Modeling and predicting the CBOE market volatility index

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns investors' risk appetite, but also on the fact that there are many trading strategies that rely on the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index displays long-range dependence. This is well in line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main ndings are as follows. First, we con rm the evidence in the literature that there is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, the term spread has a slightly negative long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index.

Comparison of logistic and neural network models to fit to the egg production curve of White Leghorn hens

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Neural network based estimation of torque in induction motors for real-time applications

Induction motors are largely used in several industry sectors. The selection of an induction motor has still been inaccurate because in most of the cases the load behavior in its shaft is completely unknown. The proposal of this article is to use artificial neural networks for torque estimation with the purpose of best selecting the induction motors rather than conventional methods, which use classical identification techniques and mechanical load modeling. Since proposed approach estimates the torque behavior from the transient to the steady state, one of its main contributions is the potential to also be implemented in control schemes for real-time applications. Simulation results are also presented to validate the proposed approach.

Artificial neural networks and clustering techniques applied in the reconfiguration of distribution systems

One objective of the feeder reconfiguration problem in distribution systems is to minimize the power losses for a specific load. For this problem, mathematical modeling is a nonlinear mixed integer problem that is generally hard to solve. This paper proposes an algorithm based on artificial neural network theory. In this context, clustering techniques to determine the best training set for a single neural network with generalization ability are also presented. The proposed methodology was employed for solving two electrical systems and presented good results. Moreover, the methodology can be employed for large-scale systems in real-time environment.

Uma abordagem neural para estimação de conjugado em motores de indução

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

Load torque estimation in induction motors using artificial neural networks

The induction motors are largely used in several industry sectors. The dimensioning of an induction motor has still been inaccurate because in most of the cases the load behavior in its shaft is completely unknown. The proposal of this paper is to use artificial neural networks as tool for dimensioning of induction motors rather than conventional methods, which use classical identification techniques and mechanical load modeling. Simulation results are also presented to validate the proposed approach.

Predicting body and carcass characteristics of 2 broiler chicken strains using support vector regression and neural network models

As a new modeling method, support vector regression (SVR) has been regarded as the state-of-the-art technique for regression and approximation. In this study, the SVR models had been introduced and developed to predict body and carcass-related characteristics of 2 strains of broiler chicken. To evaluate the prediction ability of SVR models, we compared their performance with that of neural network (NN) models. Evaluation of the prediction accuracy of models was based on the R-2, MS error, and bias. The variables of interest as model output were BW, empty BW, carcass, breast, drumstick, thigh, and wing weight in 2 strains of Ross and Cobb chickens based on intake dietary nutrients, including ME (kcal/bird per week), CP, TSAA, and Lys, all as grams per bird per week. A data set composed of 64 measurements taken from each strain were used for this analysis, where 44 data lines were used for model training, whereas the remaining 20 lines were used to test the created models. The results of this study revealed that it is possible to satisfactorily estimate the BW and carcass parts of the broiler chickens via their dietary nutrient intake. Through statistical criteria used to evaluate the performance of the SVR and NN models, the overall results demonstrate that the discussed models can be effective for accurate prediction of the body and carcass-related characteristics investigated here. However, the SVR method achieved better accuracy and generalization than the NN method. This indicates that the new data mining technique (SVR model) can be used as an alternative modeling tool for NN models. However, further reevaluation of this algorithm in the future is suggested.

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.

Artificial neural network model of discharge lamps in the power quality context

This paper presents a methodology for modeling high intensity discharge lamps based on artificial neural networks. The methodology provides a model which is able to represent the device operating in the frequency of distribution systems, facing events related to power quality. With the aid of a data acquisition system to monitor the laboratory experiment, and using $$\text{ MATLAB }^{\textregistered }$$ software, data was obtained for the training of two neural networks. These neural networks, working together, were able to represent with high fidelity the behavior of a discharge lamp. The excellent performance obtained by these models allowed the simulation of a group of lamps in a distribution system with shorter simulation time when compared to mathematical models. This fact justified the application of this family of loads in electric power systems. The representation of the device facing power quality disturbances also proved to be a useful tool for more complex studies in distribution systems. © 2013 Brazilian Society for Automatics - SBA.

Previsão de cargas elétricas através de uma Rede Neural Híbrida Back-ART Fuzzy

Pós-graduação em Engenharia Elétrica - FEIS

Previsão de carga multinodal usando a rede neural ART-ARTMAP fuzzy

Pós-graduação em Engenharia Elétrica - FEIS

Estimação da porcentagem de flúor em alumina fluoretada proveniente de uma planta de tratamento de gases por meio de um sensor virtual neural

As indústrias têm buscado constantemente reduzir gastos operacionais, visando o aumento do lucro e da competitividade. Para alcançar essa meta, são necessários, dentre outros fatores, o projeto e a implantação de novas ferramentas que permitam o acesso às informações relevantes do processo de forma precisa, eficiente e barata. Os sensores virtuais têm sido aplicados cada vez mais nas indústrias. Por ser flexível, ele pode ser adaptado a qualquer tipo de medição, promovendo uma redução de custos operacionais sem comprometer, e em alguns casos até melhorar, a qualidade da informação gerada. Como estão totalmente baseados em software, não estão sujeitos a danos físicos como os sensores reais, além de permitirem uma melhor adaptação a ambientes hostis e de difícil acesso. A razão do sucesso destes tipos de sensores é a utilização de técnicas de inteligência computacional, as quais têm sido usadas na modelagem de vários processos não lineares altamente complexos. Este trabalho tem como objetivo estimar a qualidade da alumina fluoretada proveniente de uma Planta de Tratamento de Gases (PTG), a qual é resultado da adsorção de gases poluentes em alumina virgem, via sensor virtual. O modelo que emula o comportamento de um sensor de qualidade de alumina foi criado através da técnica de inteligência computacional conhecida como Rede Neural Artificial. As motivações deste trabalho consistem em: realizar simulações virtuais, sem comprometer o funcionamento da PTG; tomar decisões mais precisas e não baseada somente na experiência do operador; diagnosticar potenciais problemas, antes que esses interfiram na qualidade da alumina fluoretada; manter o funcionamento do forno de redução de alumínio dentro da normalidade, pois a produção de alumina de baixa qualidade afeta a reação de quebra da molécula que contém este metal. Os benefícios que este projeto trará consistem em: aumentar a eficiência da PTG, produzindo alumina fluoretada de alta qualidade e emitindo menos gases poluentes na atmosfera, além de aumentar o tempo de vida útil do forno de redução.

