Análise da sobre-reação e sub-reação nos ativos de primeira e segunda lina do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Teoria de carteiras e a alocação de parques eólicos offshore

The consumption of energy on the planet is currently based on fossil fuels. They are responsible for adverse effects on the environment. Renewables propose solutions for this scenario, but must face issues related to the capacity of the power supply. Wind energy offshore emerging as a promising alternative. The speed and stability are greater winds over oceans, but the variability of these may cause inconvenience to the generation of electric power fluctuations. To reduce this, a combination of wind farms geographically distributed was proposed. The greater the distance between them, the lower the correlation between the wind velocity, increasing the likelihood that together achieve more stable power system with less fluctuations in power generation. The efficient use of production capacity of the wind park however, depends on their distribution in marine environments. The objective of this research was to analyze the optimal allocation of wind farms offshore on the east coast of the U.S. by Modern Portfolio Theory. The Modern Portfolio Theory was used so that the process of building portfolios of wind energy offshore contemplate the particularity of intermittency of wind, through calculations of return and risk of the production of wind farms. The research was conducted with 25.934 observations of energy produced by wind farms 11 hypothetical offshore, from the installation of 01 simulated ocean turbine with a capacity of 5 MW. The data show hourly time resolution and covers the period between January 1, 1998 until December 31, 2002. Through the Matlab R software, six were calculated minimum variance portfolios, each for a period of time distinct. Given the inequality of the variability of wind over time, set up four strategies rebalancing to evaluate the performance of the related portfolios, which enabled us to identify the most beneficial to the stability of the wind energy production offshore. The results showed that the production of wind energy for 1998, 1999, 2000 and 2001 should be considered by the portfolio weights calculated for the same periods, respectively. Energy data for 2002 should use the weights derived from the portfolio calculated in the previous time period. Finally, the production of wind energy in the period 1998-2002 should also be weighted by 1/11. It follows therefore that the portfolios found failed to show reduced levels of variability when compared to the individual production of wind farms hypothetical offshore

Processo de alimentação do Sistema de Informação do HiperDia: Estudo de Caso no município de Natal/RN

Although the records indicate the involvement of the City Christmas in the feeding system HiperDia, a survey conducted by the Health Ministry in 2004 found that the number of entries made in Natal was well below estimate. In order to understand the functioning of HiperDia, we performed this study to analyze the actions taken by the professionals involved in power system HiperDia in Natal / RN. The research has developed into a quantitative perspective, with the design of exploratory case study conducted in the health services that integrate the various levels of the organization who are directly involved with the process of system power HiperDia in Natal / RN , represented here by SMS, health districts and the Family Health Units in the period from August to October 2008.Study participants were 110 professionals, including nurses, physicians, operators, administrator and a coordinator. The survey results showed that feeding HiperDia in Natal was maintained mainly by health professionals and operators. Activities include carrying out the state registration, monitoring, and updating of data transfer routines. They report that the difficulties in the process of feeding data are related to the work of teams and / or lack of structure of the Program of Hypertension and Diabetes (HA and DM), the discontinuity of federal investments in improving the HiperDia and lack of training. We can see then that the process of feeding system on Christmas HiperDia therefore is developing the three levels (SMS, districts and health units), however is not matching the expectations established by MS, considering that the gaps the flow of information are undermining the end result of this process

Uma abordagem híbrida para o problema de seleção de fornecedores em cadeia de suprimentos

This work presents a hybrid approach for the supplier selection problem in Supply Chain Management. We joined decision-making philosophy by researchers from business school and researchers from engineering in order to deal with the problem more extensively. We utilized traditional multicriteria decision-making methods, like AHP and TOPSIS, in order to evaluate alternatives according decision maker s preferences. The both techiniques were modeled by using definitions from the Fuzzy Sets Theory to deal with imprecise data. Additionally, we proposed a multiobjetive GRASP algorithm to perform an order allocation procedure between all pre-selected alternatives. These alternatives must to be pre-qualified on the basis of the AHP and TOPSIS methods before entering the LCR. Our allocation procedure has presented low CPU times for five pseudorandom instances, containing up to 1000 alternatives, as well as good values for all considered objectives. This way, we consider the proposed model as appropriate to solve the supplier selection problem in the SCM context. It can be used to help decision makers in reducing lead times, cost and risks in their supply chain. The proposed model can also improve firm s efficiency in relation to business strategies, according decision makers, even when a large number of alternatives must be considered, differently from classical models in purchasing literature

