Modelación estocástica y trading algorítmico del spread entre acciones mediante procesos de reversión a la media

Las estrategias de inversión pairs trading se basan en desviaciones del precio entre pares de acciones correlacionadas y han sido ampliamente implementadas por fondos de inversión tomando posiciones largas y cortas en las acciones seleccionadas cuando surgen divergencias y obteniendo utilidad cerrando la posición al converger. Se describe un modelo de reversión a la media para analizar la dinámica que sigue el diferencial del precio entre acciones ordinarias y preferenciales de una misma empresa en el mismo mercado. La media de convergencia en el largo plazo es obtenida con un filtro de media móvil, posteriormente, los parámetros del modelo de reversión a la media se estiman mediante un filtro de Kalman bajo una formulación de estado espacio sobre las series históricas. Se realiza un backtesting a la estrategia de pairs trading algorítmico sobre el modelo propuesto indicando potenciales utilidades en mercados financieros que se observan por fuera del equilibrio. Aplicaciones de los resultados podrían mostrar oportunidades para mejorar el rendimiento de portafolios, corregir errores de valoración y sobrellevar mejor periodos de bajos retornos.

Neurofuzzy control using Kalman filtering state feedback with coloured noise for unknown non-linear processes

This paper presents a controller design scheme for a priori unknown non-linear dynamical processes that are identified via an operating point neurofuzzy system from process data. Based on a neurofuzzy design and model construction algorithm (NeuDec) for a non-linear dynamical process, a neurofuzzy state-space model of controllable form is initially constructed. The control scheme based on closed-loop pole assignment is then utilized to ensure the time invariance and linearization of the state equations so that the system stability can be guaranteed under some mild assumptions, even in the presence of modelling error. The proposed approach requires a known state vector for the application of pole assignment state feedback. For this purpose, a generalized Kalman filtering algorithm with coloured noise is developed on the basis of the neurofuzzy state-space model to obtain an optimal state vector estimation. The derived controller is applied in typical output tracking problems by minimizing the tracking error. Simulation examples are included to demonstrate the operation and effectiveness of the new approach.

Neurofuzzy state identification using prefiltering

A new state estimator algorithm is based on a neurofuzzy network and the Kalman filter algorithm. The major contribution of the paper is recognition of a bias problem in the parameter estimation of the state-space model and the introduction of a simple, effective prefiltering method to achieve unbiased parameter estimates in the state-space model, which will then be applied for state estimation using the Kalman filtering algorithm. Fundamental to this method is a simple prefiltering procedure using a nonlinear principal component analysis method based on the neurofuzzy basis set. This prefiltering can be performed without prior system structure knowledge. Numerical examples demonstrate the effectiveness of the new approach.

Development and application of a novel algorithm for steady-state optimising control using dynamic information

A novel optimising controller is designed that leads a slow process from a sub-optimal operational condition to the steady-state optimum in a continuous way based on dynamic information. Using standard results from optimisation theory and discrete optimal control, the solution of a steady-state optimisation problem is achieved by solving a receding-horizon optimal control problem which uses derivative and state information from the plant via a shadow model and a state-space identifier. The paper analyzes the steady-state optimality of the procedure, develops algorithms with and without control rate constraints and applies the procedure to a high fidelity simulation study of a distillation column optimisation.

Multivariate analysis of the dielectric response of materials modeled using networks of resistors and capacitors

We discuss the modeling of dielectric responses of electromagnetically excited networks which are composed of a mixture of capacitors and resistors. Such networks can be employed as lumped-parameter circuits to model the response of composite materials containing conductive and insulating grains. The dynamics of the excited network systems are studied using a state space model derived from a randomized incidence matrix. Time and frequency domain responses from synthetic data sets generated from state space models are analyzed for the purpose of estimating the fraction of capacitors in the network. Good results were obtained by using either the time-domain response to a pulse excitation or impedance data at selected frequencies. A chemometric framework based on a Successive Projections Algorithm (SPA) enables the construction of multiple linear regression (MLR) models which can efficiently determine the ratio of conductive to insulating components in composite material samples. The proposed method avoids restrictions commonly associated with Archie’s law, the application of percolation theory or Kohlrausch-Williams-Watts models and is applicable to experimental results generated by either time domain transient spectrometers or continuous-wave instruments. Furthermore, it is quite generic and applicable to tomography, acoustics as well as other spectroscopies such as nuclear magnetic resonance, electron paramagnetic resonance and, therefore, should be of general interest across the dielectrics community.

