Jogo da Minoria: um modelo baseado em agentes aplicado ao mercado financeiro

Nos últimos anos houve uma contribuição significativa dos físicos para a construção de um tipo de modelo baseado em agentes que busca reproduzir, em simulação computacional, o comportamento do mercado financeiro. Esse modelo, chamado Jogo da Minoria consiste de um grupo de agentes que vão ao mercado comprar ou vender ativos. Eles tomam decisões com base em estratégias e, por meio delas, os agentes estabelecem um intrincado jogo de competição e coordenação pela distribuição da riqueza. O modelo tem demonstrado resultados bastante ricos e surpreendentes, tanto na dinâmica do sistema como na capacidade de reproduzir características estatísticas e comportamentais do mercado financeiro. Neste artigo, são apresentadas a estrutura e a dinâmica do Jogo da Minoria, bem como as contribuições recentes relacionadas ao Jogo da Minoria denominado de Grande Canônico, que é um modelo mais bem ajustado às características do mercado financeiro e reproduz as regularidades estatísticas do preço dos ativos chamadas fatos estilizados.

Particle Competition and Cooperation in Networks for Semi-Supervised Learning with Concept Drift

Concept drift is a problem of increasing importance in machine learning and data mining. Data sets under analysis are no longer only static databases, but also data streams in which concepts and data distributions may not be stable over time. However, most learning algorithms produced so far are based on the assumption that data comes from a fixed distribution, so they are not suitable to handle concept drifts. Moreover, some concept drifts applications requires fast response, which means an algorithm must always be (re) trained with the latest available data. But the process of labeling data is usually expensive and/or time consuming when compared to unlabeled data acquisition, thus only a small fraction of the incoming data may be effectively labeled. Semi-supervised learning methods may help in this scenario, as they use both labeled and unlabeled data in the training process. However, most of them are also based on the assumption that the data is static. Therefore, semi-supervised learning with concept drifts is still an open challenge in machine learning. Recently, a particle competition and cooperation approach was used to realize graph-based semi-supervised learning from static data. In this paper, we extend that approach to handle data streams and concept drift. The result is a passive algorithm using a single classifier, which naturally adapts to concept changes, without any explicit drift detection mechanism. Its built-in mechanisms provide a natural way of learning from new data, gradually forgetting older knowledge as older labeled data items became less influent on the classification of newer data items. Some computer simulation are presented, showing the effectiveness of the proposed method.

Neural networks training using the constructivism paradigms

The Backpropagation Algorithm (BA) is the standard method for training multilayer Artificial Neural Networks (ANN), although it converges very slowly and can stop in a local minimum. We present a new method for neural network training using the BA inspired on constructivism, an alphabetization method proposed by Emilia Ferreiro based on Piaget philosophy. Simulation results show that the proposed configuration usually obtains a lower final mean square error, when compared with the standard BA and with the BA with momentum factor.

Another prefiltering algorithm for adaptive IIR filtering

An algorithm for adaptive IIR filtering that uses prefiltering structure in direct form is presented. This structure has an estimation error that is a linear function of the coefficients. This property greatly simplifies the derivation of gradient-based algorithms. Computer simulations show that the proposed structure improves convergence speed.

Electric power systems transient stability analysis by neural networks

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Uma aplicacao da celula de comutacao ZVS-PWM-GEPAE ao conversor DC-AC

This work presents the design and procedure of a DC-to-AC converter using a ZVS Commutation Cell developed by Barbi and Martins (1991) and applied to the family of DC-to-DC PWM converters. Firstly, we show the cell applied to buck converter. The stages of operation and the main current and voltage equations of the resonant devices are presented. Next, we adapt the converter to the regenerative operation mode. Hence, the full bridge converter at low frequency operation is conected on the DC-to-DC stage (at high frequency) output ends (Seixas, 1993). Commutation of zero voltage for all switches, PWM at constant frequency and neither overvoltage nor additional current stress are observed by digital simulation. The design example and experimental results obtained by prototype rated at 275 V, 1 kW and 40 kHz are also presented.

Solucao de sistemas lineares com matrizes e vetores esparsos em computadores vetoriais

This paper presents a methodology for solving a set of linear sparse equations on vector computers. The new methodology is able to exploit the matrix and vector sparsities. The implementation was made on a CRAY Y-MP 2E/232 computer and the results were taken from electric power systems with 118, 320, 725 and 1729 buses. The proposed methodology was compared with three previous methods and the results show the superior performance of the new one.

On optimizing micropower MOS regulated cascode circuits on switched current techniques

Trade-off between settling time and micropower consumption in MOS regulated cascode current sources as building parts in high-accuracy, current-switching D/A converters is analyzed. The regulation-loop frequency characteristic is obtained and difficulties to impose a dominant-pole condition to the resulting 2nd-order system are discussed. Raising pole frequencies while meeting consumption requirements is basically limited by parasitic capacitances. An alternative is found by imposing a twin-pole system in which design constraints are somewhat relaxed and settling slightly faster. Relationships between pole frequencies, transistor geometry and bias are established. Simulated waveforms obtained with PSpice of designed circuits following a voltage perturbation suggest a good agreement with theory. The proposed approach applied to the design of a micropower current-mode D/A converter improves its simulated settling performance.

