Bank networks and firm credit: an agent based model approach

Starting from the idea that economic systems fall into complexity theory, where its many agents interact with each other without a central control and that these interactions are able to change the future behavior of the agents and the entire system, similar to a chaotic system we increase the model of Russo et al. (2014) to carry out three experiments focusing on the interaction between Banks and Firms in an artificial economy. The first experiment is relative to Relationship Banking where, according to the literature, the interaction over time between Banks and Firms are able to produce mutual benefits, mainly due to reduction of the information asymmetry between them. The following experiment is related to information heterogeneity in the credit market, where the larger the bank, the higher their visibility in the credit market, increasing the number of consult for new loans. Finally, the third experiment is about the effects on the credit market of the heterogeneity of prices that Firms faces in the goods market.

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.

Undersampled Critical Branching Processes on Small-World and Random Networks Fail to Reproduce the Statistics of Spike Avalanches

The power-law size distributions obtained experimentally for neuronal avalanches are an important evidence of criticality in the brain. This evidence is supported by the fact that a critical branching process exhibits the same exponent t~3=2. Models at criticality have been employed to mimic avalanche propagation and explain the statistics observed experimentally. However, a crucial aspect of neuronal recordings has been almost completely neglected in the models: undersampling. While in a typical multielectrode array hundreds of neurons are recorded, in the same area of neuronal tissue tens of thousands of neurons can be found. Here we investigate the consequences of undersampling in models with three different topologies (two-dimensional, small-world and random network) and three different dynamical regimes (subcritical, critical and supercritical). We found that undersampling modifies avalanche size distributions, extinguishing the power laws observed in critical systems. Distributions from subcritical systems are also modified, but the shape of the undersampled distributions is more similar to that of a fully sampled system. Undersampled supercritical systems can recover the general characteristics of the fully sampled version, provided that enough neurons are measured. Undersampling in two-dimensional and small-world networks leads to similar effects, while the random network is insensitive to sampling density due to the lack of a well-defined neighborhood. We conjecture that neuronal avalanches recorded from local field potentials avoid undersampling effects due to the nature of this signal, but the same does not hold for spike avalanches. We conclude that undersampled branching-process-like models in these topologies fail to reproduce the statistics of spike avalanches.

Contribuição para o estudo do embarque de uma rede neural artificial em field programmable gate array (FPGA)

This study shows the implementation and the embedding of an Artificial Neural Network (ANN) in hardware, or in a programmable device, as a field programmable gate array (FPGA). This work allowed the exploration of different implementations, described in VHDL, of multilayer perceptrons ANN. Due to the parallelism inherent to ANNs, there are disadvantages in software implementations due to the sequential nature of the Von Neumann architectures. As an alternative to this problem, there is a hardware implementation that allows to exploit all the parallelism implicit in this model. Currently, there is an increase in use of FPGAs as a platform to implement neural networks in hardware, exploiting the high processing power, low cost, ease of programming and ability to reconfigure the circuit, allowing the network to adapt to different applications. Given this context, the aim is to develop arrays of neural networks in hardware, a flexible architecture, in which it is possible to add or remove neurons, and mainly, modify the network topology, in order to enable a modular network of fixed-point arithmetic in a FPGA. Five synthesis of VHDL descriptions were produced: two for the neuron with one or two entrances, and three different architectures of ANN. The descriptions of the used architectures became very modular, easily allowing the increase or decrease of the number of neurons. As a result, some complete neural networks were implemented in FPGA, in fixed-point arithmetic, with a high-capacity parallel processing

Uma arquitetura para sistemas supervisórios industriais e sua aplicação em processos de elevação artificial de petróleo

The using of supervision systems has become more and more essential in accessing, managing and obtaining data of industrial processes, because of constant and frequent developments in industrial automation. These supervisory systems (SCADA) have been widely used in many industrial environments to store process data and to control the processes in accordance with some adopted strategy. The SCADA s control hardware is the set of equipments that execute this work. The SCADA s supervision software accesses process data through the control hardware and shows them to the users. Currently, many industrial systems adopt supervision softwares developed by the same manufacturer of the control hardware. Usually, these softwares cannot be used with other equipments made by distinct manufacturers. This work proposes an approach for developing supervisory systems able to access process information through different control hardwares. An architecture for supervisory systems is first defined, in order to guarantee efficiency in communication and data exchange. Then, the architecture is applied in a supervisory system to monitor oil wells that use distinct control hardwares. The implementation was modeled and verified by using the formal method of the Petri networks. Finally, experimental results are presented to demonstrate the applicability of the proposed solution