Modelagem e controle de um microveículo aéreo: uma aplicação de estabilidade robusta com a técnica backstepping em uma estrutura hexarrotor

In this Thesis, the development of the dynamic model of multirotor unmanned aerial vehicle with vertical takeoff and landing characteristics, considering input nonlinearities and a full state robust backstepping controller are presented. The dynamic model is expressed using the Newton-Euler laws, aiming to obtain a better mathematical representation of the mechanical system for system analysis and control design, not only when it is hovering, but also when it is taking-off, or landing, or flying to perform a task. The input nonlinearities are the deadzone and saturation, where the gravitational effect and the inherent physical constrains of the rotors are related and addressed. The experimental multirotor aerial vehicle is equipped with an inertial measurement unit and a sonar sensor, which appropriately provides measurements of attitude and altitude. A real-time attitude estimation scheme based on the extended Kalman filter using quaternions was developed. Then, for robustness analysis, sensors were modeled as the ideal value with addition of an unknown bias and unknown white noise. The bounded robust attitude/altitude controller were derived based on globally uniformly practically asymptotically stable for real systems, that remains globally uniformly asymptotically stable if and only if their solutions are globally uniformly bounded, dealing with convergence and stability into a ball of the state space with non-null radius, under some assumptions. The Lyapunov analysis technique was used to prove the stability of the closed-loop system, compute bounds on control gains and guaranteeing desired bounds on attitude dynamics tracking errors in the presence of measurement disturbances. The controller laws were tested in numerical simulations and in an experimental hexarotor, developed at the UFRN Robotics Laboratory

Proposal of a Transmission Line Model Based on Lumped Elements: An Analytic Solution

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Stabilizability and Disturbance Rejection with State-Derivative Feedback

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Conceptual spaces and consciousness: Integrating cognitive and affective processes

In the book Conceptual Spaces: the Geometry of Thought [2000] Peter Gärdenfors proposes a new framework for cognitive science. Complementary to symbolic and subsymbolic [connectionist] descriptions, conceptual spaces are semantic structures constructed from empirical data representing the universe of mental states. We argue that Gärdenfors' modeling can be used in consciousness research to describe the phenomenal conscious world, its elements and their intrinsic relations. The conceptual space approach affords the construction of a universal state space of human consciousness, where all possible kinds of human conscious states could be mapped. Starting from this approach, we discuss the inclusion of feelings and emotions in conceptual spaces, and their relation to perceptual and cognitive states. Current debate on integration of affect/emotion and perception/cognition allows three possible descriptive alternatives: emotion resulting from basic cognition; cognition resulting from basic emotion, and both as relatively independent functions integrated by brain mechanisms. Finding a solution for this issue is an important step in any attempt of successful modeling of natural or artificial consciousness. After making a brief review of proposals in this area, we summarize the essentials of a new model of consciousness based on neuro-astroglial interactions. © 2011 World Scientific Publishing Company.

Modelagem e controle de uma incubadora neonatal

Este trabalho apresenta uma introdução sobre a história da neonatologia, a conceituação e a modelagem matemática do sistema térmico de uma incubadora neonatal, contendo a relação da mesma com um recém-nascido quanto a trocas térmicas, a partir da primeira lei da termodinâmica. É apresentado o método que foi utilizado para a linearização (Séries de Taylor) e os pontos de operação calculados para o sistema linear obtido no formato de espaço de estados, e a partir deste foi obtida uma representação em função de transferência. A partir da modelagem matemática do sistema, foi realizado um teste em malha aberta para verificar as características do mesmo, como estabilidade, constante de tempo e convergência para um valor final desejado, e como o sistema real opera em malha fechada, foi também realizado um teste com o sistema nesta configuração contendo um ganho unitário de malha. O comportamento do sistema não linear foi comparado ao do sistema linearizado através de suas curvas de resposta temporal a uma entrada degrau para a verificação da validade da representação linear, e após a sua validação, diagramas de bode foram gerados para diferentes parâmetros do modelo, para observar-se o efeito desta variação no comportamento dinâmico da planta, e foi percebido que o comportamento do modelo não é alterado de forma substancial para a variação dentro das faixas verificadas. Um controlador proporcional e integral (PI) foi então projetado para a eliminação do erro de regime permanente presente resposta temporal do sistema.. Testes sob diversas condições de operação foram realizados no sistema linear assim como as curvas de variação de temperatura foram obtidas com o controlador aplicado no modelo não linear, sendo os resultados considerados satisfatórios para este tipo de aplicação. Este trabalho foi realizado com o auxílio da ferramenta computacional Simulink do software Matalb®.

