Online Non-linear Prediction of Financial Time Series Patterns

We consider a mechanistic non-linear machine learning approach to learning signals in financial time series data. A modularised and decoupled algorithm framework is established and is proven on daily sampled closing time-series data for JSE equity markets. The input patterns are based on input data vectors of data windows preprocessed into a sequence of daily, weekly and monthly or quarterly sampled feature measurement changes (log feature fluctuations). The data processing is split into a batch processed step where features are learnt using a Stacked AutoEncoder (SAE) via unsupervised learning, and then both batch and online supervised learning are carried out on Feedforward Neural Networks (FNNs) using these features. The FNN output is a point prediction of measured time-series feature fluctuations (log differenced data) in the future (ex-post). Weight initializations for these networks are implemented with restricted Boltzmann machine pretraining, and variance based initializations. The validity of the FNN backtest results are shown under a rigorous assessment of backtest overfitting using both Combinatorially Symmetrical Cross Validation and Probabilistic and Deflated Sharpe Ratios. Results are further used to develop a view on the phenomenology of financial markets and the value of complex historical data under unstable dynamics

Parametrizing positroid cells using bicolored tilings

Bicolored tilings are given by a collection of smooth curves in a disk with a coloring map on the tiles these curves form. Postnikov diagrams can be viewed as the image of certain bicolored tilings under the Scott map. We introduce a reduction technique on bicolored tilings, and show that a tiling maps to a Postnikov diagram if and only if it is reduced. We then use bicolored tilings to parametrise positroid cells in the Grassmannian, and use the reduction, along with another transform, to generate tilings associated to lower-dimensional positroids cells. We also show that the parametrisation of such a cell can be derived from the parametrisation of the higher-dimensional cell

Implementing Inflation Targeting in Brazil

Brazil has put in place an inflation-targeting framework for monetary policy in mid-1999, less than six months after moving to a floating exchange rate system. This paper presents the macroeconomic background that has led to the shift in monetary policy regime, and describes the general institutional arrangements and operational framework that has been adopted. The paper also discusses the basic modeling approach that has aided the decision-making process in the initial phase of inflation targeting in Brazil. We describe the family of small-scale macroeconomic models that has been used for informing and disciplining discussions about monetary policy within the Central Bank. These models contain few equations and few variables, but carry a considerable theoretical content and provide a stylized representation of the monetary policy transmission mechanism. They are easily understood, and especially suitable for simulation of a wide range of issues. We conclude with the main lessons that may be drawn from the initial Brazilian experience with inflation targeting.

Data-driven Radiative Hydrodynamic Modeling of the 2014 March 29 X1.0 Solar Flare

Spectroscopic observations of solar flares provide critical diagnostics of the physical conditions in the flaring atmosphere. Some key features in observed spectra have not yet been accounted for in existing flare models. Here we report a data-driven simulation of the well-observed X1.0 flare on 2014 March 29 that can reconcile some well-known spectral discrepancies. We analyzed spectra of the flaring region from the Interface Region Imaging Spectrograph (IRIS) in MgII h&k, the Interferometric BIdimensional Spectropolarimeter at the Dunn Solar Telescope (DST/IBIS) in H$\alpha$ 6563 \AA\ and CaII 8542 \AA, and the Reuven Ramaty High Energy Solar Spectroscope Imager (RHESSI) in hard X-rays. We constructed a multi-threaded flare loop model and used the electron flux inferred from RHESSI data as the input to the radiative hydrodynamic code RADYN to simulate the atmospheric response. We then synthesized various chromospheric emission lines and compared them with the IRIS and IBIS observations. In general, the synthetic intensities agree with the observed ones, especially near the northern footpoint of the flare. The simulated MgII line profile has narrower wings than the observed one. This discrepancy can be reduced by using a higher microturbulent velocity (27 km/s) in a narrow chromospheric layer. In addition, we found that an increase of electron density in the upper chromosphere within a narrow height range of $\approx$800 km below the transition region can turn the simulated MgII line core into emission and thus reproduce the single peaked profile, which is a common feature in all IRIS flares.Comment: 14 pages, 18 figures, accepted in Ap

Introduction of sucrose in the diet plan of persons with type 1 diabetes: its influence in the glycemic control

