC), Mel Frequency cepstral coefficients (MFCC) and the coefficients obtained through the Wavelet Packet Transform (WPT) are applied to extract relevant characteristics of the voice signal. For the classification task is used the Support Vector Machine (SVM), which aims to build optimal hyperplanes that maximize the margin of separation between the classes involved. The hyperplane generated is determined by the support vectors, which are subsets of points in these classes. According to the database used in this work, the results showed a good performance, with a hit rate of 98.46% for classification of normal and pathological voices in general, and 98.75% in the classification of diseases together: edema and nodules

Análise de superfícies seletivas de freqüência para aplicações em ondas milimétricas

This work consists in the development of a theoretical and numerical analysis for frequency selective surfaces (FSS) structures with conducting patch elements, such as rectangular patches, thin dipoles and cross dipoles, on anisotropic dielectric substrates. The analysis is developed for millimeter wave band applications. The analytical formulation is developed in the spectral domain, by using a rigorous technique known as equivalent transmission line method, or immitance approach. The numerical analysis is completed through the use of the Galerkin's technique in the Fourier transform domain, using entire-domain basis functions. In the last decades, several sophisticated analytical techniques have been developed for FSS structure applications. Within these applications, it can be emphasized the use of FSS structures on reflecting antennas and bandpass radomes. In the analysis, the scattered fields of the FSS geometry are related to the surface induced currents on the conducting patches. After the formulation of the scattering problem, the numerical solution is obtained by using the moment method. The choice of the basis functions plays a very important role in the numerical efficiency of the numerical method, once they should provide a very good approximation to the real current distributions on the FSS analyzed structure. Thereafter, the dyadic Green's function components are obtained in order to evaluate the basis functions unknown coefficients. To accomplish that, the Galerkin's numerical technique is used. Completing the formulation, the incident fields are determined through the incident potential, and as a consequence the FSS transmission and reflection characteristics are determined, as function of the resonant frequency and structural parameters. The main objective of this work was to analyze FSS structures with conducting patch elements, such as thin dipoles, cross dipoles and rectangular patches, on anisotropic dielectric substrates, for high frequency applications. Therefore, numerical results for the FSS structure main characteristics were obtained in the millimeter wave bando Some of these FSS characteristics are the resonant

Análise de superfícies seletivas de freqüência através do método dos potenciais vetorias de Hertz

This work presents a theoretical and numerical analysis of Frequency Selective Surfaces (FSS) with elements as rectangular patch, thin dipole and crossed dipole mounted on uniaxial anisotropic dielectric substrate layers for orientations of the optical axis along x, y and z directions. The analysis of these structures is accomplished by combination of the Hertz vector potentials method and the Galerkin's technique, in the Fourier transform-domain, using entire¬domain basis functions. This study consists in the use of one more technique for analysis of FSS on anisotropic dielectric substrate. And presents as the main contribution the introduction of one more project parameter to determinate the transmission and reflection characteristics of periodic structures, from the use of anisotropic dielectric with orientations of the crystal optical axis along x, y and z directions. To validate this analysis, the numerical results of this work are compared to those obtained by other authors, for FSS structures on anisotropic and isotropic dielectric substrates. Also are compared experimental results and the numerical correspondent ones for the FSS isotropic case. The technique proposed in this work is accurate and efficient. ln a second moment, curves are presented for the transmission and reflection characteristics of the FSS structures using conducting patch elements mounted on uniaxial anisotropic dielectric substrate layers with optical axis oriented along x, y and z directions. From analysis of these curves, the performance of the considered FSS structures as function of the optical axis orientation is described

Resonances and subharmonic bifurcations of large amplitude periodic orbits of planar polynomial vector fields

In this work are studied periodic perturbations, depending on two parameters, of planar polynomial vector fields having an annulus of large amplitude periodic orbits, which accumulate on a symmetric infinite heteroclinic cycle. Such periodic orbits and the heteroclinic trajectory can be seen only by the global consideration of the polynomial vector fields on the whole plane, and not by their restriction to any compact set. The global study involving infinity is performed via the Poincare Compactification. It is shown that, for certain types of periodic perturbations, one can seek, in a neighborhood of the origin in the parameter plane, curves C-(m) of subharmonic bifurcations, for which the periodically perturbed system has subharmonics of order m, for any integer m.

Periodic perturbations of quadratic planar polynomial vector fields

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