Contribuições na modelagem dinâmica e no controle neural de um braço robótico com elos flexíveis

Em geral, estruturas espaciais e manipuladores robóticos leves têm uma característica similar e inerente que é a flexibilidade. Esta característica torna a dinâmica do sistema muito mais complexa e com maiores dificuldades para a análise de estabilidade e controle. Então, braços robóticos bastantes leves, com velocidade elevada e potencia limitada devem considerar o controle de vibração causada pela flexibilidade. Por este motivo, uma estratégia de controle é desejada não somente para o controle do modo rígido mas também que seja capaz de controlar os modos de vibração do braço robótico flexível. Também, redes neurais artificiais (RNA) são identificadas como uma subespecialidade de inteligência artificial. Constituem atualmente uma teoria para o estudo de fenômenos complexos e representam uma nova ferramenta na tecnologia de processamento de informação, por possuírem características como processamento paralelo, capacidade de aprendizagem, mapeamento não-linear e capacidade de generalização. Assim, neste estudo utilizam-se RNA na identificação e controle do braço robótico com elos flexíveis. Esta tese apresenta a modelagem dinâmica de braços robóticos com elos flexíveis, 1D no plano horizontal e 2D no plano vertical com ação da gravidade, respectivamente. Modelos dinâmicos reduzidos são obtidos pelo formalismo de Newton-Euler, e utiliza-se o método dos elementos finitos (MEF) na discretização dos deslocamentos elásticos baseado na teoria elementar da viga. Além disso, duas estratégias de controle têm sido desenvolvidas com a finalidade de eliminar as vibrações devido à flexibilidade do braço robótico com elos flexíveis. Primeiro, utilizase um controlador neural feedforward (NFF) na obtenção da dinâmica inversa do braço robótico flexível e o calculo do torque da junta. E segundo, para obter precisão no posicionamento... (Resumo completo, clicar acesso eletrônico abaixo)

Global and regional sea level variations in the recent past and future: insight from observations and modeling

This work is focused on the analysis of sea–level change (last century), based mainly on instrumental observations. During this period, individual components of sea–level change are investigated, both at global and regional scales. Some of the geophysical processes responsible for current sea-level change such as glacial isostatic adjustments and current melting terrestrial ice sources, have been modeled and compared with observations. A new value of global mean sea level change based of tide gauges observations has been independently assessed in 1.5 mm/year, using corrections for glacial isostatic adjustment obtained with different models as a criterion for the tide gauge selection. The long wavelength spatial variability of the main components of sea–level change has been investigated by means of traditional and new spectral methods. Complex non–linear trends and abrupt sea–level variations shown by tide gauges records have been addressed applying different approaches to regional case studies. The Ensemble Empirical Mode Decomposition technique has been used to analyse tide gauges records from the Adriatic Sea to ascertain the existence of cyclic sea-level variations. An Early Warning approach have been adopted to detect tipping points in sea–level records of North East Pacific and their relationship with oceanic modes. Global sea–level projections to year 2100 have been obtained by a semi-empirical approach based on the artificial neural network method. In addition, a model-based approach has been applied to the case of the Mediterranean Sea, obtaining sea-level projection to year 2050.

Motor control system in Parkinson’s disease: a modeling approach

Parkinson’s disease is a neurodegenerative disorder due to the death of the dopaminergic neurons of the substantia nigra of the basal ganglia. The process that leads to these neural alterations is still unknown. Parkinson’s disease affects most of all the motor sphere, with a wide array of impairment such as bradykinesia, akinesia, tremor, postural instability and singular phenomena such as freezing of gait. Moreover, in the last few years the fact that the degeneration in the basal ganglia circuitry induces not only motor but also cognitive alterations, not necessarily implicating dementia, and that dopamine loss induces also further implications due to dopamine-driven synaptic plasticity got more attention. At the present moment, no neuroprotective treatment is available, and even if dopamine-replacement therapies as well as electrical deep brain stimulation are able to improve the life conditions of the patients, they often present side effects on the long term, and cannot recover the neural loss, which instead continues to advance. In the present thesis both motor and cognitive aspects of Parkinson’s disease and basal ganglia circuitry were investigated, at first focusing on Parkinson’s disease sensory and balance issues by means of a new instrumented method based on inertial sensor to provide further information about postural control and postural strategies used to attain balance, then applying this newly developed approach to assess balance control in mild and severe patients, both ON and OFF levodopa replacement. Given the inability of levodopa to recover balance issues and the new physiological findings than underline the importance in Parkinson’s disease of non-dopaminergic neurotransmitters, it was therefore developed an original computational model focusing on acetylcholine, the most promising neurotransmitter according to physiology, and its role in synaptic plasticity. The rationale of this thesis is that a multidisciplinary approach could gain insight into Parkinson’s disease features still unresolved.