Predictability of equity models

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the “stepwise regression” model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs.

Modeling hourly diffuse solar-radiation in the city of São Paulo using a neural-network technique

dIn this work, a perceptron neural-network technique is applied to estimate hourly values of the diffuse solar-radiation at the surface in São Paulo City, Brazil, using as input the global solar-radiation and other meteorological parameters measured from 1998 to 2001. The neural-network verification was performed using the hourly measurements of diffuse solar-radiation obtained during the year 2002. The neural network was developed based on both feature determination and pattern selection techniques. It was found that the inclusion of the atmospheric long-wave radiation as input improves the neural-network performance. on the other hand traditional meteorological parameters, like air temperature and atmospheric pressure, are not as important as long-wave radiation which acts as a surrogate for cloud-cover information on the regional scale. An objective evaluation has shown that the diffuse solar-radiation is better reproduced by neural network synthetic series than by a correlation model. (C) 2004 Elsevier Ltd. All rights reserved.

Aplicação de modelagem hidrológica associada à análise geoespacial, para caracterização da vazão na micro Central Hidroelétrica Ilha Anchieta - SP

Pós-graduação em Engenharia Mecânica - FEG

Spatial and temporal precipitation patterns of the Ebro River Basin, Spain

The Ebro River Basin, with around 85 000 km2 and located in NE Spain, is characterized by the high spatial heterogeneity of its geology, topography, climatology and land use. Rainfall is one of the most important climatic variables studied owing to its non-homogenous behaviour in event and intensity, which creates drought, water runoff and soil erosion with negative environmental and social consequences. In this work we characterized the rainfall variability pattern in the Ebro River Basin using universal multifractal (UM) analysis, which estimates the concentration of the data around the precipitation average (C1, codimension average), the degree of multiscaling behaviour in time (? index) and the maximum probable singularity in the rainfall distribution ( s). A spatial and temporal analysis of the UM parameters is applied to study the possible changes. With this porpoise, 60 daily rainfall series were selected from 132 synthetic series generated by Luna and Balairón (AEMet). These daily rainfall series present a length of 60 years, from 1950 to 2009. Each one of them was subdivided (1950?1970 and 1980?2009) to analyse the difference between the two periods. The range of variation of precipitation amounts and the frequency of dry events between both periods are discussed, as well as the evolution of the UM parameters through the years.

Extreme temperature events analyzed with Fast Fourier Transform

Extreme weather and climate events have received increased attention in the last few years, due to the often large loss of agriculture business and exponentially increasing costs associated with them and insurance planning. This increased attention raises the question as to whether extreme weather and climate events are truly increasing, whether this is only a perceived increase exacerbated by enhanced media coverage, or both. There are a number of ways extreme climate events can be defined, such as extreme daily temperatures, extreme daily rainfall amounts, and large areas experiencing unusually warm monthly temperatures, among others. In this study, we will focus our attention in frost and heatstroke events measuring it as the number of days under 0 ºC and number of days with daily maximum over 30ºC monthly respectively. We have studied the trends in these extreme events applying a Fast Fourier Transform to the series to clarify the tendency. Lack of long-term climate data suitable for analysis of extremes is the single biggest obstacle to quantifying whether extreme events have changed over the twentieth century, including high temporal and spatial resolution observations of temperatures. However, several series have been grouped in different ways: chosen the longest series independently, by provinces, by main watersheds and altitude. On the other hand, synthetic series generated by Luna and Balairón (AEMet) were also analyzed. The results obtained by different pooling data are discussed concluding the difficulties to assess the extreme events tendencies and high regional variation in the trends.

Modelagem estatística e atribuições dos eventos de precipitação extrema na Amazônia brasileira

Intense precipitation events (IPE) have been causing great social and economic losses in the affected regions. In the Amazon, these events can have serious impacts, primarily for populations living on the margins of its countless rivers, because when water levels are elevated, floods and/or inundations are generally observed. Thus, the main objective of this research is to study IPE, through Extreme Value Theory (EVT), to estimate return periods of these events and identify regions of the Brazilian Amazon where IPE have the largest values. The study was performed using daily rainfall data of the hydrometeorological network managed by the National Water Agency (Agência Nacional de Água) and the Meteorological Data Bank for Education and Research (Banco de Dados Meteorológicos para Ensino e Pesquisa) of the National Institute of Meteorology (Instituto Nacional de Meteorologia), covering the period 1983-2012. First, homogeneous rainfall regions were determined through cluster analysis, using the hierarchical agglomerative Ward method. Then synthetic series to represent the homogeneous regions were created. Next EVT, was applied in these series, through Generalized Extreme Value (GEV) and the Generalized Pareto Distribution (GPD). The goodness of fit of these distributions were evaluated by the application of the Kolmogorov-Smirnov test, which compares the cumulated empirical distributions with the theoretical ones. Finally, the composition technique was used to characterize the prevailing atmospheric patterns for the occurrence of IPE. The results suggest that the Brazilian Amazon has six pluvial homogeneous regions. It is expected more severe IPE to occur in the south and in the Amazon coast. More intense rainfall events are expected during the rainy or transitions seasons of each sub-region, with total daily precipitation of 146.1, 143.1 and 109.4 mm (GEV) and 201.6, 209.5 and 152.4 mm (GPD), at least once year, in the south, in the coast and in the northwest of the Brazilian Amazon, respectively. For the south Amazonia, the composition analysis revealed that IPE are associated with the configuration and formation of the South Atlantic Convergence Zone. Along the coast, intense precipitation events are associated with mesoscale systems, such Squall Lines. In Northwest Amazonia IPE are apparently associated with the Intertropical Convergence Zone and/or local convection.

