Power law analysis of financial index dynamics

Power law PL and fractional calculus are two faces of phenomena with long memory behavior. This paper applies PL description to analyze different periods of the business cycle. With such purpose the evolution of ten important stock market indices DAX, Dow Jones, NASDAQ, Nikkei, NYSE, S&P500, SSEC, HSI, TWII, and BSE over time is studied. An evolutionary algorithm is used for the fitting of the PL parameters. It is observed that the PL curve fitting constitutes a good tool for revealing the signal main characteristics leading to the emergence of the global financial dynamic evolution.

A contabilidade de gestão e a data envelopment analysis : análise de desempenho organizacional

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Symbolic fractional dynamics

Fractional dynamics reveals long range memory properties of systems described by means of signals represented by real numbers. Alternatively, dynamical systems and signals can adopt a representation where states are quantified using a set of symbols. Such signals occur both in nature and in man made processes and have the potential of a aftermath as relevant as the classical counterpart. This paper explores the association of Fractional calculus and symbolic dynamics. The results are visualized by means of the multidimensional technique and reveal the association between the fractal dimension and one definition of fractional derivative.

A fractional approach to the Fermi-Pasta-Ulam problem

This paper studies the Fermi-Pasta-Ulam problem having in mind the generalization provided by Fractional Calculus (FC). The study starts by addressing the classical formulation, based on the standard integer order differential calculus and evaluates the time and frequency responses. A first generalization to be investigated consists in the direct replacement of the springs by fractional elements of the dissipative type. It is observed that the responses settle rapidly and no relevant phenomena occur. A second approach consists of replacing the springs by a blend of energy extracting and energy inserting elements of symmetrical fractional order with amplitude modulated by quadratic terms. The numerical results reveal a response close to chaotic behaviour.

Reabilitação de um imóvel industrial em Marvila: projeto de investimento

Trabalho de Projeto para obtenção do grau de Mestre em Engenharia Civil

Optimal controllers with complex order derivatives

This paper studies the optimization of complex-order algorithms for the discrete-time control of linear and nonlinear systems. The fundamentals of fractional systems and genetic algorithms are introduced. Based on these concepts, complexorder control schemes and their implementation are evaluated in the perspective of evolutionary optimization. The results demonstrate not only that complex-order derivatives constitute a valuable alternative for deriving control algorithms, but also the feasibility of the adopted optimization strategy.

Fractional generalization of memristor and higher order elements

Fractional calculus generalizes integer order derivatives and integrals. Memristor systems generalize the notion of electrical elements. Both concepts were shown to model important classes of phenomena. This paper goes a step further by embedding both tools in a generalization considering complex-order objects. Two complex operators leading to real-valued results are proposed. The proposed class of models generate a broad universe of elements. Several combinations of values are tested and the corresponding dynamical behavior is analyzed.

Fractional order modelling of fractional-order holds

Discrete time control systems require sample- and-hold circuits to perform the conversion from digital to analog. Fractional-Order Holds (FROHs) are an interpolation between the classical zero and first order holds and can be tuned to produce better system performance. However, the model of the FROH is somewhat hermetic and the design of the system becomes unnecessarily complicated. This paper addresses the modelling of the FROHs using the concepts of Fractional Calculus (FC). For this purpose, two simple fractional-order approximations are proposed whose parameters are estimated by a genetic algorithm. The results are simple to interpret, demonstrating that FC is a useful tool for the analysis of these devices.

Analysis of financial indices by means of the windowed Fourier transform

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

Multidimensional scaling analysis of fractional systems

This paper investigates the use of multidimensional scaling in the evaluation of fractional system. Several algorithms are analysed based on the time response of the closed loop system under the action of a reference step input signal. Two alternative performance indices, based on the time and frequency domains, are tested. The numerical experiments demonstrate the feasibility of the proposed visualization method.

The effect of fractional order in variable structure control

This paper studies fractional variable structure controllers. Two cases are considered namely, the sliding reference model and the control action, that are generalized from integer into fractional orders. The test bed consists in a mechanical manipulator and the effect of the fractional approach upon the system performance is evaluated. The results show that fractional dynamics, both in the switching surface and the control law are important design algorithms in variable structure controllers.

Introducing the fractional-order Darwinian PSO

One of the most well-known bio-inspired algorithms used in optimization problems is the particle swarm optimization (PSO), which basically consists on a machinelearning technique loosely inspired by birds flocking in search of food. More specifically, it consists of a number of particles that collectively move on the search space in search of the global optimum. The Darwinian particle swarm optimization (DPSO) is an evolutionary algorithm that extends the PSO using natural selection, or survival of the fittest, to enhance the ability to escape from local optima. This paper firstly presents a survey on PSO algorithms mainly focusing on the DPSO. Afterward, a method for controlling the convergence rate of the DPSO using fractional calculus (FC) concepts is proposed. The fractional-order optimization algorithm, denoted as FO-DPSO, is tested using several well-known functions, and the relationship between the fractional-order velocity and the convergence of the algorithm is observed. Moreover, experimental results show that the FO-DPSO significantly outperforms the previously presented FO-PSO.

Partitioned scheduling of multimode systems on multiprocessor platforms: when to do the mode transition?

Systems composed of distinct operational modes are a common necessity for embedded applications with strict timing requirements. With the emergence of multi-core platforms protocols to handle these systems are required in order to provide this basic functionality.In this work a description on the problems of creating an effective mode-transition protocol are presented and it is proven that in some cases previous single-core protocols can not be extended to handle the mode-transition in multi-core.

Global-EDF scheduling of multimode real- time systems considering mode independent tasks

Embedded real-time systems often have to support the embedding system in very different and changing application scenarios. An aircraft taxiing, taking off and in cruise flight is one example. The different application scenarios are reflected in the software structure with a changing task set and thus different operational modes. At the same time there is a strong push for integrating previously isolated functionalities in single-chip multicore processors. On such multicores the behavior of the system during a mode change, when the systems transitions from one mode to another, is complex but crucial to get right. In the past we have investigated mode change in multiprocessor systems where a mode change requires a complete change of task set. Now, we present the first analysis which considers mode changes in multicore systems, which use global EDF to schedule a set of mode independent (MI) and mode specific (MS) tasks. In such systems, only the set of MS tasks has to be replaced during mode changes, without jeopardizing the schedulability of the MI tasks. Of prime concern is that the mode change is safe and efficient: i.e. the mode change needs to be performed in a predefined time window and no deadlines may be missed as a function of the mode change.

Dimensioning and worst-case analysis of cluster-tree sensor networks

Modeling the fundamental performance limits of Wireless Sensor Networks (WSNs) is of paramount importance to understand their behavior under the worst-case conditions and to make the appropriate design choices. This is particular relevant for time-sensitive WSN applications, where the timing behavior of the network protocols (message transmission must respect deadlines) impacts on the correct operation of these applications. In that direction this paper contributes with a methodology based on Network Calculus, which enables quick and efficient worst-case dimensioning of static or even dynamically changing cluster-tree WSNs where the data sink can either be static or mobile. We propose closed-form recurrent expressions for computing the worst-case end-to-end delays, buffering and bandwidth requirements across any source-destination path in a cluster-tree WSN. We show how to apply our methodology to the case of IEEE 802.15.4/ZigBee cluster-tree WSNs. Finally, we demonstrate the validity and analyze the accuracy of our methodology through a comprehensive experimental study using commercially available technology, namely TelosB motes running TinyOS.