<p>Södra Cell sells 1 900 000 ton pulp every year. Of this 490 000 tonne is sold with a contract system based on a pricing index called PIX NBSK. This index was started in 1996 and reflects the price of pulp from conferious forest. We study the NBSK PIX value of softwood from October 1996 to December 2006.</p><p>People working in this branch known that there is strong periodicity in the prices. We use predictive analysis to see if clients can benefit from the periodicity and use the options in the contract system Södra offers today. We conclude that a drawback for the current contract system is that there are too many contracts in proportion to the duration time that is one year for all contracts. Using a time series model called ARMA we make successfull predictions the price difference between two contracts. Based on this prediction we change between these contracts, reducing the price with 0.81% in mean during 1997-2006. Due to the total turnover, if all clients would used such predictions during 1997-2006 Södra's income would have been reduced with 2.77 million USD a year in mean.</p><p>The prices used before PIX are called list prices. The list prices seem to behave like the PIX index. Supposing that the same contract system we see in PIX today was used 1975-2006 with the list price as the base index I made a prediction of the list prices from 1986-2006. Thanks to my predictions, if I had been a client during this period and under mentioned considerations I would have been buying pulp to a price reduced with 0.57%.</p><p>If clients had known the PIX between 1996-2006 in say 1995 Södra's contract system based on PIX would give them a price reduction that were 1.5% in mean during 1996-2006. Price reduction is not possible all years, but when it occurs it can be as big as 3% of the price. Suppose the clients always choose the contract with the lowest price and thereby get a reduced price over time. Then with 95% probability over a long period the price reduction is somewhere in between 0.4-2.7%.</p><p>To strangle this price reduction possibility for the clients there are two ways to go: either reduce the number of contracts or extend the duration time of the contracts.</p><p>To find a suitable duration time, we do spectral density estimation to get indications of which periods that are most important. From this we see that PIX index has a period of five years, wavelet approximated PIX index has 3.4 years and the list prices has a period of 5.6 years. This indicates that current duration time one year is too short. Therefore if it wouldn't effect Södra's clients, an extension of the duration time from one to five years would be good.</p><p>If Södra don't extend the duration time of the contracts my recommendation is to have fewer contracts. The possibility to change between the contracts ''average last three months'' and ''average current month'' every other year is the weakest point of today's system. Therefore I recommend stop selling pulp to the contract ''average PIX last three months''.</p><p>We can't prove any longterm difference between the contracts. If Södra chooses to have just one contract from this point of view it does not matter which one they choose. However, it seems like a good idea to follow the global market and therefore I recommend to choose ''average PIX current month'' rather than ''average PIX last three months'' which lags behind the market front. Since the price ''average current month'' is available at FOEX web page I think Södra should choose this contract if they decide to have only one contract.</p> / <p>Södra Cell säljer årligen 1 900 000 ton pappersmassa. Av denna mängd säljs 490 000 ton enligt ett kontraktsystem baserat på ett prisindex som heter PIX NBSK. Detta index introducerades 1996 och reflekterar priset på pappersmassa gjord av barrträd. Jag studerar priset på indexet från Oktober 1996 till December 2006.</p><p>Dagens kontraktsystem är baserat på kontrakt med löptiden ett år. Jag undersöker om man kan prediktera prisskilllnaden mellan kontrakten, dra nytta att dagens löptid som bara är ett år och välja det kontrakt som ger det billigaste priset så ofta att priset över lång tid reduceras. När man predikterar gör man en uppskattningen av framtiden utifrån en modell av hur framtid beror på dåtid och nutid. Den modell jag har använt kallas ARMA. Denna tillsammans med priserna på pappersmassa från 1975 och framåt gav mig ett fruktbart sätt att förutsäga priserna. Resultatet blev ett pris reducerat med 0.81% i medel under perioden 1996-2006. Eftersom Södra ha så stor försäljningsvolym skulle de ha förlorat 2.27 miljoner dollar per ton i medel om alla kunder ha spekulerat utifrån den modellen jag använde.</p><p>Om dagens kontraktsystem hade börjat användas 1975 med listpriserna som bas hade en kund som använt min prediktionsmetod fått ett pris reducerat med 0.57% under perioden 1986-2006.