Controlador em modo dual adaptativo robusto - DMARC

The so-called Dual Mode Adaptive Robust Control (DMARC) is proposed. The DMARC is a control strategy which interpolates the Model Reference Adaptive Control (MRAC) and the Variable Structure Model Reference Adaptive Control (VS-MRAC). The main idea is to incorporate the transient performance advantages of the VS-MRAC controller with the smoothness control signal in steady-state of the MRAC controller. Two basic algorithms are developed for the DMARC controller. In the first algorithm the controller's adjustment is made, in real time, through the variation of a parameter in the adaptation law. In the second algorithm the control law is generated, using fuzzy logic with Takagi-Sugeno s model, to obtain a combination of the MRAC and VS-MRAC control laws. In both cases, the combined control structure is shown to be robust to the parametric uncertainties and external disturbances, with a fast transient performance, practically without oscillations, and a smoothness steady-state control signal

Técnicas de simplificação de redes e otimização multiobjetivo para análise de variações de tensão em regime permanente provocadas por parques eólicos integrados ao sistema elétrico

This study presents a description of the development model of a representation of simplified grid applied in hybrid load flow for calculation of the voltage variations in a steady-state caused by the wind farm on power system. Also, it proposes an optimal load-flow able to control power factor on connection bar and to minimize the loss. The analysis process on system, led by the wind producer, it has as base given technician supplied by the grid. So, the propose model to the simplification of the grid that allows the necessity of some knowledge only about the data referring the internal network, that is, the part of the network that interests in the analysis. In this way, it is intended to supply forms for the auxiliary in the systematization of the relations between the sector agents. The model for simplified network proposed identifies the internal network, external network and the buses of boulders from a study of vulnerability of the network, attributing them floating liquid powers attributing slack models. It was opted to apply the presented model in Newton-Raphson and a hybrid load flow, composed by The Gauss-Seidel method Zbarra and Summation Power. Finally, presents the results obtained to a developed computational environment of SCILAB and FORTRAN, with their respective analysis and conclusion, comparing them with the ANAREDE

Dedução de Funções de Alívio para Priorização de Variantes de Chaveamento Adequadas à Eliminação de Sobrecargas

Eventually, violations of voltage limits at buses or admissible loadings of transmission lines and/or power transformers may occur by the power system operation. If violations are detected in the supervision process, corrective measures may be carried out in order to eliminate them or to reduce their intensity. Loading restriction is an extreme solution and should only be adopted as the last control action. Previous researches have shown that it is possible to control constraints in electrical systems by changing the network topology, using the technique named Corrective Switching, which requires no additional costs. In previous works, the proposed calculations for verifying the ability of a switching variant in eliminating an overload in a specific branch were based on network reduction or heuristic analysis. The purpose of this work is to develop analytical derivation of linear equations to estimate current changes in a specific branch (due to switching measures) by means of few calculations. For bus-bar coupling, derivations will be based on short-circuit theory and Relief Function methodology. For bus-bar splitting, a Relief Function will be derived based on a technique of equivalent circuit. Although systems of linear equations are used to substantiate deductions, its formal solution for each variant, in real time does not become necessary. A priority list of promising variants is then assigned for final check by an exact load flow calculation and a transient analysis using ATP Alternative Transient Program. At last, results obtained by simulation in networks with different features will be presented

Controle Adaptativo Robusto para Filtros Ativos de Potência Paralelo

Conventional control strategies used in shunt active power filters (SAPF) employs real-time instantaneous harmonic detection schemes which is usually implements with digital filters. This increase the number of current sensors on the filter structure which results in high costs. Furthermore, these detection schemes introduce time delays which can deteriorate the harmonic compensation performance. Differently from the conventional control schemes, this paper proposes a non-standard control strategy which indirectly regulates the phase currents of the power mains. The reference currents of system are generated by the dc-link voltage controller and is based on the active power balance of SAPF system. The reference currents are aligned to the phase angle of the power mains voltage vector which is obtained by using a dq phase locked loop (PLL) system. The current control strategy is implemented by an adaptive pole placement control strategy integrated to a variable structure control scheme (VS-APPC). In the VS-APPC, the internal model principle (IMP) of reference currents is used for achieving the zero steady state tracking error of the power system currents. This forces the phase current of the system mains to be sinusoidal with low harmonics content. Moreover, the current controllers are implemented on the stationary reference frame to avoid transformations to the mains voltage vector reference coordinates. This proposed current control strategy enhance the performance of SAPF with fast transient response and robustness to parametric uncertainties. Experimental results are showing for determining the effectiveness of SAPF proposed control system

Técnica de controle adaptativo robusto aplicada a filtros ativos de potência e paralelo