Highly excited states for the helium atom in the hyperspherical adiabatic approach

The hyperspherical adiabatic approach is used to obtain the highly excited series 1sns 1S e and 1s(n + 1)p 1P o of the helium atom. The introduction of appropriate asymptotic conditions at large values of the hyperspherical radius results in a stable algorithm that allows the calculation of the full atomic spectrum with precision of a few parts per million. Comparison with the variational calculations available in the literature shows that the accuracy of the results improves with increasing principal quantum number. We present the energies up to n = 31 which is the typical value used in multiphoton excitation experiments.

Investigation of temperature influence on photo-induced conductivity in n-type AlxGa1-xAs

We present conductance as function of temperature (G×T) under influence of monochromatic light in the range 0.5-1.5 μm for direct as well as indirect bandgap n-type AlxGa1-xAs. Results obtained below 60 K in indirect bandgap sample show the presence of another level of trapping, besides the DX centre, probably a X-valley effective mass state. In direct bandgap samples, these G×T curves show that above bandgap light increases conductivity to higher values than at room temperature and below bandgap light is not enough to avoid trapping. Photoconductivity spectra in indirect bandgap AlxGa1-xAs show that above ≅120 K, the absence of persistent photoconductivity contributes for a very clean spectrum. The mobility of AlxGa1-xAs is modelled considering dipole scattering. Data of transient decay of persistent photoconductivity is simulated using this approach.

Hydrochemistry on a waste disposal area of sand mining activities at Analandia, Sao Paulo State, Brazil, and their implications on the mobilization of uranium

Groundwaters and surface waters from an area of treatment of sand for industrial purposes at Analandia municipality, nearly in the center of Sao Paulo State, Brazil, were chemically and isotopically analyzed with two aims: to evaluate if the anthropogenic activities that has taken place for the last 6 years is affecting the quality of the hydrological resources and to relate the hydrogeochemical behaviour of the uranium isotopes 234U and 238U with the pattern of circulation of groundwaters.

Finite element analysis of anisotropic optical waveguide with arbitrary index profile

This work presents the application of a scalar finite element formulation for Ex (TE-like) modes in anisotropic planar and channel waveguides with diagonal permittivity tensor, diffused in both transversal directions. This extended formulation considers explicitly both the variations of the refractive index and their spatial derivates inside of each finite element. Dispersion curves for Ex modes in planar and channel waveguides are shown, and the results compared with solutions obtained by other formulations.

Design of a LNA and a Gilbert Cell Mixer MMICs with a GaAs PHEMT technology

The design of a Gilbert Cell Mixer and a low noise amplifier (LNA), using GaAs PHEMT technology is presented. The compatibility is shown for co-integration of both block on the same chip, to form a high performance 1.9 GHz receiver front-end. The designed LNA shows 9.23 dB gain and 2.01 dB noise figure (NF). The mixer is designed to operate at RF=1.9 GHz, LO=2.0 GHz and IF=100 MHz with a gain of 14.3 dB and single sideband noise figure (SSB NF) of 9.6 dB. The mixer presents a bandwith of 8 GHz.

Utilizing the CORBA platform in the construction of a highly immersive virtual environment

This article presents the implementation of a distributed system of virtual reality, through the integration of services offered by the CORBA platform (Common Object Request Broker Architecture) and by the environment of development of 3D graphic applications in real time, the WorldToolkit, of Sense8. The developed application for the validation of this integration is that of a virtual city, with an emphasis on its traffic ways, vehicles (movable objects) and buildings (immovable objects). In this virtual world, several users can interact, each one controlling his/her own car. Since the modelling of the application took into consideration the criteria and principles of the Transport Engineering, the aim is to use it in the planning, project and construction of traffic ways for vehicles. The system was structured according to the approach client/server utilizing multicast communication among the participating nodes. The chosen implementation for the CORBA was the Iona's ORBIX software. The performance results obtained are presented and discussed in the end.

New 12kW three-phase 18-pulse high power factor AC-DC converter with regulated output voltage for rectifier units

This work presents a new high power factor three-phase rectifier based on a Y-connected differential autotransformer with reduced kVA and 18-pulse input current followed by three DC-DC boost converters. The topology provides a regulated output voltage and natural three-phase input power factor correction. The lowest input current harmonic components are the 17th and the 19th. Three boost converters, with constant input currents and regulated parallel connected output voltages are used to process 4kW each one. Analytical results from Fourier analyses of winding currents and the vector diagram of winding voltages are presented. Simulation results to verify the proposed concept and experimental results are shown in the paper.