Séries temporais financeiras, como índices de mercado e preços de ativos, são produzidas por interações complexas dos agentes que participam do mercado. As propriedades fractais e multifractais destas séries fornecem evidências para detectar com antecedência a ocorrência de movimentos bruscos de mercado (crashes). Tais evidências são obtidas ao aplicar o conceito de Calor Específico Análogo C(q), proveniente da equivalência entre a Multifractalidade e Termodinâmica. Na proximidade de um crash, C(q) apresenta um ombro anômalo à direita de sua curva, enquanto que na ausência de um crash, possui o formato parecido com uma distribuição gaussiana. Com base neste comportamento, o presente trabalho propõe um novo indicador temporal IA(i), definido como a taxa de variação da área sob a curva de C(q). O indicador foi construído por intermédio de uma janela temporal de tamanho s que se movimenta ao longo da série, simulando a entrada de dados na série ao longo do tempo. A análise de IA(i) permite detectar com antecedência a ocorrência de grandes movimentos, como os famosos crashes de 1929 e 1987 para os índices Dow Jones, S&P500 e Nasdaq. Além disso, a análise simultânea de medidas como a Energia Livre, a Dimensão Multifractal e o Espectro Multifractal, sugerem que um crash de mercado se assemelha a uma transição de fase. A robustez do método para diferentes ativos e diferentes períodos de tempo, demonstra a importância dos resultados. Além disso, modelos estatísticos não lineares para a volatilidade foram empregados no trabalho para estudar grandes flutuações causadas por crashes e crises financeiras ao longo do tempo. / Financial time series such as market index and asset prices, are produced by complex interactions of agents that trade in the market. The fractal and multifractal properties of these series provides evidence for early detection of the occurrence of sudden market movements (crashes). This evidence is obtained by applying the concept of Analog Specific Heat C(q), from the equivalence between the Multifractal Analysis and Thermodynamics. In the vicinity of a crash, C(q) exhibits a shoulder at the right side of its curve, while in the absence of a crash, C(q) presents a form similar to a Gaussian distribution curve. Based on this behavior, it is proposed in this work a new temporal indicator IA(i) defined here as the area variation rate over the Specific Heat function. We have constructed the mentioned indicator from a window of data with the first points (size s), that moves throughout the series, simulating the actual input of data over time. The indicator IA(i) allows one detecting in advance the occurrence of large financial market movements, such as those occurred in 1929 and 1987 for the marked indexes Dow Jones, Nasdaq and S&P500. Moreover, the simultaneous analysis of measures such as the Free Energy, Multifractal Dimension and Multifractal Spectrum suggest that a market crash resembles a phase transition. The robustness of the method for others assets and different periods of time demonstrates the importance of the results. Moreover, nonlinear statistical models for volatility have been employed in the work to study large fluctuations caused by crashes and financial crises over time.