</p><p>Om kunderna i förväg hade vetat priset under 1996-2001 gav det nuvarande systemet en reducerad medelintäkt med 1.5% av priset. Enskilda år reducerades intäkten med så mycket som 3%. Beräknar man konfidensintervall för prisreduktionerna så inser man att på lång sikt kommer dessa vara av storleksordningen 0.4-2.7% med sannolikheten 95%. Detta förutsatt att klienterna kan se in i framtiden. Siffran 2.7% alltså ett mått på hur stor risk man tar med dagens system. Jag tror inte att klienterna kommer reducera priset med 2.7% med nuvarande system, men det är en övre gräns.</p><p>De gynsamma prediktionerna har sitt ursprung i att det finns periodicitet i priserna. Jag undersöker denna periodicitet med spektralanalys. Periodiciteten för PIX indexet är starkast kring 5 år. En wavelet-approximation av PIX-indexet hade störst periodicitet kring 3.4 år. Listpriserna hade starkast periodicitet kring 5.6 år. Detta indikerar att den nuvarande löptiden, ett år, är för kort. En lämpligare löptid för kontrakten är 5 år.</p><p>Förmodligen är fem års löptid alltför lång tid att binda sig för många kunder. Därför föreslår jag att man reducerar antalet kontrakt istället. Den största svagheten i dagens system är den korta löptiden tillsammans med kontrakten ''average current month'' och ''average last three months''. Jag rekommenderar att man slutar erbjuda kontraktet ''average last three months''. Det allra säkraste är att endast erbjuda ett kontrakt. Vi har inte kunnat påvisa några skillnader över lång sikt mellan kontrakten såtillvida att något kontrakt skulle ge ett lägre medelpris än ett annat. Ur den aspekten är det godtyckligt vilket kontrakt man väljer, men det verkar vettigt att följa den globala marknaden. Därför är det eftersläpande kontraktet ''average PIX last three months'' inte att rekommendera, välj heller ''average PIX current month''. Ett annat argument för att välja ''average PIX current month'' är att dessa priser finns på FOEX hemsida och inga extra beräkningar behöver göras.</p>

Για τέσσερις τουλάχιστον δεκαετίες η παρακολούθηση (monitoring) των φραγμάτων αποτελεί βασική προϋπόθεση για τη διασφάλιση της σωστής λειτουργίας τους και την αποφυγή αστοχιών οι οποίες δεν είναι μεν πολύ συχνές έχουν όμως εξαιρετικά μεγάλη ένταση καταστροφικών αποτελεσμάτων, πρωτογενών και δευτερογενών. Η παρακολούθηση των φραγμάτων είναι ιδιαίτερα σημαντική κατά τη διάρκεια δύο περιόδων αυξημένου κινδύνου αστοχιών: (1) της πρώτης πλήρωσης (που μπορεί να επιτελείται τμηματικά, σε περιόδους που απέχουν μέχρι και δεκαετίες, όπως στην περίπτωση του φράγματος των Κρεμαστών) και (2) της γήρανσης (κατά μέσο όρο μερικές δεκαετίες μετά την πρώτη πλήρωση). Σημαντικό τμήμα της παρακολούθησης αυτής καλύπτουν γεωδαιτικές μέθοδοι που αφορούν την καταγραφή των μετακινήσεων σημείων ελέγχου εγκατεστημένων μόνιμα πάνω στο φράγμα με στόχο την ανίχνευση τυχόν παραμορφώσεων (αλλαγή της γεωμετρίας) στο σώμα του φράγματος αλλά και τυχόν μετατόπισή του από το πεδίο θεμελίωσης. Παρότι η συστηματική παρακολούθηση είναι εξαιρετικά διαδεδομένη, υπάρχει εξαιρετική σπάνις δεδομένων και συστηματικών μελετών σχετικά με τη μακροχρόνια συμπεριφορά των φραγμάτων για διάφορους λόγους (σκόπιμη απόκρυψη στοιχείων, κακή ποιότητα καταγραφών κτλ.). Στην πλειοψηφία τους τα διαθέσιμα στοιχεία αφορούν κυρίως την περίοδο της πρώτης πλήρωσης με τις μετακινήσεις να καλύπτουν διάστημα < 10 ετών. Βασικός στόχος της παρούσας διατριβής ήταν η μελέτη των γεωδαιτικών στοιχείων του Φράγματος Κρεμαστών, ενός από τα μεγαλύτερα χωμάτινα φράγματα στην Ευρώπη (ύψος 160m και μήκος στέψης 456m) και ενός φράγματος σε δυσμενές σεισμοτεκτονικό και γεωλογικό περιβάλλον (έντονη σεισμικότητα, ανομοιογενή θεμέλια, με υλικά διαπερατά και τεκτονισμένα), με σκοπό να διερευνηθούν: (1) Οι λεπτομέρειες της παραμόρφωσης του φράγματος βάσει μακροχρόνιων δεδομένων γεωδαιτικά καταγεγραμμένων μετατοπίσεων (> 30 ετών) (2) Ο συσχετισμός των μετακινήσεων με τη στάθμη της λίμνης, τη βροχόπτωση και μικροαστοχίες ή πλημμύρες που εμφανίστηκαν. Τα διαθέσιμα γεωδαιτικά στοιχεία κάλυπταν τη χρονική περίοδο Ιούνιος 1966 – Μάιος 2003 και περιελάμβαναν τις οριζόντιες αποκλίσεις από ευθυγραμμία και τις κατακόρυφες μετακινήσεις ως προς μια χωροσταθμική αφετηρία 25 σημείων ελέγχου εγκατεστημένων στη στέψη και τα πρανή του φράγματος. Ήταν επίσης διαθέσιμες οι παρατηρήσεις της στάθμης ταμιευτήρα και οι τιμές της βροχόπτωσης στην περιοχή του φράγματος. Οι συνολικές οριζόντιες αποκλίσεις των σημείων ελέγχου στη χρονική περίοδο που εξετάστηκε έφτασαν τα 30cm και οι συνολικές κατακόρυφες μετακινήσεις τα 77cm. Η ακρίβεια των μετακινήσεων εκτιμήθηκε πολύ καλύτερη από 1mm για τις οριζόντιες αποκλίσεις και 1.3mm για τις κατακόρυφες μετακινήσεις. Από την ανάλυση στο πεδίο του χρόνου προέκυψε ότι οι παρατηρήσεις μπορούν να προσεγγιστούν με ένα πολυώνυμο 4ου βαθμού εντός του χρονικού διαστήματος που καλύπτουν οι μετρήσεις. Οι παραμορφώσεις είναι μόνιμες, ενώ παρουσιάζουν τάση για σταθεροποίηση. Το εύρος των μετακινήσεων δεν κρίνεται ανησυχητικό λαμβάνοντας υπόψη την ηλικία του φράγματος (> 40 χρόνων). Ιδιαίτερο ενδιαφέρον παρουσίασε η συνεχής κίνηση προς τα ανάντη πέντε σημείων έλεγχου στο κατάντη πρανές. Πιθανότερη αιτία εκτιμήθηκε ότι αποτελούν οι διαρροές στο φράγμα που συγκεντρώνονται