Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual horizons. The data to be used consists of metal-commodity prices in a monthly frequency from 1957 to 2012 from the International Financial Statistics of the IMF on individual metal series. We will also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009) , which are available for download. Regarding short- and long-run comovement, we will apply the techniques and the tests proposed in the common-feature literature to build parsimonious VARs, which possibly entail quasi-structural relationships between different commodity prices and/or between a given commodity price and its potential demand determinants. These parsimonious VARs will be later used as forecasting models to be combined to yield metal-commodity prices optimal forecasts. Regarding out-of-sample forecasts, we will use a variety of models (linear and non-linear, single equation and multivariate) and a variety of co-variates to forecast the returns and prices of metal commodities. With the forecasts of a large number of models (N large) and a large number of time periods (T large), we will apply the techniques put forth by the common-feature literature on forecast combinations. The main contribution of this paper is to understand the short-run dynamics of metal prices. We show theoretically that there must be a positive correlation between metal-price variation and industrial-production variation if metal supply is held fixed in the short run when demand is optimally chosen taking into account optimal production for the industrial sector. This is simply a consequence of the derived-demand model for cost-minimizing firms. Our empirical evidence fully supports this theoretical result, with overwhelming evidence that cycles in metal prices are synchronized with those in industrial production. This evidence is stronger regarding the global economy but holds as well for the U.S. economy to a lesser degree. Regarding forecasting, we show that models incorporating (short-run) commoncycle restrictions perform better than unrestricted models, with an important role for industrial production as a predictor for metal-price variation. Still, in most cases, forecast combination techniques outperform individual models.

Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly frequencies from 1957 to 2012, extracted from the IFS, and annual data, provided from 1900-2010 by the U.S. Geological Survey (USGS). We also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009). We investigate short- and long-run comovement by applying the techniques and the tests proposed in the common-feature literature. One of the main contributions of this paper is to understand the short-run dynamics of metal prices. We show theoretically that there must be a positive correlation between metal-price variation and industrial-production variation if metal supply is held fixed in the short run when demand is optimally chosen taking into account optimal production for the industrial sector. This is simply a consequence of the derived-demand model for cost-minimizing firms. Our empirical evidence fully supports this theoretical result, with overwhelming evidence that cycles in metal prices are synchronized with those in industrial production. This evidence is stronger regarding the global economy but holds as well for the U.S. economy to a lesser degree. Regarding out-of-sample forecasts, our main contribution is to show the benefits of forecast-combination techniques, which outperform individual-model forecasts - including the random-walk model. We use a variety of models (linear and non-linear, single equation and multivariate) and a variety of co-variates and functional forms to forecast the returns and prices of metal commodities. Using a large number of models (N large) and a large number of time periods (T large), we apply the techniques put forth by the common-feature literature on forecast combinations. Empirically, we show that models incorporating (short-run) common-cycle restrictions perform better than unrestricted models, with an important role for industrial production as a predictor for metal-price variation.

Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon

This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian Consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data over twelve months ahead. The disaggregated models were estimated by SARIMA and will have different levels of disaggregation. Aggregated models will be estimated by time series techniques such as SARIMA, state-space structural models and Markov-switching. The forecasting accuracy comparison will be made by the selection model procedure known as Model Confidence Set and by Diebold-Mariano procedure. We were able to find evidence of forecast accuracy gains in models using more disaggregated data

Improvement on the sales forecast accuracy for a fast growing company by the best combination of historical data usage and clients segmentation

Industrial companies in developing countries are facing rapid growths, and this requires having in place the best organizational processes to cope with the market demand. Sales forecasting, as a tool aligned with the general strategy of the company, needs to be as much accurate as possible, in order to achieve the sales targets by making available the right information for purchasing, planning and control of production areas, and finally attending in time and form the demand generated. The present dissertation uses a single case study from the subsidiary of an international explosives company based in Brazil, Maxam, experiencing high growth in sales, and therefore facing the challenge to adequate its structure and processes properly for the rapid growth expected. Diverse sales forecast techniques have been analyzed to compare the actual monthly sales forecast, based on the sales force representatives’ market knowledge, with forecasts based on the analysis of historical sales data. The dissertation findings show how the combination of both qualitative and quantitative forecasts, by the creation of a combined forecast that considers both client´s demand knowledge from the sales workforce with time series analysis, leads to the improvement on the accuracy of the company´s sales forecast.

Forecast comparison with nonlinear methods for brazilian industrial production

Este trabalho avalia as previsões de três métodos não lineares — Markov Switching Autoregressive Model, Logistic Smooth Transition Autoregressive Model e Autometrics com Dummy Saturation — para a produção industrial mensal brasileira e testa se elas são mais precisas que aquelas de preditores naive, como o modelo autorregressivo de ordem p e o mecanismo de double differencing. Os resultados mostram que a saturação com dummies de degrau e o Logistic Smooth Transition Autoregressive Model podem ser superiores ao mecanismo de double differencing, mas o modelo linear autoregressivo é mais preciso que todos os outros métodos analisados.

