Modelamento estocástico da dinâmica do livro de ordens: uma aplicação ao mercado brasileiro

O presente trabalho trata da importância do modelamento da dinâmica do livro de ordens visando a compreensão dessa microestrutura de mercado. Para tanto, objetiva aplicar as técnicas de modelamento do livro de ofertas utilizando o modelo estocástico proposto por Cont, Stoikov e Talreja (2010) ao mercado acionário brasileiro. Uma vez aplicado o modelo, analisamos os resultados obtidos sob a ótica de outros estudos empíricos, como Bouchaud et al. (2002). Após a estimação e análise dos resultados foram realizadas simulações para constatar se os parâmetros encontrados refletem a dinâmica do mercado local, para diferentes cenários de normalização do tamanho das ordens. Por fim, com a análise dos resultados encontrados, foi possível concluir, com algumas ressalvas, que o modelo proposto é válido para o mercado de ações brasileiro, assim como é apresentado o impacto da liquidez dos ativos na comparação aos parâmetros encontrados em outros mercados internacionais.

Análise do desempenho de um queimador infravermelho funcionando com gás liquefeito de petróleo e glicerina

The use of infrared burners in industrial applications has many advantages in terms of technical-operational, for example, uniformity in the heat supply in the form of radiation and convection, with greater control of emissions due to the passage of exhaust gases through a macro-porous ceramic bed. This paper presents an infrared burner commercial, which was adapted an experimental ejector, capable of promoting a mixture of liquefied petroleum gas (LPG) and glycerin. By varying the percentage of dual-fuel, it was evaluated the performance of the infrared burner by performing an energy balance and atmospheric emissions. It was introduced a temperature controller with thermocouple modulating two-stage (low heat / high heat), using solenoid valves for each fuel. The infrared burner has been tested and tests by varying the amount of glycerin inserted by a gravity feed system. The method of thermodynamic analysis to estimate the load was used an aluminum plate located at the exit of combustion gases and the distribution of temperatures measured by a data acquisition system which recorded real-time measurements of the thermocouples attached. The burner had a stable combustion at levels of 15, 20 and 25% of adding glycerin in mass ratio of LPG gas, increasing the supply of heat to the plate. According to data obtained showed that there was an improvement in the efficiency of the 1st Law of infrared burner with increasing addition of glycerin. The emission levels of greenhouse gases produced by combustion (CO, NOx, SO2 and HC) met the environmental limits set by resolution No. 382/2006 of CONAMA

Modelo Estocástico para bloqueio de poros e redução de permeabilidade

Modeling transport of particulate suspensions in porous media is essential for understanding various processes of industrial and scientific interest. During these processes, particles are retained due to mechanisms like size exclusion (straining), adsorption, sedimentation and diffusion. In this thesis, a mathematical model is proposed and analytical solutions are obtained. The obtained analytic solutions for the proposed model, which takes pore and particle size distributions into account, were applied to predict the particle retention, pore blocking and permeability reduction during dead-end microfiltration in membranes. Various scenarios, considering different particle and pore size distributions were studied. The obtained results showed that pore blocking and permeability reduction are highly influenced by the initial pore and particle size distributions. This feature was observed even when different initial pore and particle size distributions with the same average pore size and injected particle size were considered. Finally, a mathematical model for predicting equivalent permeability in porous media during particle retention (and pore blocking) is proposed and the obtained solutions were applied to study permeability decline in different scenarios

Estudo das propriedades críticas do processo epidêmico por par com difusão de pares

The pair contact process - PCP is a nonequilibrium stochastic model which, like the basic contact process - CP, exhibits a phase transition to an absorbing state. While the absorbing state CP corresponds to a unique configuration (empty lattice), the PCP process infinitely many. Numerical and theoretical studies, nevertheless, indicate that the PCP belongs to the same universality class as the CP (direct percolation class), but with anomalies in the critical spreading dynamics. An infinite number of absorbing configurations arise in the PCP because all process (creation and annihilation) require a nearest-neighbor pair of particles. The diffusive pair contact process - PCPD) was proposed by Grassberger in 1982. But the interest in the problem follows its rediscovery by the Langevin description. On the basis of numerical results and renormalization group arguments, Carlon, Henkel and Schollwöck (2001), suggested that certain critical exponents in the PCPD had values similar to those of the party-conserving - PC class. On the other hand, Hinrichsen (2001), reported simulation results inconsistent with the PC class, and proposed that the PCPD belongs to a new universality class. The controversy regarding the universality of the PCPD remains unresolved. In the PCPD, a nearest-neighbor pair of particles is necessary for the process of creation and annihilation, but the particles to diffuse individually. In this work we study the PCPD with diffusion of pair, in which isolated particles cannot move; a nearest-neighbor pair diffuses as a unit. Using quasistationary simulation, we determined with good precision the critical point and critical exponents for three values of the diffusive probability: D=0.5 and D=0.1. For D=0.5: PC=0.89007(3), β/v=0.252(9), z=1.573(1), =1.10(2), m=1.1758(24). For D=0.1: PC=0.9172(1), β/v=0.252(9), z=1.579(11), =1.11(4), m=1.173(4)

Heritabilities and genetic correlations for reproductive traits in an F2 reciprocal cross chicken population

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

Remoção de matéria orgânica, de nutrientes e de coliformes no processo anaeróbio em dois estágios (reator compartimentado seguido de reator UASB) para o tratamento de águas residuárias de suinocultura

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

Effects of Aspergillus spp. exogenous fibrolytic enzymes on in vitro fermentation of tropical forages

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

Um sistema para estimação da vazão de gás de poços produzindo por Plunger Lift para vaso separador de teste em plataformas de petróleo