στη σήραγγα αποστράγγισης σε θέση κοντά στα εν λόγω σημεία. Για τη διερεύνηση της επίδρασης της στάθμης ταμιευτήρα και της βροχόπτωσης στις μετακινήσεις του φράγματος εφαρμόστηκε αρχικά φασματική ανάλυση με σκοπό τον προσδιορισμό των κύριων περιόδων των διαθέσιμων παρατηρήσεων. Χρησιμοποιήθηκαν (α) οι μετασχηματισμοί Fourier, όπου το επέτρεπαν οι συνθήκες και (β) το κανονικοποιημένο περιοδόγραμμα Lomb. Για την εφαρμογή του τελευταίου αναπτύχθηκε ειδικό λογισμικό σε γλώσσα προγραμματισμού Fortran. Η φασματική ανάλυση των τιμών της στάθμης του ταμιευτήρα κατέληξε στον προσδιορισμό > 10 κύριων περιόδων με εμφανώς υπερέχουσα την ετήσια. Οι κύριες περίοδοι που εντοπίστηκαν για τις τιμές της βροχόπτωσης αντιστοιχούσαν στην ετήσια και τη χειμερινή συνιστώσα. Όπως ήταν αναμενόμενο, οι μετακινήσεις των σημείων ελέγχου δεν παρουσίαζαν περιοδικότητα. Στη συνέχεια εφαρμόστηκε ανάλυση στο πεδίο χρόνου – συχνοτήτων με εφαρμογή των Μετασχηματισμών Ζ κυματιδίων με βάρη. Η μέθοδος οδήγησε στο συσχετισμό κάποιων από τα μέγιστα που εντοπίστηκαν στο φασματόγραμμα της στάθμης του ταμιευτήρα με συγκεκριμένα συμβάντα όπως π.χ. το άνοιγμα των θυρών των υπερχειλιστών. Με χρήση της μεθόδου γραμμικής συσχέτισης και ενός high-pass φίλτρου προσδιορίστηκαν οι κρίσιμες τιμές (thresholds) για τη στάθμη λίμνης και τη βροχόπτωση πέρα από τις οποίες ο ρυθμός μεταβολής των καθιζήσεων φαίνεται να αυξάνει υπερβολικά. Διαπιστώθηκε ότι για στάθμες λίμνης > 270m και βροχόπτωση > 130mm/μήνα οι καθιζήσεις της στέψης αυξάνονται σημαντικά. Δεδομένου ότι η στάθμη ταμιευτήρα πήρε για πρώτη φορά τη μέγιστη τιμή της 28 χρόνια μετά την ολοκλήρωση της κατασκευής του φράγματος κατέστη δυνατή η μελέτη της απόκρισης του φράγματος σε συνθήκες πρώτης πλήρωσης κάτι που υπό άλλες συνθήκες δεν θα ήταν εφικτό καθώς οι μετρήσεις των μετακινήσεων ξεκίνησαν σχεδόν ένα χρόνο μετά το κλείσιμο της σήραγγας εκτροπής. Διαπιστώθηκε ότι η ανύψωση της στάθμης σε τόσο υψηλά επίπεδα αύξησε σημαντικά το ρυθμό των καθιζήσεων. Το φαινόμενο ήταν περισσότερο έντονο για τα σημεία της στέψης. Εκτός από την ανάλυση των δεδομένων, έγινε μία σχεδόν πλήρης καταγραφή, αξιολόγηση και ταξινόμηση των διαθέσιμων στη διεθνή βιβλιογραφία μελετών φραγμάτων με βάση γεωδαιτικά δεδομένα. Από τη βιβλιογραφική αυτή προσέγγιση προσδιορίστηκε ένα εύρος κρίσιμων τιμών (0.8 – 1%) για την αναμενόμενη καθίζηση της στέψης ως ποσοστό του ύψους του φράγματος. Για την περίπτωση του φράγματος των Κρεμαστών το ποσοστό αυτό είναι ίσο με 0.48% αρκετά χαμηλότερα από το ανώτατο όριο του 1%. Δεδομένου ότι το φράγμα των Κρεμαστών είναι ηλικίας > 40 ετών και επομένως αυξημένης κατά τεκμήριο επικινδυνότητας, προτείνεται η συνέχιση της παρακολούθησης των μετακινήσεών του και η ενίσχυσή τους με όργανα νεότερης τεχνολογίας κυρίως GPS των οποίων έχει γίνει πιλοτική μόνο εφαρμογή. Επιπλέον, λαμβάνοντας υπόψη ότι μέχρι σήμερα δεν έχει επιχειρηθεί η πρώτη πλήρωση του φράγματος στο επίπεδο που προέβλεπε η μελέτη λόγω αύξησης των διαρροών σε μη επιτρεπτά επίπεδα προτείνεται η ανάπτυξη ενός τρισδιάστατου μοντέλου που να προβλέπει την εξέλιξη των μετακινήσεων στο χώρο και τη συμπεριφορά του πυρήνα για υψηλές στάθμες λίμνης. Τα αποτελέσματα της παρούσας διατριβής μπορούν να αποτελέσουν τη βάση για τη δημιουργία ενός τέτοιου μοντέλου. / Monitoring has proved to be crucial for the safety of dams. Geodetic methods play an important role on this. The aim of geodetic monitoring is the detection of any change on the dam geometry as well as any displacements of its foundations. Despite the fact that dams are systematically monitored for the last decades, long-term monitoring records and their analyses are extremely rare in the literature. The majority of available data cover only the period of the first filling or a few years later (< 10 years). The aim of this study was the analysis of the geodetic monitoring record of Kremasta Dam, one of the highest earthfill dams in Europe (160m high and 456m long) for the first time after its construction. The available data cover a period of > 35 years (1966 – 2003) and consist of the horizontal deflections and vertical displacements of 25 control stations established on the crest and the body of the dam relative to reference points on stable ground as well as the reservoir level fluctuations and the rainfall height at the dam area. Maximum horizontal deflection was equal to 30cm while maximum vertical displacements were up to 77cm. The accuracy of the data was found to be better than 1mm for horizontal deflections and 1.3mm for vertical displacements. Analysis in the time domain revealed that displacements can be described by a 4th degree polynomial and have a tendency of stabilization. The amplitude of displacements is normal compared to the age of the dam. On the other hand, a part of the downstream slope was found to move systematically upstream. This phenomenon is possibly due to leakage that can be up to 200lt/sec. Spectral analysis using Fourier Transforms and Lomb Periodogram was applied in order to investigate the effects of reservoir level fluctuations and rainfall on the behaviour