Made available in DSpace on 2014-12-17T14:08:54Z (GMT). No. of bitstreams: 1 ItaloBS_DISSERT_Parcial.pdf: 1092449 bytes, checksum: 84033c6935995f4df8913ea7b715a8e5 (MD5) Previous issue date: 2014-01-16 / The study of complex systems has become a prestigious area of science, although relatively young . Its importance was demonstrated by the diversity of applications that several studies have already provided to various fields such as biology , economics and Climatology . In physics , the approach of complex systems is creating paradigms that influence markedly the new methods , bringing to Statistical Physics problems macroscopic level no longer restricted to classical studies such as those of thermodynamics . The present work aims to make a comparison and verification of statistical data on clusters of profiles Sonic ( DT ) , Gamma Ray ( GR ) , induction ( ILD ) , neutron ( NPHI ) and density ( RHOB ) to be physical measured quantities during exploratory drilling of fundamental importance to locate , identify and characterize oil reservoirs . Software were used : Statistica , Matlab R2006a , Origin 6.1 and Fortran for comparison and verification of the data profiles of oil wells ceded the field Namorado School by ANP ( National Petroleum Agency ) . It was possible to demonstrate the importance of the DFA method and that it proved quite satisfactory in that work, coming to the conclusion that the data H ( Hurst exponent ) produce spatial data with greater congestion . Therefore , we find that it is possible to find spatial pattern using the Hurst coefficient . The profiles of 56 wells have confirmed the existence of spatial patterns of Hurst exponents , ie parameter B. The profile does not directly assessed catalogs verification of geological lithology , but reveals a non-random spatial distribution / O estudo dos sistemas complexos tornou-se uma ?rea prestigiada da ci?ncia, apesar de ser relativamente jovem. Sua import?ncia foi comprovada pela diversidade de aplica??es que v?rios estudos j? proporcionaram para campos diversos como os da Biologia, Economia e Climatologia. Na F?sica, a abordagem dos sistemas complexos vem criando paradigmas que influenciam de forma marcante os novos m?todos, trazendo para a F?sica Estat?stica problemas de n?vel macrosc?pico n?o mais restritos a estudos cl?ssicos como os da Termodin?mica. O presente trabalho tem como objetivo fazer uma compara??o e verifica??o dos aglomerados estat?sticos de dados relativos aos perfis de S?nico (DT), Raio Gama (GR), Indu??o (ILD), Neutr?nico (NPHI) e Densidade (RHOB) por serem grandezas f?sicas medidas durante a perfura??o de po?os explorat?rios de fundamental import?ncia para localizar, identificar e caracterizar reservat?rios de petr?leo. Foram utilizados os softwares: Statistica, Matlab R2006a, Origin 6.1 e Fortran para a compara??o e verifica??o dos dados dos perfis de po?os de petr?leo da Escola Campo Namorado cedidos pela ANP (Ag?ncia nacional de petr?leo). Foi poss?vel evidenciar a import?ncia do m?todo DFA e que o mesmo mostrou-se bastante satisfat?rio no referido trabalho, chegando-se a conclus?o que os dados do H (expoente de Hurst) produzem dados espaciais com uma maior aglomera??o. Portanto, constatamos que ? poss?vel encontrar padr?o espacial usando o coeficiente de Hurst. Os perfis dos 56 po?os comprovaram a exist?ncia de padr?es espaciais dos expoentes de Hurst, ou seja, par?metro B. O perfil avaliado n?o cataloga diretamente a verifica??o da litologia geol?gica, mas revela a exist?ncia de uma distribui??o espacial n?o aleat?ria / 2024-12-31

A análise de textura é uma das mais básicas e famosas áreas de pesquisa em visão computacional. Ela é também de grande importância em muitas outras disciplinas, tais como ciências médicas e biológicas. Por exemplo, uma tarefa comum de análise de textura é a detecção de tecidos não saudáveis em imagens de Ressonância Magnética do pulmão. Nesta dissertação, nós propomos um método novo de caracterização de textura baseado nas medidas de complexidade tais como o expoente de Hurst, o expoente de Lyapunov e a complexidade de Lempel-Ziv. Estas medidas foram aplicadas sobre amostras de imagens no espaço de frequência. Três métodos de amostragem foram propostas, amostragem: radial, circular e por caminhadas determinísticas parcialmente auto- repulsivas (amostragem CDPA). Cada método de amostragem