This work intends to analyze the behavior of the gas flow of plunger lift wells producing to well testing separators in offshore production platforms to aim a technical procedure to estimate the gas flow during the slug production period. The motivation for this work appeared from the expectation of some wells equipped with plunger lift method by PETROBRAS in Ubarana sea field located at Rio Grande do Norte State coast where the produced fluids measurement is made in well testing separators at the platform. The oil artificial lift method called plunger lift is used when the available energy of the reservoir is not high enough to overcome all the necessary load losses to lift the oil from the bottom of the well to the surface continuously. This method consists, basically, in one free piston acting as a mechanical interface between the formation gas and the produced liquids, greatly increasing the well s lifting efficiency. A pneumatic control valve is mounted at the flow line to control the cycles. When this valve opens, the plunger starts to move from the bottom to the surface of the well lifting all the oil and gas that are above it until to reach the well test separator where the fluids are measured. The well test separator is used to measure all the volumes produced by the well during a certain period of time called production test. In most cases, the separators are designed to measure stabilized flow, in other words, reasonably constant flow by the use of level and pressure electronic controllers (PLC) and by assumption of a steady pressure inside the separator. With plunger lift wells the liquid and gas flow at the surface are cyclical and unstable what causes the appearance of slugs inside the separator, mainly in the gas phase, because introduce significant errors in the measurement system (e.g.: overrange error). The flow gas analysis proposed in this work is based on two mathematical models used together: i) a plunger lift well model proposed by Baruzzi [1] with later modifications made by Bolonhini [2] to built a plunger lift simulator; ii) a two-phase separator model (gas + liquid) based from a three-phase separator model (gas + oil + water) proposed by Nunes [3]. Based on the models above and with field data collected from the well test separator of PUB-02 platform (Ubarana sea field) it was possible to demonstrate that the output gas flow of the separator can be estimate, with a reasonable precision, from the control signal of the Pressure Control Valve (PCV). Several models of the System Identification Toolbox from MATLAB® were analyzed to evaluate which one better fit to the data collected from the field. For validation of the models, it was used the AIC criterion, as well as a variant of the cross validation criterion. The ARX model performance was the best one to fit to the data and, this way, we decided to evaluate a recursive algorithm (RARX) also with real time data. The results were quite promising that indicating the viability to estimate the output gas flow rate from a plunger lift well producing to a well test separator, with the built-in information of the control signal to the PCV

Genetic and environmental effects on sexual precocity traits in Nellore cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Simulação da transferência de calor em amostras aquecidas por plasma

The processing of materials through plasma has been growing enough in the last times in several technological applications, more specifically in surfaces treatment. That growth is due, mainly, to the great applicability of plasmas as energy source, where it assumes behavior thermal, chemical and/or physical. On the other hand, the multiplicity of simultaneous physical effects (thermal, chemical and physical interactions) present in plasmas increases the complexity for understanding their interaction with solids. In that sense, as an initial step for the development of that subject, the present work treats of the computational simulation of the heating and cooling processes of steel and copper samples immersed in a plasma atmosphere, by considering two experimental geometric configurations: hollow and plane cathode. In order to reach such goal, three computational models were developed in Fortran 90 language: an one-dimensional transient model (1D, t), a two-dimensional transient model (2D, t) and a two-dimensional transient model (2D, t) which take into account the presence of a sample holder in the experimental assembly. The models were developed based on the finite volume method and, for the two-dimensional configurations, the effect of hollow cathode on the sample was considered as a lateral external heat source. The main results obtained with the three computational models, as temperature distribution and thermal gradients in the samples and in the holder, were compared with those developed by the Laboratory of Plasma, LabPlasma/UFRN, and with experiments available in the literature. The behavior showed indicates the validity of the developed codes and illustrate the need of the use of such computational tool in that process type, due to the great easiness of obtaining thermal information of interest

Aujstamento de redes GPS em conformidade com as exigências da Lei 10.267/2001

In Brazil, there have been several GPS applications and with the introduction of the Law 10.267/2001 that among other dispositions, deals with georeferencing of the rural parcels. However, most commercial softwares of processing and adjustment of GPS data don't let users to evaluate their results in a reliable way. For example, the constraints are normally used as absolute, which provides results with very optimists precisions. The adoption of additional analyses and the implementation of softwares can reduce these kinds of problems. Thus, a software for adjustment of GPS networks was developed, aiming at assisting the requirements of the Law 10.267/2001 in a reliable way. In this context, in this work it is analyzed the adjustments of GPS networks, by using absolute and relative constraints. In the latter, the adjustments were accomplished considering and not considering the correlations among the coordinate positions.

Understanding the Crystallization Mechanism of a Wollastonite Base Glass Using Isoconversional, IKP Methods and Master Plots

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.

SUGARCANE BAGASSE PULPING and BLEACHING: THERMAL and CHEMICAL CHARACTERIZATION

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

Uma análise experimental de algoritmos exatos aplicados ao problema da árvore geradora multiobjetivo

The Multiobjective Spanning Tree Problem is NP-hard and models applications in several areas. This research presents an experimental analysis of different strategies used in the literature to develop exact algorithms to solve the problem. Initially, the algorithms are classified according to the approaches used to solve the problem. Features of two or more approaches can be found in some of those algorithms. The approaches investigated here are: the two-stage method, branch-and-bound, k-best and the preference-based approach. The main contribution of this research lies in the fact that no research was presented to date reporting a systematic experimental analysis of exact algorithms for the Multiobjective Spanning Tree Problem. Therefore, this work can be a basis for other research that deal with the same problem. The computational experiments compare the performance of algorithms regarding processing time, efficiency based on the number of objectives and number of solutions found in a controlled time interval. The analysis of the algorithms was performed for known instances of the problem, as well as instances obtained from a generator commonly used in the literature