of Kremasta dam. A dominant period of 1 year was found present in reservoir level and rainfall timeseries while no periodicity was detected in the values of displacements. Time-frequency analysis using Weighted Wavelet –Z Transforms revealed that there is a relationship between some of the peaks of the obtained spectrogram and specific events e.g. the operation of spillways in 1996. A high-pass filter in combination with linear correlation method was applied in order to define the critical values for (1) reservoir level elevation, (2) rate of reservoir level fluctuations and (3) rainfall rate above which the settlement rate of the crest increases significantly. These thresholds are equal to 270m, 1.3m/month and 130mm/month respectively. Statistical analysis of the crest settlements of > 40 earthfill dams (up to 30 years old) with central clay core revealed that crest settlements of up to 0.8 – 1% of dam height can be considered to be normal. In case of Kremasta Dam this percentage is up to 0.48% which is within safety limits. Kremasta Dam is > 40 years old and thus the continuation of monitoring its displacements is suggested in order to ensure the dam’s safety. Geodesy Laboratory of Patras University and Public Power Corporation are working on the design of a new geodetic monitoring system of Kremasta Dam based on modern instruments like GPS. Results of this study, the first study of the long-term behaviour of Kremasta Dam, could also be used in the development of a 3-D model for prediction of the dam’s displacements and the behaviour of the clay core under high water levels.

O hipertireoidismo é uma patologia epidemiologicamente importante, que afeta o sistema cardiovascular de forma proeminente. O estado hipertireoideo pode afetar o metabolismo basal, consumo de O2 celular, sistema renina angiotensina, assim como, estimular a produção de espécies ativas de oxigênio. Estas alterações produzem consequências morfológicas, funcionais, bioquímicas e moleculares no tecido cardíaco. A hipertrofia cardíaca, decorrente do hipertireoidismo, instala-se devido a uma série de eventos que sinalizam à proliferação e sobrevivência celular, envolvendo as espécies ativas de oxigênio, a ativação do sistema renina angiotensina cardíaco e o sistema nervoso autonômico. Neste estudo, bloqueamos o receptor AT1 da angiotensina II para avaliarmos a influência do sistema renina angiotensina cardíaco sobre o desenvolvimento da hipertrofia cardíaca, a participação do balanço autonômico sobre o coração e o papel das espécies ativas de oxigênio neste processo, em modelo experimental de hipertireoidismo. Para isto, foram utilizados ratos Wistar machos, pesando cerca de 220g, divididos em 4 grupos experimentais: Controle (C), Losartan (L) (10 mg/Kg de peso corporal/dia, 28 dias, sonda intragástrica) , T4 (12mg/L água de beber, 28 dias), e T4+L. Foram avaliados a massa cardíaca, análise espectral do balanço simpato-vagal, a expressão protéica do receptor AT1 da Angiotensina II e da gp91phox, peróxido de hidrogênio (H2O2), Nrf-2 e Heme-oxigenase-1 (HO-1) no tecido cardíaco. A hipertrofia cardíaca e o desequilíbrio autonômico induzidos pelo hipertireoidismo foram atenuados no grupo T4+L. Os níveis de H2O2, Nrf-2, gp91phox e HO-1 foram elevados no grupo T4, e significativamente reduzidos no grupo T4+L, quando comparados ao grupo Controle. A expressão protéica do receptor AT1 esteve elevada nos dois grupos hipertireoideos. Os resultados obtidos sugerem que o bloqueio do receptor AT1 promove importante impacto sobre o balanço simpato-vagal e a hipertrofia cardíaca, no hipertireoidismo, sendo as espécies ativas de oxigênio e o sistema Nrf-2/HO-1 possíveis mediadores destas alterações. / Hyperthyroidism is an epidemiologic relevant pathology, which substantially affects the cardiovascular system. The hyperthyroid state may affect basal metabolism, O2 cell consumption, renin-angiotensin system, and increase reactive oxygen species production. Those alterations produce morphological, biochemical, functional and molecular consequences in cardiac tissue. Hyperthyroidism induced cardiac hypertrophy develops due to a set of events, which signals cell survival and proliferation, including reactive oxygen species, cardiac rennin-angiotensin system, and autonomic nervous system. In the present study, the role of cardiac renin-angiotensin system on development of hyperthyroidism induced cardiac hypertrophy, and the involvement of autonomic nervous system and reactive oxygen species, were assessed trough blockade of angiotensin II receptor AT1. For that, were used male Wistar rats, weighting about 220g, divided in 4 experimental groups,: Control (C), Losartan (L) (10mg/Kg body weight/day, 28 days, intragastric probe), T4 (12mg/L L-thyroxin in drinking water, 28 days), and T4+L. Cardiac mass, spectral analysis (autonomic balance), hydrogen peroxide (H2O2), and myocardial protein expression of angiotensin II receptor (AT1), NADPH oxidase, Nrf-2, and heme-oxygenase-1 (HO-1), were quantified. Cardiac hypertrophy and autonomic umbalance induced by thyroid hormones were attenuated in the T4+losartan group. The H2O2, as well as Nrf-2, gp91phox, AT1 and HO-1 immunocontent were elevated in T4 group. All these effects were attenuated by losartan, except AT1 levels. The overall results suggest that blockade of AT1 receptor lead to relevant impact on autonomic balance and cardiac hypertrophy, being ROS and Nrf-2/ HO-1 system possible mediators in this alterations in experimental hyperthyroidism.

