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.

Um protocolo de comunicação multicast na camada de aplicação com Consciência de Localização

Internet applications such as media streaming, collaborative computing and massive multiplayer are on the rise,. This leads to the need for multicast communication, but unfortunately group communications support based on IP multicast has not been widely adopted due to a combination of technical and non-technical problems. Therefore, a number of different application-layer multicast schemes have been proposed in recent literature to overcome the drawbacks. In addition, these applications often behave as both providers and clients of services, being called peer-topeer applications, and where participants come and go very dynamically. Thus, servercentric architectures for membership management have well-known problems related to scalability and fault-tolerance, and even peer-to-peer traditional solutions need to have some mechanism that takes into account member's volatility. The idea of location awareness distributes the participants in the overlay network according to their proximity in the underlying network allowing a better performance. Given this context, this thesis proposes an application layer multicast protocol, called LAALM, which takes into account the actual network topology in the assembly process of the overlay network. The membership algorithm uses a new metric, IPXY, to provide location awareness through the processing of local information, and it was implemented using a distributed shared and bi-directional tree. The algorithm also has a sub-optimal heuristic to minimize the cost of membership process. The protocol has been evaluated in two ways. First, through an own simulator developed in this work, where we evaluated the quality of distribution tree by metrics such as outdegree and path length. Second, reallife scenarios were built in the ns-3 network simulator where we evaluated the network protocol performance by metrics such as stress, stretch, time to first packet and reconfiguration group time

Maximização da penetração da geração distribuída através do algoritmo de otimização nuvem de partículas

This work develops a methodology for defining the maximum active power being injected into predefined nodes in the studied distribution networks, considering the possibility of multiple accesses of generating units. The definition of these maximum values is obtained from an optimization study, in which further losses should not exceed those of the base case, i.e., without the presence of distributed generation. The restrictions on the loading of the branches and voltages of the system are respected. To face the problem it is proposed an algorithm, which is based on the numerical method called particle swarm optimization, applied to the study of AC conventional load flow and optimal load flow for maximizing the penetration of distributed generation. Alternatively, the Newton-Raphson method was incorporated to resolution of the load flow. The computer program is performed with the SCILAB software. The proposed algorithm is tested with the data from the IEEE network with 14 nodes and from another network, this one from the Rio Grande do Norte State, at a high voltage (69 kV), with 25 nodes. The algorithm defines allowed values of nominal active power of distributed generation, in percentage terms relative to the demand of the network, from reference values

Análise de desempenho da rede neural artificial do tipo multilayer perceptron na era multicore

Artificial neural networks are usually applied to solve complex problems. In problems with more complexity, by increasing the number of layers and neurons, it is possible to achieve greater functional efficiency. Nevertheless, this leads to a greater computational effort. The response time is an important factor in the decision to use neural networks in some systems. Many argue that the computational cost is higher in the training period. However, this phase is held only once. Once the network trained, it is necessary to use the existing computational resources efficiently. In the multicore era, the problem boils down to efficient use of all available processing cores. However, it is necessary to consider the overhead of parallel computing. In this sense, this paper proposes a modular structure that proved to be more suitable for parallel implementations. It is proposed to parallelize the feedforward process of an RNA-type MLP, implemented with OpenMP on a shared memory computer architecture. The research consistes on testing and analizing execution times. Speedup, efficiency and parallel scalability are analyzed. In the proposed approach, by reducing the number of connections between remote neurons, the response time of the network decreases and, consequently, so does the total execution time. The time required for communication and synchronization is directly linked to the number of remote neurons in the network, and so it is necessary to investigate which one is the best distribution of remote connections

Atmospheric Models Applied to DGPS and RTK Network in Brazil: Preliminary Results

Several positioning techniques have been developed to explore the GPS capability to provide precise coordinates in real time. However, a significant problem to all techniques is the ionosphere effect and the troposphere refraction. Recent researches in Brazil, at São Paulo State University (UNESP), have been trying to tackle these problems. In relation to the ionosphere effects it has been developed a model named Mod_Ion. Concerning tropospheric refraction, a model of Numerical Weather Prediction(NWP) has been used to compute the zenithal tropospheric delay (ZTD). These two models have been integrated with two positioning methods: DGPS (Differential GPS) and network RTK (Real Time Kinematic). These two positioning techniques are being investigated at São Paulo State University (UNESP), Brazil. The in-house DGPS software was already finalized and has provided very good results. The network RTK software is still under development. Therefore, only preliminary results from this method using the VRS (Virtual Reference Station) concept are presented.

A neural network approach for robust nonlinear parameter estimation in presence of unknown-but-bounded errors

Systems based on artificial neural networks have high computational rates due to the use of a massive number of simple processing elements and the high degree of connectivity between these elements. This paper presents a novel approach to solve robust parameter estimation problem for nonlinear model with unknown-but-bounded errors and uncertainties. More specifically, a modified Hopfield network is developed and its internal parameters are computed using the valid-subspace technique. These parameters guarantee the network convergence to the equilibrium points. A solution for the robust estimation problem with unknown-but-bounded error corresponds to an equilibrium point of the network. Simulation results are presented as an illustration of the proposed approach. Copyright (C) 2000 IFAC.

A modified Hopfield model for solving the N-Queens problem

A neural network model for solving the N-Queens problem is presented in this paper. More specifically, a modified Hopfield network is developed and its internal parameters are computed using the valid-subspace technique. These parameters guarantee the convergence of the network to the equilibrium points. The network is shown to be completely stable and globally convergent to the solutions of the N-Queens problem. Simulation results are presented to validate the proposed approach.