To evaluate the influence of sucrose intake in the glycemic control, ten adolescents with type 1 diabetes were followed during eight months. Initially, they received personalized orientation on diet, self monitoring blood glucose and insulin dose adjustment; after four months, all patients introduced sucrose in their afternoon meals, throught the method of carbohydrate counting. Total cholesterol and triglycerides levels were measured in the beginning and in the final of the study. Hemoglobin A1C levels were measured in the beginning, after four months without and after four months with intake of foods with sucrose. All patients showed adequate pubertal development and growth; two had overweight and the others were eutrophic. After four mounths of follow up, the frequency of self monitoring blood glucose was reduced (p< 0.001). Total cholesterol and triglycerides values were in the normal range and A1C values decreased during the observed period (p= 0.027). Conclusion: the consumption of foods with sucrose, using the technique of carbohydrate counting, did not affect the metabolic control of adolescents with type 1 diabetes.Para avaliar a influência da introdução da sacarose no controle glicêmico, dez adolescentes com diabetes tipo 1 foram acompanhados durante oito meses. Inicialmente, receberam orientação individualizada sobre dieta, automonitorização da glicemia, ajuste da dose de insulina e, a partir do quarto mês, iniciou-se a introdução de alimentos com sacarose, através da técnica de contagem de gramas de carboidratos, no lanche vespertino. O colesterol total e triglicérides foram dosados no início e no final do estudo e a hemoglobina A1C no início, após quatro meses sem e após quatro meses com consumo de sacarose. Todos os participantes apresentaram desenvolvimento puberal e crescimento adequados; dois possuíam sobrepeso e os demais eram eutróficos. A freqüência da automonitorização diminuiu após quatro meses de acompanhamento (p< 0,001). Os valores de colesterol total e triglicérides estiveram dentro da normalidade e os valores da A1C diminuíram durante o seguimento (p= 0,027). Conclusão: o consumo de alimentos com sacarose, utilizando a técnica de contagem de gramas de carboidratos, não comprometeu o controle metabólico dos adolescentes com diabetes tipo 1.Universidade Federal de São Paulo (UNIFESP) Centro de DiabetesUSP Faculdade de Medicina de Ribeirão Preto Departamento de Medicina SocialUNIFESP, Centro de DiabetesSciEL

Avaliação de impacto do processo de Bolonha nos enfermeiros em Portugal: construção de um modelo para avaliação de impacto de políticas intersectoriais

Contexto: Os recursos humanos são considerados por diversos autores como o elemento chave dos sistemas de saúde, apesar de nem sempre se lhes ter sido dada a devida atenção. O planeamento estratégico dos recursos humanos de saúde, num ambiente instável, como o que se vive actualmente, pode ser influenciado não só por reformas no sector da saúde mas também, por reformas de outros sectores. Neste sentido, seria útil que parte desse planeamento incluísse uma análise dos efeitos que as políticas intersectoriais têm ou terão nos RHS. Deste modo, pretende-se durante este trabalho contribuir para o desenvolvimento de um modelo que, permita avaliar o impacto que, políticas intersectoriais terão nos RHS, mais especificamente nos Enfermeiros em Portugal. Objectivo: Construir um modelo de avaliação dos potenciais impactos de uma política intersectorial, na força de trabalho dos RHS em Portugal. Avaliar o impacto do Processo de Bolonha na força de trabalho dos Enfermeiros em Portugal. Material e métodos: Para concretização deste estudo recorreu-se a métodos mistos qualitativos e quantitativos. O desenho proposto insere-se numa estratégia transformativa sequencial (Creswell, 2009), tendo o estudo sido desenvolvido ao longo de duas etapas principais. A primeira para construção e validação teórica do modelo de RHS que serviria de base à Avaliação de Impacto. Uma segunda etapa para aplicação do questionário construído ao Processo de Bolonha. Resultados: O modelo seleccionado para Avaliação de Impacto foi considerado valido e consensual pelos respondentes, mas insuficiente para explicar todos os efeitos. Dos resultados da aplicação do questionário sobre o Processo de Bolonha, salientam-se entre outros alguma heterogeneidade nas respostas obtidas, os efeitos positivos nas subdimensões Planeamento, Recrutamento, Supervisão/gestão, Apoio Sistémico, Equidade e Capacidade de Resposta. Efeitos negativos nas subdimensões Planeamento, Educação/re-treinamento, Compensação e Equidade. Destas respostas sobressai, o facto de, os enfermeiros entrarem no mercado de trabalho apenas com o 1º ciclo como um dos factores mais referido pelos respondentes, como tendo, efeitos importantes, na Enfermagem em Portugal. Conclusões: Apesar do Processo de Bolonha ser uma política em implementação, é importante ter em consideração os efeitos já descritos, que não estão explícitos na política. Existe carência de evidência para fundamentar alguns desses efeitos. No entanto, este trabalho dá algumas indicações sobre alguns efeitos que necessitam desde já de uma monitorização, tais como por exemplo, as potenciais desigualdades que podem surgir em comparação com outras classes de profissionais de saúde. De entre as recomendações sugeridas destacam-se, entre outras, a necessidade de adequar a formação às necessidades de cuidados de enfermagem da população e ao mercado de trabalho e a necessidade de garantir a qualidade do ensino e fomento da aplicação dos princípios de Bolonha.Background: Human resources are considered by many authors as the key element of health systems, though not always they have been given due attention. Strategic planning for health human resources in an unstable environment, like we are experiencing today, can be influenced, not only by reforms in the health sector, but also by reforms in other sectors. Therefore it would be useful that part of that planning included an analysis of the effects that intersectorial policies have or will have in the Human Resources of Health (HRH). Thus, it is intended during this work to contribute to the development of a model to assess the impact that intersectorial policies will have in the HRH, more specifically in nurses at Portugal. Methods: In this study we used mixed qualitative and quantitative methods. The proposed design is part of a sequential transformative strategy (Creswell, 2009), and the study was developed along two main steps. The first, to develop and validate a theoretical model of HRH, which would serve as a basis for Impact assessment (IA). A second step, to apply the questionnaire constructed to the Bologna Process. Results: The model selected for IA was considered consensual and valid by the respondents although insufficient to explain all the effects. The results of the questionnaire on the Bologna Process stand out among other, heterogeneity in the responses obtained, positive effects on the subdimensions Planning, Recruitment, Supervision / Management, Systemic Support, Equity and Responsiveness. Negative effects on subdimensions Planning, Education / re-training, compensation and equity. Stands of these responses, that the factor most frequently mentioned by the respondents, as having important effects, on nursing in Portugal, were related to the fact that nurses enter in the job market with the First Cycle. Conclusions: Despite the Bologna Process is still a policy in implementation, it is important to take into account the effects described above, which are not explicit in the policy. There is a lack of evidence to substantiate some of these effects. However, this study gives some indications of some effects that need from the outset of a monitoring, such as for example, the potential inequities that may arise in comparison with other classes of health professionals. Some of the suggested recommendations included, among others, the need to adapt the education to the labour market and to the needs of nursing care of the population, ensure the quality of teaching and promoting the principles of Bologna