Forecast comparison with nonlinear methods for Brazilian industrial production

This work assesses the forecasts of three nonlinear methods | Markov Switching Autoregressive Model, Logistic Smooth Transition Auto-regressive Model, and Auto-metrics with Dummy Saturation | for the Brazilian monthly industrial production and tests if they are more accurate than those of naive predictors such as the autoregressive model of order p and the double di erencing device. The results show that the step dummy saturation and the logistic smooth transition autoregressive can be superior to the double di erencing device, but the linear autoregressive model is more accurate than all the other methods analyzed.

Changes in phytoplankton composition in response to tides, wind-induced mixing conditions, and freshwater outflows in an urbanised estuarine complex

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

Attraction of the cutaneous leishmaniasis vector Nyssomyia neivai (Diptera: Psychodidae) to host odour components in a wind tunnel

Background: Laboratory studies of host-seeking olfactory behaviour in sandflies have largely been restricted to the American visceral leishmaniasis vector Lutzomyia longipalpis. In comparison, almost nothing is known about the chemical ecology of related species, which transmit American cutaneous leishmaniasis (ACL), due in part to difficulties in raising these insects in the laboratory. Understanding how ACL vectors locate their hosts will be essential to developing new vector control strategies to combat this debilitating disease.Methods: This study examined host-odour seeking behaviour of the ACL vector Nyssomyia neivai (Pinto) (=Lutzomyia neivai) using a wind tunnel olfactometer. The primary aim was to determine whether field-collected female N. neivai would respond to host odours in the laboratory, thereby eliminating the need to maintain colonies of these insects for behavioural experiments. Responses to two key host odour components, 1-octen-3-ol and lactic acid, and a commercially-available mosquito lure (BG-Lure (TM)) were assessed and compared relative to an air control. We also tested whether trials could be conducted outside of the normal evening activity period of N. neivai without impacting on fly behaviour, and whether the same flies could be used to assess baseline responses to air without affecting responses to octenol, thereby reducing the number of flies required for experiments.Results: Octenol was found to both activate host-seeking behaviour and attract female N. neivai in the wind tunnel, while lactic acid elicited weaker responses of activation and attractiveness under identical conditions. The BG-Lure did not activate or attract N. neivai under test conditions. Further experiments showed that sandfly behaviour in the wind tunnel was not affected by time of day, such that experiments need not be restricted to nocturnal hours. Moreover, using the same flies to measure both baseline responses to air and attraction to test compounds did not affect odour-seeking behaviour.Conclusions: The results of this study demonstrate that N. neivai taken from the field are suitable for use in laboratory olfactometer experiments. It is hoped this work will facilitate further research into chemical ecology of this species, and other ACL vectors.

Time-series-based maximization of distributed wind power generation integration

Energy policies and technological progress in the development of wind turbines have made wind power the fastest growing renewable power source worldwide. The inherent variability of this resource requires special attention when analyzing the impacts of high penetration on the distribution network. A time-series steady-state analysis is proposed that assesses technical issues such as energy export, losses, and short-circuit levels. A multiobjective programming approach based on the nondominated sorting genetic algorithm (NSGA) is applied in order to find configurations that maximize the integration of distributed wind power generation (DWPG) while satisfying voltage and thermal limits. The approach has been applied to a medium voltage distribution network considering hourly demand and wind profiles for part of the U.K. The Pareto optimal solutions obtained highlight the drawbacks of using a single demand and generation scenario, and indicate the importance of appropriate substation voltage settings for maximizing the connection of MPG.

The modulational instability in deep water under the action of wind and dissipation

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Um sistema de previsão de tempo e de ondas oceânicas para o Atlântico Sul

Um sistema de previsão numérica de tempo e de ondas oceânicas (SPTO) que possa ser operacionalizado no Atlântico Sul é proposto. O SPTO é composto por um modelo atmosférico de área limitada (MAL) e um modelo de ondas de superfície do oceano geradas pelo vento, aplicado em duas versões: uma de malha grossa (MPOMG) e outra de malha fina (MPOMF). O MPOMG abrange uma área de 10(6) km², e tem como finalidade gerar e propagar ondas em regiões remotas à costa brasileira. O MPOMF é aplicado em um domínio 10(4) km² com alta resolução, incorporando irregularidades batimétricas e com as condições iniciais e de fronteiras fomecidas pelo MPOMG. Os modelos utilizam dados de vento à 10 m acima da superfície do oceano. Os arquivos de vento, contendo a evolução espacial e temporais são gerados pelo MAL. Um exemplo de um evento real ocorrido no período de 9 a 11 de agosto de 1988 é apresentado utilizando o acoplamento proposto.