Structural study of a series of synthetic goethites obtained in aqueous solutions containing cadmium(II) ions

The capacity of goethite for Cd-II substitution has been explored in a series of synthetic samples prepared from Fe-III and Cd-II nitrate solutions aged 21 days in alkaline media. The total metal content ([ Fe] + [ Cd]) was 0.071 M in all preparations. The samples have been characterized by chemical and X-ray diffraction analysis; the morphology of the solids is described. The cell parameters for all samples were obtained by the Rietveld fits to the X-ray diffraction data. Refined structures show that for samples prepared at the final molar ratio mu(Cd)less than or equal to5.50 (expressed as mu(Cd) = 100X[Cd]/[Cd] + [Fe]), a (Cd, Fe)-goethite is the only crystalline product. In these samples, the unit cell parameters increased as a function of Cd concentration, indicating Cd incorporation in the structural frame. At the preparative ratio, mu(Cd)=7.03, the incorporation of Cd in the goethite structure is drastically reduced and a probable Cd-substituted hematite is formed together with the Fe,Cd-goethite. (C) 2003 International Centre for Diffraction Data.

Enamel matrix protein derivative plus synthetic bone substitute for the treatment of mandibular Class II furcation defects: a case series

Objectives: The aim of this study is to report on the treatment of mandibular Class II furcation defects with enamel matrix protein derivative (EMD) combined with a beta TCP/HA (beta-tricalcium phosphate/hydroxyapatite) alloplastic material. Method and Materials: Thirteen patients were selected. All patients were nonsmokers, systemically healthy, and diagnosed with chronic periodontitis; had not taken medications known to interfere with periodontal tissue health and healing; presented one Class II mandibular furcation defect with horizontal probing equal to or greater than 4 mm at buccal site. The clinical parameters evaluated were probing depth (PD), relative gingival margin position (RGMP), relative vertical clinical attachment level (RVCAL), and relative horizontal clinical attachment level (RHCAL). A paired Student t test was used to detect differences between the baseline and 6-month measurements, with the level of significance of .05. Results: After 6 months, the treatment produced a statistically significant reduction in PD and a significant gain in RVCAL and RHCAL, but no observable change in RGMP. RVCAL ranged from 13.77 (+/- 1.31) at baseline to 12.15 (+/- 1.29) after 6 months, with a mean change of -1.62 +/- 1.00 mm (P<.05). RHCAL ranged from 5.54 (+/- 0.75) to 2.92 (+/- 0.92), with a mean change of -2.62 +/- 0.63 mm (P<.05). After 6 months, 76.92% of the patients improved their diagnosis to Class I furcation defects while 23.08% remained as Class II. Conclusion: The present study has shown that positive clinical results may be expected from the combined treatment of Class II furcation defects with EMD and beta TCP/HA, especially considering the gain of horizontal attachment level. Despite this result, controlled clinical studies are needed to confirm our outcomes.

Antiproliferative Activity Of Synthetic Fatty Acid Amides From Renewable Resources.

In the work, the in vitro antiproliferative activity of a series of synthetic fatty acid amides were investigated in seven cancer cell lines. The study revealed that most of the compounds showed antiproliferative activity against tested tumor cell lines, mainly on human glioma cells (U251) and human ovarian cancer cells with a multiple drug-resistant phenotype (NCI-ADR/RES). In addition, the fatty methyl benzylamide derived from ricinoleic acid (with the fatty acid obtained from castor oil, a renewable resource) showed a high selectivity with potent growth inhibition and cell death for the glioma cell line-the most aggressive CNS cancer.

Time series morphological analysis applied to biomedical signals events detection

Dissertation submitted in the fufillment of the requirements for the Degree of Master in Biomedical Engineering

Enzymatic biofinishes for synthetic textiles

Fundação para a Ciência e a Tecnologia, Grant SFRH/BPD/46515/2008. Jiajia Fu acknowledges the support of Jiangsu Provincial Natural Science Foundation of China (No. BK2012112) and the National Natural Science Foundation of China under Grant No. 3120113