An efficient Hopfield network to solve economic dispatch problems with transmission system representation

Economic dispatch (ED) problems have recently been solved by artificial neural network approaches. Systems based on artificial neural networks have high computational rates due to the use of a massive number of simple processing elements and the high degree of connectivity between these elements. The ability of neural networks to realize some complex non-linear function makes them attractive for system optimization. All ED models solved by neural approaches described in the literature fail to represent the transmission system. Therefore, such procedures may calculate dispatch policies, which do not take into account important active power constraints. Another drawback pointed out in the literature is that some of the neural approaches fail to converge efficiently toward feasible equilibrium points. A modified Hopfield approach designed to solve ED problems with transmission system representation is presented in this paper. The transmission system is represented through linear load flow equations and constraints on active power flows. The internal parameters of such modified Hopfield networks are computed using the valid-subspace technique. These parameters guarantee the network convergence to feasible equilibrium points, which represent the solution for the ED problem. Simulation results and a sensitivity analysis involving IEEE 14-bus test system are presented to illustrate efficiency of the proposed approach. (C) 2004 Elsevier Ltd. All rights reserved.

Security constrained optimal active power flow via network model and interior point method

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

Hybrid evolutionary algorithm for the Capacitated Centered Clustering Problem

The Capacitated Centered Clustering Problem (CCCP) consists of defining a set of p groups with minimum dissimilarity on a network with n points. Demand values are associated with each point and each group has a demand capacity. The problem is well known to be NP-hard and has many practical applications. In this paper, the hybrid method Clustering Search (CS) is implemented to solve the CCCP. This method identifies promising regions of the search space by generating solutions with a metaheuristic, such as Genetic Algorithm, and clustering them into clusters that are then explored further with local search heuristics. Computational results considering instances available in the literature are presented to demonstrate the efficacy of CS. (C) 2010 Elsevier Ltd. All rights reserved.

Allocation of protective devices in distribution circuits using nonlinear programming models and genetic algorithms

The optimized allocation of protective devices in strategic points of the circuit improves the quality of the energy supply and the system reliability index. This paper presents a nonlinear integer programming (NLIP) model with binary variables, to deal with the problem of protective device allocation in the main feeder and all branches of an overhead distribution circuit, to improve the reliability index and to provide customers with service of high quality and reliability. The constraints considered in the problem take into account technical and economical limitations, such as coordination problems of serial protective devices, available equipment, the importance of the feeder and the circuit topology. The use of genetic algorithms (GAs) is proposed to solve this problem, using a binary representation that does (1) or does not (0) show allocation of protective devices (reclosers, sectionalizers and fuses) in predefined points of the circuit. Results are presented for a real circuit (134 busses), with the possibility of protective device allocation in 29 points. Also the ability of the algorithm in finding good solutions while improving significantly the indicators of reliability is shown. (C) 2003 Elsevier B.V. All rights reserved.

Interior point algorithm for linear programming used in transmission network synthesis

This article presents a well-known interior point method (IPM) used to solve problems of linear programming that appear as sub-problems in the solution of the long-term transmission network expansion planning problem. The linear programming problem appears when the transportation model is used, and when there is the intention to solve the planning problem using a constructive heuristic algorithm (CHA), ora branch-and-bound algorithm. This paper shows the application of the IPM in a CHA. A good performance of the IPM was obtained, and then it can be used as tool inside algorithm, used to solve the planning problem. Illustrative tests are shown, using electrical systems known in the specialized literature. (C) 2005 Elsevier B.V. All rights reserved.

Transmission system expansion planning by an extended genetic algorithm

The paper presents an extended genetic algorithm for solving the optimal transmission network expansion planning problem. Two main improvements have been introduced in the genetic algorithm: (a) initial population obtained by conventional optimisation based methods; (b) mutation approach inspired in the simulated annealing technique, the proposed method is general in the sense that it does not assume any particular property of the problem being solved, such as linearity or convexity. Excellent performance is reported in the test results section of the paper for a difficult large-scale real-life problem: a substantial reduction in investment costs has been obtained with regard to previous solutions obtained via conventional optimisation methods and simulated annealing algorithms; statistical comparison procedures have been employed in benchmarking different versions of the genetic algorithm and simulated annealing methods.

Electric load forecasting using a fuzzy ART&ARTMAP neural network

This work presents a neural network based on the ART architecture ( adaptive resonance theory), named fuzzy ART& ARTMAP neural network, applied to the electric load-forecasting problem. The neural networks based on the ARTarchitecture have two fundamental characteristics that are extremely important for the network performance ( stability and plasticity), which allow the implementation of continuous training. The fuzzy ART& ARTMAP neural network aims to reduce the imprecision of the forecasting results by a mechanism that separate the analog and binary data, processing them separately. Therefore, this represents a reduction on the processing time and improved quality of the results, when compared to the Back-Propagation neural network, and better to the classical forecasting techniques (ARIMA of Box and Jenkins methods). Finished the training, the fuzzy ART& ARTMAP neural network is capable to forecast electrical loads 24 h in advance. To validate the methodology, data from a Brazilian electric company is used. (C) 2004 Elsevier B.V. All rights reserved.

Detection and classification of voltage disturbances using a Fuzzy-ARTMAP-wavelet network

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