An Optimum-Path Forest framework for intrusion detection in computer networks

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

Multidimensional polynomial powers of sigmoid (PPS) Wavelet neural networks

Wavelet functions have been used as the activation function in feedforward neural networks. An abundance of R&D has been produced on wavelet neural network area. Some successful algorithms and applications in wavelet neural network have been developed and reported in the literature. However, most of the aforementioned reports impose many restrictions in the classical backpropagation algorithm, such as low dimensionality, tensor product of wavelets, parameters initialization, and, in general, the output is one dimensional, etc. In order to remove some of these restrictions, a family of polynomial wavelets generated from powers of sigmoid functions is presented. We described how a multidimensional wavelet neural networks based on these functions can be constructed, trained and applied in pattern recognition tasks. As an example of application for the method proposed, it is studied the exclusive-or (XOR) problem.

Neural networks in chemosystematic studies of asteraceae: A classification based on a dichotomic approach

This paper describes the application of artificial neural nets as an alternative and efficient method for the classification of botanical taxa based on chemical data (chemosystematics). A total of 28,000 botanical occurrences of chemical compounds isolated from the Asteraceae family were chosen from the literature, and grouped by chemical class for each species. Four tests were carried out to differentiate and classify different botanical taxa. The qualifying capacity of the artificial neural nets was dichotomically tested at different hierarchical levels of the family, such as subfamilies and groups of Heliantheae subtribes. Furthermore, two specific subtribes of the Heliantheae and two genera of one of these subtribes were also tested. In general, the artificial neural net gave rise to good results, with multiple-correlation values R > 0.90. Hence, it was possible to differentiate the dichotomic character of the botanical taxa studied.

Aircraft interior failure pattern recognition utilizing text mining and neural networks

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Application of ARX neural networks to model the rate of penetration of petroleum wells drilling

Bit performance prediction has been a challenging problem for the petroleum industry. It is essential in cost reduction associated with well planning and drilling performance prediction, especially when rigs leasing rates tend to follow the projects-demand and barrel-price rises. A methodology to model and predict one of the drilling bit performance evaluator, the Rate of Penetration (ROP), is presented herein. As the parameters affecting the ROP are complex and their relationship not easily modeled, the application of a Neural Network is suggested. In the present work, a dynamic neural network, based on the Auto-Regressive with Extra Input Signals model, or ARX model, is used to approach the ROP modeling problem. The network was applied to a real oil offshore field data set, consisted of information from seven wells drilled with an equal-diameter bit.

Radial basis function networks with quantized parameters

A RBFN implemented with quantized parameters is proposed and the relative or limited approximation property is presented. Simulation results for sinusoidal function approximation with various quantization levels are shown. The results indicate that the network presents good approximation capability even with severe quantization. The parameter quantization decreases the memory size and circuit complexity required to store the network parameters leading to compact mixed-signal circuits proper for low-power applications. ©2008 IEEE.

Video target tracking by using competitive neural networks

A target tracking algorithm able to identify the position and to pursuit moving targets in video digital sequences is proposed in this paper. The proposed approach aims to track moving targets inside the vision field of a digital camera. The position and trajectory of the target are identified by using a neural network presenting competitive learning technique. The winning neuron is trained to approximate to the target and, then, pursuit it. A digital camera provides a sequence of images and the algorithm process those frames in real time tracking the moving target. The algorithm is performed both with black and white and multi-colored images to simulate real world situations. Results show the effectiveness of the proposed algorithm, since the neurons tracked the moving targets even if there is no pre-processing image analysis. Single and multiple moving targets are followed in real time.

Traffic flow breakdown prediction using feature reduction through Rough-Neuro fuzzy Networks

The prediction of the traffic behavior could help to make decision about the routing process, as well as enables gains on effectiveness and productivity on the physical distribution. This need motivated the search for technological improvements in the Routing performance in metropolitan areas. The purpose of this paper is to present computational evidences that Artificial Neural Network ANN could be use to predict the traffic behavior in a metropolitan area such So Paulo (around 16 million inhabitants). The proposed methodology involves the application of Rough-Fuzzy Sets to define inference morphology for insertion of the behavior of Dynamic Routing into a structured rule basis, without human expert aid. The dynamics of the traffic parameters are described through membership functions. Rough Sets Theory identifies the attributes that are important, and suggest Fuzzy relations to be inserted on a Rough Neuro Fuzzy Network (RNFN) type Multilayer Perceptron (MLP) and type Radial Basis Function (RBF), in order to get an optimal surface response. To measure the performance of the proposed RNFN, the responses of the unreduced rule basis are compared with the reduced rule one. The results show that by making use of the Feature Reduction through RNFN, it is possible to reduce the need for human expert in the construction of the Fuzzy inference mechanism in such flow process like traffic breakdown. © 2011 IEEE.