produz um vetor de características por medida de complexidade aplicada. Esse vetor contem um conjunto de descritores que descrevem a imagem processada. Portanto, cada imagem será representada por nove vetores de características (três medidas de complexidade e três métodos de amostragem), os quais serão comparados na tarefa de classificação de texturas. No final, concatenamos cada vetor de características conseguido calculando a complexidade de Lempel-Ziv em amostras radiais e circulares com os descritores obtidos através de técnicas de análise de textura tradicionais, tais como padrões binários locais (LBP), wavelets de Gabor (GW), matrizes de co-ocorrência en níveis de cinza (GLCM) e caminhadas determinísticas parcialmente auto-repulsivas em grafos (CDPAg). Este enfoque foi testado sobre três bancos de imagens: Brodatz, USPtex e UIUC, cada um com seus próprios desafios conhecidos. As taxas de acerto de todos os métodos tradicionais foram incrementadas com a concatenação de relativamente poucos descritores de Lempel-Ziv. Por exemplo, no caso do método LBP, o incremento foi de 84.25% a 89.09% com a concatenação de somente cinco descritores. De fato, simplesmente concatenando cinco descritores são suficientes para ver um incremento na taxa de acerto de todos os métodos tradicionais estudados. Por outro lado, a concatenação de un número excessivo de descritores de Lempel-Ziv (por exemplo mais de 40) geralmente não leva a melhora. Neste sentido, vendo os resultados semelhantes obtidos nos três bancos de imagens analisados, podemos concluir que o método proposto pode ser usado para incrementar as taxas de acerto em outras tarefas que envolvam classificação de texturas. Finalmente, com a amostragem CDPA também se obtém resultados significativos, que podem ser melhorados em trabalhos futuros. / Texture analysis is one of the basic and most popular computer vision research areas. It is also of importance in many other disciplines, such as medical sciences and biology. For example, non-healthy tissue detection in lung Magnetic Resonance images is a common texture analysis task. We proposed a novel method for texture characterization based on complexity measures such as Lyapunov exponent, Hurst exponent and Lempel-Ziv complexity. This measurements were applied over samples taken from images in the frequency domain. Three types of sampling methods were proposed: radial sampling, circular sampling and sampling by using partially self-avoiding deterministic walks (CDPA sampling). Each sampling method produce a feature vector which contains a set of descriptors that characterize the processed image. Then, each image will be represented by nine feature vectors which are means to be compared in texture classification tasks (three complexity measures over samples from three sampling methods). In the end, we combine each Lempel-Ziv feature vector from the circular and radial sampling with descriptors obtained through traditional image analysis techniques, such as Local Binary Patterns (LBP), Gabor Wavelets (GW), Gray Level Co-occurrence Matrix (GLCM) and Self-avoiding Deterministic Walks in graphs (CDPAg). This approach were tested in three datasets: Brodatz, USPtex and UIUC, each one with its own well-known challenges. All traditional methods success rates were increased by adding relatively few Lempel-Ziv descriptors. For example in the LBP case the increment went from 84.25% to 89.09% with the addition of only five descriptors. In fact, just adding five Lempel-Ziv descriptors are enough to see an increment in the success rate of every traditional method. However, adding too many Lempel-Ziv descriptors (for example more than 40) generally doesnt produce better results. In this sense, seeing the similar results we obtain in all three databases, we conclude that this approach may be used to increment the success rate in a lot of others texture classification tasks. Finally, the CDPA sampling also obtain very promising results that we can improve further on future works.

CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior / This work as main objective to evaluate the eletrogenic effect in preparations of Ãleum of rabbit fixes in chambers of Ãssing, in presence of supernatant of macrophages (S.MfS), stimulated with microcistin-LR (MCLR), of Microcystis aeruginosa. S.MfS estimulated with MCLR (3,2.10-7M; 9,6.10-7M e 3,2.10-6M), produces effect secretion, of the form dose-dependent; being that short circuit current (Isc), the secular chain variation (t) can be described for an equation of the type Isc = a . ekt for a correlation coefficient r = 0,9988 and Iscmaximo = 128,16  14,54 ÂA . cm-2. Later, was observed that the metabolic processes associatesâ geneses of the FSI, from stimulated macrophages, require the participation of a protein G, sensible pertussis active toxin. It was also verified that inhibing of protÃic synthesis, proteases, phosfolipase A2, ciclooxigenases, lipoxigenases, synthesis TNF-a, and antagonists of the PAF, they had reduced the FSI synthesis. With the application of monoclonal antibodies, it was verified that interleukin-b (IL-1b), was the main FSI; as also, that macrophages stimulated with MCLR, in the concentrations above, produced IL-1b and TNF-a, of form dose-dependent. The pay-treatment of the ileum mucosal with bumetanide, indomethacin, tetrodotoxin and HOE, disclosed that the secretory effect, by means of stimulated action of the S.MfS with MCLR is dependent of the secretion of ions chloride, with the participation of PAF, prostaglandins and mediators of the enteric nervous system. With this effect, it associates reduction of the transepitelial resistance (Rte), also mediated for prostaglandins, TNF-a, and indirectly IL-1b. The analysis of the coefficient of Hurst, disclosed that these effect had not occurred of random form, but had involved significant alterations in the kinetic parameters of the eletrogÃnic effect, to the level of the ileum mucosal. Macrophages stimulated for MCLR, produces and liberate more TNF-a of that IL-1b, to the Constant taxes, being this a linked characteristic to the type of employed stimulation. It is concluded, therefore, that MCLR stimulates macrophages to produce substances that can act as intestinal secretion factor, to the level of the ileum mucosal, involving chloride canals, reduction of the Rte, requesting for this, the participation of pro-inflammatory mediators and the enteric nervous system. / Este trabalho teve-se como principal objetivo, avaliar os efeitos eletrogÃnicos em preparaÃÃes de Ãleo de coelho fixadas em cÃmaras de Ãssing, em presenÃa de sobrenadante de macrÃfagos (S.MfS) estimulados com microcistina-LR MCLR de Microcystis aeruginosa. S.MfS estimulados com MCLR (3,2.10-7M; 9,6.10-7M e 3,2.10-6M), produz, de forma dose-dependente; sendo que a variaÃÃo temporal (t) da corrente de curto-circuito (Isc), pode ser descrita por uma equaÃÃo do tipo Isc = a . ekt; para um coeficiente de correlaÃÃo r = 0,9988 e Iscmaximo = 128,16  14,54 ÂÂcm-2. Posteriormente, observou-se que os processos metabÃlicos associados à gÃnese do fator deâ secreÃÃo intestinalâ (FSI), a partir de macrÃfagos estimulados, requer a participaÃÃo de uma proteÃna G sensÃvel à toxina pertusis ativa. Verificou-se tambÃm que inibidores de sÃntese protÃica, proteases, fosfolipase A2, cicloxigenases, lipoxigenases,; sÃntese de TNF-a e antagonista do PAF, reduziram a sÃntese de FSI. Com o emprego de anticorpos monoclonais, verificou-se que IL-1b era o principal FSI; como tambÃm, que macrÃfagos estimulados com MCLR, nas concentraÃÃes acima, reduziu IL-1b e TNF-a, de forma dose-dependente. O prÃ-tratamento da mucosa ileal com bumetanida, indometacina, tetrodotoxina e HOE, revelou que o efeito secretÃrio mediante aÃÃo do S.MfS estimulados com MCLR, à dependente da secreÃÃo de Ãons cloreto, com a participaÃÃo de PAF, prostaglandinas e mediadores do sistema nervoso entÃrico. A este efeito associa-se a diminuiÃÃo da resistÃncia transepitelial (Rte), tambÃm mediada por, prostaglandinas, PAF, TNF-a e, indiretamente, IL-1b. A anÃlise do coeficiente de Hurst (H), revelou que estes efeitos nÃo ocorreram ao acaso, mas envolveram alteraÃÃes significativas nos parÃmetros cinÃticos dos efeitos eletrogÃnicos, ao nÃvel da mucosa ileal. MacrÃfagos estimulados com MCLR produz e libera mais TNFa do que IL-1b, à taxas constantes ; sendo esta uma caracterÃstica atrelada ao tipo de estÃmulo empregado. Conclui-se, portanto, que MCLR estimula macrÃfagos a produzir substÃncias que podem atuar como fator de âsecreÃÃo intestinalâ ao nÃvel da mucosa ileal, envolvendo canais de cloreto, diminuiÃÃo de Rte; requisitando para isto, a participaÃÃo de mediadores prÃ-inflamatÃrios e do sistema nervoso entÃrico.