Submitted by Melchior Felix (melchior_felix@yahoo.com.br) on 2014-08-27T23:26:03Z No. of bitstreams: 1 Memória Longa em Dados Intradiários - Melchior Vinicius dos Santos Felix.pdf: 1262687 bytes, checksum: e23c42090eb78ab8e9251f4e82fa6bc1 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-08-28T18:42:44Z (GMT) No. of bitstreams: 1 Memória Longa em Dados Intradiários - Melchior Vinicius dos Santos Felix.pdf: 1262687 bytes, checksum: e23c42090eb78ab8e9251f4e82fa6bc1 (MD5) / Made available in DSpace on 2014-08-28T19:38:24Z (GMT). No. of bitstreams: 1 Memória Longa em Dados Intradiários - Melchior Vinicius dos Santos Felix.pdf: 1262687 bytes, checksum: e23c42090eb78ab8e9251f4e82fa6bc1 (MD5) Previous issue date: 2014-07-31 / Mandelbrot (1971) demonstrou a importância de considerar dependências de longo prazo na precificação de ativos - o método tradicional para mensurá-las, encontrado em Hurst (1951), faz uso da estatística R/S. Paralelamente a isso, Box e Jenkins (1976; edição original de 1970) apresentaram sua famosa metodologia para determinação da ordem dos parâmetros de modelos desenvolvidos no contexto de processos com memória de curto prazo, conhecidos por ARIMA (acrônimo do inglês Autoregressive Integrated Moving Average). Estimulados pela percepção de que um modelo que pretenda representar fielmente o processo gerador de dados deva explicar tanto a dinâmica de curto prazo quanto a de longo prazo, Granger e Joyeux (1980) e Hosking (1981) introduziram os modelos ARFIMA (de onde o F adicionado vem de Fractionally), uma generalização da classe ARIMA, nos quais a dependência de longo prazo estimada é relacionada ao valor do parâmetro de integração. Pode-se dizer que a partir de então processos com alto grau de persistência passaram a atrair cada vez mais o interesse de pesquisadores, o que resultou no desenvolvimento de outros métodos para estimá-la, porém sem que algum tenha se sobressaído claramente – e é neste ponto que o presente trabalho se insere. Por meio de simulações, buscou-se: (1) classificar diversos estimadores quanto a sua precisão, o que nos obrigou a; (2) determinar parametrizações razoáveis desses, entendidas aqui como aquelas que minimizam o viés, o erro quadrático médio e o desvio-padrão. Após rever a literatura sobre o tema, abordar estes pontos se mostrou necessário para o objetivo principal: elaborar estratégias de negociação baseadas em projeções feitas a partir da caracterização de dependências em dados intradiários, minuto a minuto, de ações e índices de ações. Foram analisadas as séries de retornos da ação Petrobras PN e do Índice Bovespa, com dados de 01/04/2013 a 31/03/2014. Os softwares usados foram o S-Plus e o R. / Mandelbrot (1971) demonstrated the need to take into account long-term dependences when pricing assets – the traditional method to measure it, proposed by Hurst (1951), is based on the R/S statistic. In parallel to this, Box and Jenkins (1976; first edition in 1970) presented their famous methodology to determine the order of the parameters of models developed in the context of short memory processes, known as ARIMA (acronym to Autoregressive Integrated Moving Average). Motivated by the perception that a model that aims to described correctly the data generating process needs to explain both the short-term as well as the longterm dynamics, Granger and Joyeux (1980) and Hosking (1981) introduced the ARFIMA models (the F is due to the added term Fractionally), a generalization of the ARIMA class, in which the estimated long-term dependence is related to the value of the integration parameter. It can be said that since then processes with a high degree of persistence have attracted greater interest of researchers, what resulted in the development of new methods to estimated it, although none of them has clearly excelled – and is at this point that the present work stands itself. Through simulations, we targeted to: (1) rank many estimators according to precision, what showed the necessity to; (2) determine reasonable values for the input parameters, defined as those that minimize the bias, the mean squared error and the standard deviation. Past reviewing the literature about the subject, analyzing these points proved necessary to the main objective: creating trading strategies based on forecasts derived through the characterization of dependences in intradaily quotes, minute by minute, of equities and equity indexes. In the tests were analyzed the Petrobras PN and Bovespa Index returns time series, from the period ranging from April 1st, 2013 to March 31st, 2014. The softwares used were the S-Plus e the R.