Comparação de métodos baseados em algoritmos genéticos para ajuste coordenado de estabilizadores de sistemas de potência

Essa dissertação de mestrado apresenta um estudo comparativo entre três metodologias baseadas em algoritmos genéticos para ajuste coordenado de estabilizadores de sistemas de potência (ESP). Os procedimentos de ajuste do ESP são formulados como um problema de otimização, a fim de: 1) maximizar o coeficiente de amortecimento mínimo do sistema em malha fechada; 2) maximizar o somatório de todos os coeficientes de amortecimento do sistema em malha fechada; e 3) deslocar os modos eletromecânicos poucos amortecidos ou mal amortecidos para uma zona pré-escrita no plano s. As três metodologias consideram um conjunto de condições de operacionais pré-especificadas. O sistema elétrico foi representado por equações no espaço de estado e as matrizes associadas com a modelagem foram obtidas por meio da versão acadêmica do programa PacDyn. As simulações foram realizadas usando o MATLAB. As metodologias foram aplicadas no conhecido sistema teste New England.

Spatio-temporal dynamics of alpha brain electric fields, and cognitive modes

Brian electric activity is viewed as sequences of momentary maps of potential distribution. Frequency-domain source modeling, estimation of the complexity of the trajectory of the mapped brain field distributions in state space, and microstate parsing were used as analysis tools. Input-presentation as well as task-free (spontaneous thought) data collection paradigms were employed. We found: Alpha EEG field strength is more affected by visualizing mentation than by abstract mentation, both input-driven as well as self-generated. There are different neuronal populations and brain locations of the electric generators for different temporal frequencies of the brain field. Different alpha frequencies execute different brain functions as revealed by canonical correlations with mentation profiles. Different modes of mentation engage the same temporal frequencies at different brain locations. The basic structure of alpha electric fields implies inhomogeneity over time — alpha consists of concatenated global microstates in the sub-second range, characterized by quasi-stable field topographies, and rapid transitions between the microstates. In general, brain activity is strongly discontinuous, indicating that parsing into field landscape-defined microstates is appropriate. Different modes of spontaneous and induced mentation are associated with different brain electric microstates; these are proposed as candidates for psychophysiological ``atoms of thought''.

Brain electric correlates of strong belief in paranormal phenomena: intracerebral EEG source and regional Omega complexity analyses

The neurocognitive processes underlying the formation and maintenance of paranormal beliefs are important for understanding schizotypal ideation. Behavioral studies indicated that both schizotypal and paranormal ideation are based on an overreliance on the right hemisphere, whose coarse rather than focussed semantic processing may favor the emergence of 'loose' and 'uncommon' associations. To elucidate the electrophysiological basis of these behavioral observations, 35-channel resting EEG was recorded in pre-screened female strong believers and disbelievers during resting baseline. EEG data were subjected to FFT-Dipole-Approximation analysis, a reference-free frequency-domain dipole source modeling, and Regional (hemispheric) Omega Complexity analysis, a linear approach estimating the complexity of the trajectories of momentary EEG map series in state space. Compared to disbelievers, believers showed: more right-located sources of the beta2 band (18.5-21 Hz, excitatory activity); reduced interhemispheric differences in Omega complexity values; higher scores on the Magical Ideation scale; more general negative affect; and more hypnagogic-like reveries after a 4-min eyes-closed resting period. Thus, subjects differing in their declared paranormal belief displayed different active, cerebral neural populations during resting, task-free conditions. As hypothesized, believers showed relatively higher right hemispheric activation and reduced hemispheric asymmetry of functional complexity. These markers may constitute the neurophysiological basis for paranormal and schizotypal ideation.

Exploring Mars and beyond : what's next for U.S. planetary science : hearing before the Subcommittee on Space and Aeronautics, Committee on Science, Space, and Technology, House of Representatives, One Hundred Twelfth Congress, first session, Tuesday, November 15, 2011.

Mode of access: Internet.

Future space programs, 1981 [microform] : hearings before the Subcommittee on Space Science and Applications of the Committee on Science and Technology, U.S. House of Representatives, Ninety-seventh Congress, first session, September, 21, 22, 23, 1981.

"No. 50."