La rationalité parfaite des investisseurs, base de l'hypothèse d'efficience desmarchés, est de plus en plus discutée. Ceci a conduit au développement de la financecomportementale. Le sentiment de marché, qui en est issu, est l'objet de cette étude.Après l'avoir mis en relation avec la rationalité et défini, ses modes de mesure courantset une évaluation de leur capacité à anticiper les rentabilités sont présentés. Ensuite, autravers de deux recherches largement indépendantes, nous (1) montrons de manièreempirique, essentiellement à partir de modèles multi-Agents et d'une modélisation del'impact des chocs d'information sur la distribution des rentabilités, que les skewness etkurtosis de la distribution des rentabilités peuvent être utilisés comme indicateurs dusentiment de marché ; (2) mettons en évidence la présence de mémoire sur de nombreuxindicateurs de sentiment, ce qui invalide les modalités habituelles de leur utilisation,dans le cadre de stratégies contrarian. / The perfect rationality of investors, one of the foundations of theefficient market hypothesis, is increasingly being questioned. This has led to thedevelopment of behavioral finance. Market sentiment, which stems from it, is the focusof this study. Having first linked this concept to rationality and defined it, this studygoes on to present the most common ways of measuring market sentiment and assesstheir ability to anticipate market returns. Then, using two different studies, we do twothings (1) using mainly multi-Agent models and by modeling the impact of informationshocks on the distribution of returns, we empirically show how skewness and kurtosis inthe distribution of returns can be used as market sentiment indicators; (2) wedemonstrate that many standard sentiment indicators are processes affected by long- orshort-Term memory, making them invalid as contrarian indicators even though this ishow they are typically used.

The thesis deal with long-memory processes which are defined by several ways. The main concern is dedicated to ARFIMA model, to its basic properties and its application. Next, graphical, semiparametric and parametric estimation methods of ARFIMA parameters are described in detail. Five selected R packages are introduced that are suitable for modeling long-memory processes. We discuss their basic functions with description of input arguments and output. Finally, the application of the packages on real data is discussed according to results of~each function. Data sample comes from the Nile River and represents its yearly minimal water levels. Powered by TCPDF (www.tcpdf.org)

The main goal of this thesis is to test the ability of the Hurst exponent to recognise some processes with deterministic signal as nonrandom and to test the randomness of daily stock returns of three stocks traded in BCPP. Critical values to determine the critical region of a randomness hypothesis test were set for this purpose. Another goal of the thesis is the description of the Hurst exponent estimation by means of Rescaled Range Analysis and outline some problems accompanying this estimation if the Hurst exponent would be used as a randomness indicator. Within the frame of Rescaled Range Analysis was constructed another method that showed to be successful in recognising some series that contain deterministic signal.

The complexity of the interface between the muscular system and the nervous system is still elusive. We investigated how the neuromuscular system functions and how it is influenced by various perturbations. Postural stability was selected as the model system, because this system provides complex output, which could indicate underlying mechanisms and feedback loops of the neuromuscular system. We hypothesized that aging, physical pain, and mental and physical perturbations affect balancing strategy, and based on these observations, we constructed a model that simulates many aspects of the neuromuscular system. Our results show that aging changes the control strategy of balancing from more chaotic to more repetitive. The chaotic elements ensure quick reactions and strong capacity to compensate for the perturbations; this adeptly reactive state changes into a less reactive, slower, probably less mechanically costly balancing strategy. Mental tasks during balancing also decreased the chaotic elements in balancing strategy, especially if the subject experienced chronic pain. Additional motoric tasks, such as tying knots while balancing, were correlated with age but unaffected by chronic pain. Our model competently predicted the experimental findings, and we proceeded to use the model with an external data set from Physionet to predict the balancing strategy of Parkinson’s patients. Our neurological model, comprised of RLC circuits, provides a mechanistic explanation for the neuromuscular system adaptations.