Dans ce travail, on s'intéresse aux méthodes numériques d'ordre élevé pour des écoulements instationnaires autour de géométries complexes. On commence par analyser l'approche hybride pour la méthode industrielle des Volumes Finis à l'ordre faible. Cela consiste à calculer en même temps sur des maillages structurés et non structurés avec des schémas numériques dédiés. Les maillages structurés et non structurés sont ensuite couplés par un raccord non conforme. Ce dernier est analysé en détails avec une attention particulière pour des écoulements instationnaires. On montre qu'un traitement dédié à l'interface empêche la réflexion d'ondes parasites. De plus, l'approche hybride est validée sur plusieurs cas académiques à la fois pour les flux convectifs et pour les flux diffusifs. L'extension de cette approche hybride à l'ordre élevé est limitée par l'efficacité des schémas non structurés d'ordre élevé en terme de temps de calcul. C'est pourquoi une nouvelle approche est explorée : la méthode des différences spectrales. Un nouveau cadre est spécialement développé pour réaliser l'analyse spectrale des méthodes spectrales discontinues. La méthode des différences spectrales semble être une alternative viable en terme de temps de calcul et de nombre de points par longueur d'onde nécessaires à une application donnée pour capturer la physique de l'écoulement. / This work deals with high-order numerical methods for unsteady flows around complex geometries. In order to cope with the low-order industrial Finite Volume Method, the proposed technique consists in computing on structured and unstructured zones with their associated schemes: this is called a hybrid approach. Structured and unstructured meshes are then coupled by a nonconforming grid interface. The latter is analyzed in details with special focus on unsteady flows. It is shown that a dedicated treatment at the interface avoids the reflection of spurious waves. Moreover, this hybrid approach is validated on several academic test cases for both convective and diffusive fluxes. The extension of this hybrid approach to high-order schemes is limited by the efficiency of unstructured high-order schemes in terms of computational time. This is why a new approach is explored: The Spectral Difference Method. A new framework is especially developed to perform the spectral analysis of Spectral Discontinuous Methods. The Spectral Difference Method seems to be a viable alternative in terms of computational time and number of points per wavelength needed for a given application to capture the flow physics.

É presentada nesta dissertação uma análise espectral das equações de transporte de nêutrons, independente do tempo, em geometria unidimensional e bidimensional, na formulação de ordenadas discretas (SN), utilizando o modelo de uma velocidade e multigrupo, considerando meios onde ocorrem o fenômeno da fissão nuclear. Esta análise espectral constitui-se na resolução de problemas de autovalores e respectivos autovetores, e reproduz a expressão para a solução geral analítica local das equações SN (para geometria unidimensional) ou das equações nodais integradas transversalmente (geometria retangular bidimensional) dentro de cada região homogeneizada do domínio espacial. Com a solução geral local determinada, métodos numéricos, tais como os métodos de matriz de resposta SN, podem ser derivados. Os resultados numéricos são gerados por programas de computadores implementados em MatLab, versão 2012, a fim de verificar a natureza dos autovalores e autovetores correspondentes no espaço real ou complexo. / Presented in this dissertation is a spectral analysis of the neutron transport equations in the slab and X, Y geometry time-independent discrete ordinates formulation using the one-speed and multigroup model in neutron fission reacting media. This spectral analysis is bared on solving eigenvalue problems and yields the expression for the local general solution of the equations (for slab geometry) or of the transverse integrated nodal equations (for multidimensional rectangular geometry) within each homogenized region of the domain. With the local general solution so determined, a number of coarse-mesh numerical methods, such as the response matrix methods, can be derived. Numerical results are generated by computer program s implemented in MatLab, version 2012, in order to verify the nature of the eigenvalues and corresponding eigenvectors in real or complex space.