The Methods for compensation of harmonic currents and voltages have been widely used since these methods allow to reduce to acceptable levels the harmonic distortion in the voltages or currents in a power system, and also compensate reactive. The reduction of harmonics and reactive contributes to the reduction of losses in transmission lines and electrical machinery, increasing the power factor, reduce the occurrence of overvoltage and overcurrent. The active power filter is the most efficient method for compensation of harmonic currents and voltages. The active power filter is necessary to use current and voltage controllers loop. Conventionally, the current and voltage control loop of active filter has been done by proportional controllers integrative. This work, investigated the use of a robust adaptive control technique on the shunt active power filter current and voltage control loop to increase robustness and improve the performance of active filter to compensate for harmonics. The proposed control scheme is based on a combination of techniques for adaptive control pole placement and variable structure. The advantages of the proposed method over conventional ones are: lower total harmonic distortion, more flexibility, adaptability and robustness to the system. Moreover, the proposed control scheme improves the performance and improves the transient of active filter. The validation of the proposed technique was verified initially by a simulation program implemented in C++ language and then experimental results were obtained using a prototype three-phase active filter of 1 kVA

Estratégia de controle robusto para filtro ativo paralelo sem detecção de harmônicos de correntes

Conventional control strategies used in shunt active power filters (SAPF) employs real-time instantaneous harmonic detection schemes which is usually implements with digital filters. This increase the number of current sensors on the filter structure which results in high costs. Furthermore, these detection schemes introduce time delays which can deteriorate the harmonic compensation performance. Differently from the conventional control schemes, this paper proposes a non-standard control strategy which indirectly regulates the phase currents of the power mains. The reference currents of system are generated by the dc-link voltage controller and is based on the active power balance of SAPF system. The reference currents are aligned to the phase angle of the power mains voltage vector which is obtained by using a dq phase locked loop (PLL) system. The current control strategy is implemented by an adaptive pole placement control strategy integrated to a variable structure control scheme (VS¡APPC). In the VS¡APPC, the internal model principle (IMP) of reference currents is used for achieving the zero steady state tracking error of the power system currents. This forces the phase current of the system mains to be sinusoidal with low harmonics content. Moreover, the current controllers are implemented on the stationary reference frame to avoid transformations to the mains voltage vector reference coordinates. This proposed current control strategy enhance the performance of SAPF with fast transient response and robustness to parametric uncertainties. Experimental results are showing for determining the effectiveness of SAPF proposed control system

Desenvolvimento de modelos no programa digSILENT powerfactoryTM para o estudo de estabilidade transitória em sistemas elétricos de potência com aerogerador

This work presents a description of models development at DigSILENT PowerFactoryTM program for the transient stability study in power systems with wind turbine. The main goal is to make available means to use a dynamic simulation program in power systems, widely published, and utilize it as a tool that helps in programs results evaluations used for this intent. The process of simulations and analyses results starts after the models setting description phase. The results obtained by the DigSILENT PowerFactoryTM and ATP, program chosen to the validation also international recognized, are compared during this phase. The main tools and guide lines of PowerFactoryTM program use are presented here, directing these elements to the solution of the approached problem. For the simulation it is used a real system which it will be connected a wind farm. Two different technologies of wind turbines were implemented: doubly-fed induction generator with frequency converter, connecting the rotor to the stator and to the grid, and synchronous wind generator with frequency converter, interconnecting the generator to the grid. Besides presenting the basic conceptions of dynamic simulation, it is described the implemented control strategies and models of turbine and converters. The stability of the wind turbine interconnected to grid is analyzed in many operational conditions, resultant of diverse kinds of disturbances

Estratégia de conversor para interligação de sistemas de geração eólica à rede elétrica

Currently, there are several power converter topologies applied to wind power generation. The converters allow the use of wind turbines operating at variable speed, enabling better use of wind forces. The high performance of the converters is being increasingly demanded, mainly because of the increase in the power generation capacity by wind turbines, which gave rise to various converter topologies, such as parallel or multilevel converters. The use of converters allow effective control of the power injected into the grid, either partially, for the case using partial converter, or total control for the case of using full converter. The back-to-back converter is one of the most used topologies in the market today, due to its simple structure, with few components, contributing to robust and reliable performance. In this work, is presented the implementation of a wind cogeneration system using a permanent magnet synchronous generator (PMSG) associated with a back-to-back power converter is proposed, in order to inject active power in an electric power system. The control strategy of the active power delivered to the grid by cogeneration is based on the philosophy of indirect control

Fluxo de potência ótimo reativo via método da função lagrangiana barreira modificada

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