An recent finding shows that heart rate data possess self-similar property, which is characterized by a parameter H, as well as a long range dependent parameter d. We estimate H by the EBP(Embedded Branching Process) method to derive the fractional parameter d in the first part. The heart rate and R-R interval data are found to have high differencing parameter(d=0.8 ~0.9) and against the normality assumption. Thus the heart rate and R-R interval data are first fractionally differenced of order 0.5 to achieve stationarity. In the second part, we analyze the RR-interval data on the physionet and obtain the long range parameters. After fractionally differencing 0.5 order, the EBP method is adapted to estimate the long range parameter d. The EWMA and EWRMS control charts of the I(d) processes are constructed to monitor the heart rate mean level and variability, respectively for the 18 RR-interval data sets from the physionet. For the EWMA control chart the out of control percentages are chosen to the nominal probability. However, the out of control percentages are affected by the skewness and kurtosis of the process distribution for the EWRMS control carts. Generally speaking, the I(d)-EWMA and I(d)-EWRMS control charts provide a proper monitor system for heart rate mean level and variability.

Submitted by Automa??o e Estat?stica (sst@bczm.ufrn.br) on 2016-12-15T18:17:07Z No. of bitstreams: 1 RebeccaDeMouraDinizGomes_DISSERT.pdf: 2411622 bytes, checksum: 6b5e6ef2c6fd430fe0ff200b6352cd44 (MD5) / Approved for entry into archive by Arlan Eloi Leite Silva (eloihistoriador@yahoo.com.br) on 2016-12-20T21:33:44Z (GMT) No. of bitstreams: 1 RebeccaDeMouraDinizGomes_DISSERT.pdf: 2411622 bytes, checksum: 6b5e6ef2c6fd430fe0ff200b6352cd44 (MD5) / Made available in DSpace on 2016-12-20T21:33:44Z (GMT). No. of bitstreams: 1 RebeccaDeMouraDinizGomes_DISSERT.pdf: 2411622 bytes, checksum: 6b5e6ef2c6fd430fe0ff200b6352cd44 (MD5) Previous issue date: 2016-05-27 / Grande tem sido o interesse nas difus?es an?malas, pois se apresentam nas mais diversas ?reas do conhecimento. A introdu??o de perfil de mem?ria no caminhante aleat?rio torna-o numa din?mica estoc?stica n?o-markoviana, cujas correla??es criam superdifus?o, persistencia e log-periodicidade. Apresentamos uma revis?o da literatura sobre os perfis de mem?ria e introduzimos nosso modelo. O modelo de mem?ria binomial pode selecionar diferentes regi?es de perda de mem?ria, desde a inicial at? a recente. Dessa forma, investigamos o impacto da posi??o da perda de mem?ria no comportamento superdifusivo do caminhante aleat?rio e unificamos muitos dos resultados da literatura. Obtivemos que mem?rias iniciais geram maior superdifus?o medidas pelo coeficiente de Hurst, enquanto que mem?rias recentes tendem a diminuir a superdifus?o, tornando mais caminhantes adeptos da difus?o normal. Tamb?m investigamos o regime de mem?ria curta inicial, com largura tendendo a zero. Observamos log-periodicidade para alguns caminhantes sugerindo regimes diferentes de comportamento log-periodico, incluindo aqueles considerados de difus?o normal. Uma particularidade do modelo binomial s?o os resutados extremamente sim?tricos para o diagrama Hxr. / Great has been the interest in anomalous diffusion because they are present in several areas of knowledge. The introduction of a memory profile in random walk environment give them a non-Markovian stochastic dynamics, whose temporal correlations may create superdiffusion, persistence and log-periodicity. We present an overview of memory profile literature and introduce our model. The binomial memory model can select different memory loss regions, from the old to the recent one. Thus, we investigate the impact of memory loss location on superdiffusive behavior of a random walker and unify some literature results. We verify that old memory generates higher superdiffusion measured by the Hurst coefficient, while recent memory tends to decrease superdiffusion, causing more walkers to undergo normal diffusion. We also investigate the short initial memory region, with zero tending standard deviation. We observe log-periodicity for some walkers suggesting different regions of log-periodic behavior, including those considered as normal diffusion. A particularity of the binomial model is an extremely symmetric result to Hxr diagram.