Made available in DSpace on 2016-06-02T20:19:14Z (GMT). No. of bitstreams: 1 3279.pdf: 2107272 bytes, checksum: 76c57df00c9a0034d4eafd7654a5e1fb (MD5) Previous issue date: 2010-05-26 / Universidade Federal de Minas Gerais / The dissertation consisted of two works. The objective of the first study was to use linear and non-linear methods to investigate the cardiac autonomic modulation in elderly men and women in response to a postural change from the supine to the standing position. Fourteen men (66 ± 3.5 years) and ten women (65 ± 3.3 years) who did not use hormonal replacement therapy (HRT) were evaluated. All volunteers were apparently healthy. The RR intervals (RRi) and the beat-to-beat heart rate (HR) were recorded in the supine and standing positions. The HR variability (HRV) was studied by spectral analysis: low frequency (LF) and high frequency (HF) in absolute units (LF and HF) and normalized units (LFun and HFun) as well as the low frequency/high frequency (LF/HF) ratio. Symbolic analysis (0V%, 1V%, 2LV% and 2ULV% indexes) and Shannon entropy were also calculated for the HRV analysis. Men presented higher LF, LFnu and LF/HF ratio, and lower HFnu and 1V% symbolic index when compared to women in the supine position. Shannon entropy was higher among men than among women in the standing position. During the postural change there were a decrease in LF and an increase in Shannon entropy in the men s group. There was an increase in LFnu and LH/HF ratio as well as a decrease in HF, HFnu and 2LV% symbolic index due to the postural change from supine to standing position in the women s group. In conclusion, women presented a more appropriate response to the postural change than men in the age range studied, showing that the cardiac autonomic modulation may be better preserved in women than in men. Similarly, the objective of the second study was to investigate the HR autonomic modulation in elderly men and women HRT users and no-users by linear and nonlinear methods. So, 15 men (66 ± 3.4 years), 13 women without HRT (64 ± 3.5 years) and 7 women HRT users (61 ± 2.1 years), all of them apparently healthy, were evaluated. The RRi and the beat-to-beat HR were recorded in the supine position. The data analysis was carried out on the same methods described in the first study. The cardiac autonomic modulation analysis in the supine position shows that the women without HRT presented higher HFnu and lower LFnu, LF/HF ratio and 0V% symbolic index when compared to the men. No differences were observed in the comparison between the women who used and did not use HRT. We concluded that the women without HRT seem to have a higher cardiac vagal modulation and a lower cardiac sympathetic modulation when compared to the men. The use of HRT may not offer advantages to the cardiac autonomic modulation in elderly women. / A dissertação constou de 2 estudos descritos a seguir. O estudo I teve por objetivo verificar, por métodos lineares e não lineares, a modulação autonômica da freqüência cardíaca (FC) de idosos aparentemente saudáveis em resposta à mudança postural de supino para ortostatismo. Participaram deste estudo 14 homens (66 ± 3,5 anos) e 10 mulheres (65 ± 3,3 anos) sem uso de terapia de reposição hormonal (TRH). Os intervalos R-R (iR-R) e a FC batimento a batimento foram registrados nas posições supina e ortostática. A VFC foi analisada por meio dos índices espectrais de baixa freqüência (BF) e alta freqüência (AF) em unidades absolutas (BF e AF) e unidades normalizadas (BFun e AFun), da razão entre as bandas de baixa e alta freqüências (BF/AF). A análise simbólica da VFC (índices 0V%, 1V%, 2LV% e 2ULV%) e a entropia de Shannon também foram calculadas. Na análise da VFC em resposta à mudança postural, os homens apresentaram maiores valores de BF, BFun e razão BF/AF e menores valores de AFun e índice simbólico 1V% em comparação às mulheres, na posição supina. A entropia de Shannon foi maior no grupo de homens comparado ao grupo de mulheres na posição ortostática. Nos homens, a mudança postural levou à diminuição de BF e aumento da entropia de Shannon. Nas mulheres, houve aumento de BFun e da razão BF/AF e diminuição de AF, de AFun e do índice simbólico 2LV% devido à mudança de posição de supino para ortostatismo. Concluímos que, na faixa etária estudada, as mulheres apresentaram uma resposta mais adequada à mudança postural que os homens, mostrando que a modulação autonômica cardíaca nas mulheres parece estar mais preservada. Também foi realizado o estudo II, que teve por objetivo verificar, por métodos lineares e não lineares, a modulação autonômica da FC de homens e mulheres idosas com e sem o uso de TRH. Para isso, foram avaliados 15 homens (66 ± 3,4 anos), 13 mulheres sem TRH (64 ± 3,5 anos) e 7 mulheres com TRH (61 ± 2,1 anos), todos aparentemente saudáveis. Os iR-R e a FC batimento a batimento foram registrados na posição supina. A análise de dados foi realizada como descrito para o estudo I. A análise da modulação autonômica cardíaca na posição supina mostrou que as mulheres sem uso de TRH apresentaram maior AFun e menores BFun, razão BF/AF e índice 0V% comparadas aos homens. Nenhuma diferença foi observada na comparação entre as de mulheres sem TRH e as mulheres com TRH. Concluímos que as mulheres não usuárias de TRH parecem ter uma maior modulação vagal e uma menor modulação simpática cardíaca quando comparadas aos homens, sendo que o uso de TRH parece não oferecer vantagens com relação à modulação autonômica cardíaca de mulheres idosas.