Uma experiência com modelo estatístico (MOS) para a previsão da temperatura mínima diária do ar

Uma equação de regressão múltipla MOS (da sigla em inglês para Model Output Statistics), para previsão da temperatura mínima diária do ar na cidade de Bauru, estado de São Paulo, é desenvolvida. A equação de regressão múltipla, obtida usando análise de regressão stepwise, tem quatro preditores, três do modelo numérico global do Centro de Previsão de Tempo e Estudos Climáticos (CPTEC) e um observacional da estação meteorológica do Instituto de Pesquisas Meteorológicas (IPMet), Bauru. Os preditores são prognósticos para 24 horas do modelo global, válidos para 00:00GMT, da temperatura em 1000hPa, vento meridional em 850hPa e umidade relativa em 1000hPa, e temperatura observada às 18:00GMT. Esses quatro preditores explicam, aproximadamente, 80% da variância total do preditando, com erro quadrático médio de 1,4°C, que é aproximadamente metade do desvio padrão da temperatura mínima diária do ar observada na estação do IPMet. Uma verificação da equação MOS com uma amostra independente de 47 casos mostra que a previsão não se deteriora significativamente quando o preditor observacional for desconsiderado. A equação MOS, com ou sem esse preditor, produz previsões com erro absoluto menor do que 1,5°C em 70% dos casos examinados. Este resultado encoraja a utilização da técnica MOS para previsão operacional da temperatura mínima e seu desenvolvimento para outros elementos do tempo e outras localidades.

Broiler Response to Different Wind Speeds

Broiler production in Brazil has turned into a very competitive activity in the late years. Constant innovation leads to higher productivity maintaining the same cost of production, which is a desirable situation. Lately one characteristic for broiler housing in Brazil has been the increase in birds density requiring the use of controlled environment through the use of fan and fogging systems in order to achieve better birds productive performance. Most Brazilian producer already uses cooling equipment however it is still unknown the right way to control the wind speed and direction towards the birds. This present research has the objective to evaluate the effect of the wind speed on the heat transfer from the birds to the environment for broilers at 27 days old. There was used 200 birds, placed in a wind tunnel measuring 1.10 m high by 1.10m wide x 10.0 m of length, and the birds density varied from 9, 16 and 20 birds/m 2. Two wind speed were simulated 340 rpm (1.0 m/s) and 250 rpm (0.3 m/s). The increase in the wind velocity related to the smaller bird densityled to a higher heat loss and to a more uniform temperature distribution in its exposed areas.

A nonlinear and non-ideal wind generator supporting structure

We present a simple mathematical model of a wind turbine supporting tower. Here, the wind excitation is considered to be a non-ideal power source. In such a consideration, there is interaction between the energy supply and the motion of the supporting structure. If power is not enough, the rotation of the generator may get stuck at a resonance frequency of the structure. This is a manifestation of the so-called Sommerfeld Effect. In this model, at first, only two degrees of freedom are considered, the horizontal motion of the upper tip of the tower, in the transverse direction to the wind, and the generator rotation. Next, we add another degree of freedom, the motion of a free rolling mass inside a chamber. Its impact with the walls of the chamber provides control of both the amplitude of the tower vibration and the width of the band of frequencies in which the Sommerfeld effect occur. Some numerical simulations are performed using the equations of motion of the models obtained via a Lagrangian approach.

Usage of enterprise modeling processes and information systems design to forecast demand

Managing the great complexity of enterprise system, due to entities numbers, decision and process varieties involved to be controlled results in a very hard task because deals with the integration of its operations and its information systems. Moreover, the enterprises find themselves in a constant changing process, reacting in a dynamic and competitive environment where their business processes are constantly altered. The transformation of business processes into models allows to analyze and redefine them. Through computing tools usage it is possible to minimize the cost and risks of an enterprise integration design. This article claims for the necessity of modeling the processes in order to define more precisely the enterprise business requirements and the adequate usage of the modeling methodologies. Following these patterns, the paper concerns the process modeling relative to the domain of demand forecasting as a practical example. The domain of demand forecasting was built based on a theoretical review. The resulting models considered as reference model are transformed into information systems and have the aim to introduce a generic solution and be start point of better practical forecasting. The proposal is to promote the adequacy of the information system to the real needs of an enterprise in order to enable it to obtain and accompany better results, minimizing design errors, time, money and effort. The enterprise processes modeling are obtained with the usage of CIMOSA language and to the support information system it was used the UML language.