Made available in DSpace on 2016-06-02T20:19:17Z (GMT). No. of bitstreams: 1 4130.pdf: 7746703 bytes, checksum: 425a15aa93496be6f1802d7a31fd28d2 (MD5) Previous issue date: 2012-02-29 / Financiadora de Estudos e Projetos / OBJECTIVE Evaluate the heart rate variability (HRV) of individuals with Type 2 diabetes, in the supine and in response to active postural maneuver from the supine to orthostatic position, by means of linear and non linear analysis and correlate these data. RESEARCH DESIGN AND METHODS Sixteen men with type 2 diabetes (DM) and sixteen control subjects (CG), age-range from 40 to 65 year were studied. The R-R intervals were recorded with a Polar RS800CX for 10 minutes in supine and 10 minutes in the orthostatic position. We assessed HRV using spectral (LFnu, HFnu and LF/HF), symbolic (0V%, 1V%, 2LV% and 2ULV%) analysis, Shannon (SE) and conditional entropy (complexity Index - CI and Normalized Complexity Index- NCI). RESULTS The DM presented higher sympathetic modulation (LFnu) in the supine position than the CG. In active postural maneuver for the variables LFnu and HFnu, DM showed no significant responses. Irrespective of position DM presented lower complexity than CG for SE. The same did not occur with conditional entropy, however, in both groups a reduction in values of entropies was observed with postural change. The reduction in complexity observed by SE was related to an increase in sympathetic modulation (0V%). CONCLUSION Our study showed that DM had higher sympathetic modulation in the supine position, which may be related to less complexity of HRV in this population. In addition, DM did not present the expected response of the autonomic nervous system to active postural maneuver for the variables LFnu and HFnu. / OBJETIVO Avaliar a variabilidade da frequência cardíaca (VFC) de indivíduos com diabetes mellitus tipo 2, na posição supina e em resposta a manobra postural ativa de supino para ortostático, por meio de análise linear e não linear e correlacioná-las. MÉTODOS Foram avaliados dezesseis homens com diabetes mellitus tipo 2 (DM) e dezesseis sujeitos controle (GC), na faixa etária de 40 a 65 anos. Os intervalos R-R (iRR) foram captados por um Polar RS800CX durante 10 minutos na posição supina e 10 minutos na posição ortostática. Avaliou-se a VFC utilizando análises espectral (BFun, AFun e BF/AF), simbólica (0V%, 1V%, 2LV% e 2ULV%), entropia de Shannon (ES) e condicional (índice de complexidade - IC e índice de complexidade normalizado - ICN). RESULTADOS O DM apresentou maior modulação simpática (BFun) na posição supina do que o GC. Na manobra postural ativa para as variáveis BFun e AFun o DM não mostrou resposta significativa. Independentemente da posição DM apresentou menor complexidade (menor ES) do que o GC. O mesmo não ocorreu com a entropia condicional, entretanto em ambos os grupos foi observada redução nos valores das entropias com a mudança postural. A redução da complexidade observada pela ES foi relacionada ao aumento da modulação simpática (0V%). CONCLUSÃO Nosso estudo mostrou que DM apresentou maior modulação simpática na posição supina, a qual pode estar relacionada com a menor complexidade da VFC nessa população. Além disso, DM não apresentou resposta esperada do sistema nervoso autonômico à manobra postural ativa para as variáveis BFun e AFun.

Objective: As the multiple trigonometric regressive spectral (MTRS) analysis is extraordinary in its ability to analyze short local data segments down to 12 s, we wanted to evaluate the impact of the data segment settings by applying the technique of MTRS analysis for baroreflex sensitivity (BRS) estimation using a standardized data pool. Methods: Spectral and baroreflex analyses were performed on the EuroBaVar dataset (42 recordings, including lying and standing positions). For this analysis, the technique of MTRS was used. We used different global and local data segment lengths, and chose the global data segments from different positions. Three global data segments of 1 and 2 min and three local data segments of 12, 20, and 30 s were used in MTRS analysis for BRS. Results: All the BRS-values calculated on the three global data segments were highly correlated, both in the supine and standing positions; the different global data segments provided similar BRS estimations. When using different local data segments, all the BRS-values were also highly correlated. However, in the supine position, using short local data segments of 12 s overestimated BRS compared with those using 20 and 30 s. In the standing position, the BRS estimations using different local data segments were comparable. There was no proportional bias for the comparisons between different BRS estimations. Conclusion: We demonstrate that BRS estimation by the MTRS technique is stable when using different global data segments, and MTRS is extraordinary in its ability to evaluate BRS in even short local data segments (20 and 30 s). Because of the non-stationary character of most biosignals, the MTRS technique would be preferable for BRS analysis especially in conditions when only short stationary data segments are available or when dynamic changes of BRS should be monitored.

Made available in DSpace on 2014-12-17T14:56:03Z (GMT). No. of bitstreams: 1 LuizPSM_DISSERT.pdf: 2597772 bytes, checksum: 2a89626ca2223935451ac8cbba3ad340 (MD5) Previous issue date: 2012-02-24 / Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior / Digital signal processing (DSP) aims to extract specific information from digital signals. Digital signals are, by definition, physical quantities represented by a sequence of discrete values and from these sequences it is possible to extract and analyze the desired information. The unevenly sampled data can not be properly analyzed using standard techniques of digital signal processing. This work aimed to adapt a technique of DSP, the multiresolution analysis, to analyze unevenly smapled data, to aid the studies in the CoRoT laboratory at UFRN. The process is based on re-indexing the wavelet transform to handle unevenly sampled data properly. The was efective presenting satisfactory results / O processamento digital de sinais (PDS) tem como objetivo a extra??o de informa??es espec?ficas a partir de sinais armazenados digitalmente. Os sinais digitais s?o, por defini??o, grandezas f?sicas representadas por uma sequ?ncia de valores discretos e ? a partir dessas sequ?ncias de valores que ? poss?vel extrair e analisar as informa??es desejadas. Os sinais digitais n?o regularmente espa?ados n?o s?o corretamente analisados utilizando as t?cnicas padr?es do processamento digital de sinais. Neste trabalho teve-se o objetivo de adequar uma t?cnica de PDS, a an?lise multiresolu??o, para analisar sinais n?o regularmente espa?ados, visando auxiliar as pesquisas realizadas no laborat?rio CoRoT na UFRN. O trabalho desenvolvido consiste em uma reindexa??o da transformada Wavelet para tratar os dados n?o regularmente espa?ados de maneira adequada. O m?todo mostrou-se efetivo, apresentando resultados satisfat?rios