Regenerado : composição, improvisação, arranjo e gravação

Este projeto de graduação em música objetiva apresentar uma produção fonográfica constituída por composições próprias que resultaram no álbum “Regenerado”. O álbum é constituído por músicas instrumentais e canções de cunho religioso gravadas ao vivo e através da técnica de overdub em estúdio. As composições foram arranjadas visando à pluralidade timbristica, variações métricas e a sofisticação harmônica provinda do jazz. O memorial descritivo foca o processo criativo e as escolhas realizadas pelo autor durante as fases de composição, improvisação, arranjo e gravação do álbum “Regenerado”

Bicolored tilings and the totally non-negative Grassmannian

Bicolored tilings are a generalization of triangulations of a surface. These tilings naturally map to a variety of combinatorial objects, namely Postnikov diagrams, plabic graphs, quivers, and positroid cells. We will first generalize the notion of edges to hyperedges to allow them to connect any number n of vertices (n > 1), and define tilings as a surface equipped with a collection of compatible hyperedges. Bicolored tilings are considered up to isotopy, and will also be subject to two equivalences that preserve some of the combinatorial properties of the tiling. We will also define a flip/mutation on the hyperedges of a tiling, which will correspond to equivalent local transformations in other combinatorial objects. We then define the Scott map and the stellar-replacement map, drawing inspiration from their definitions in [16, p.14-15] and [4, 2.1], where these maps have already been defined for triangulations and monocolored tilings. These will allow us to map bicolored tilings onto Postnikov diagrams and plabic graphs. In particular, we establish a bijection between reduced tilings and reduced Postnikov diagrams. We will dedicate a section of this paper to discuss different classes of tilings, as well as how to construct a tiling for any given permutation. Finally, we use bicolored tiling to parametrize positroid cells in the totally non-negative Grassmannian. The construction will resemble the parametrization of these cells found in [15, 12.7] and [21, 2.17], now using bicolored tilings. This will establish a bijection between the reduction-flip-equivalence classes of tilings and the positroid cells that stratify the totally non-negative Grassmannian. Degenerations of tilings will then allow us to find tilings associated to lower-dimensional positroid cells in the same Grassmannian, which also gives us a partial ordering on bicolored tilings

Otimização do método de dry-hopping em contexto microcervejeiro

A realização desta dissertação foi efetuada em ambiente empresarial, na empresa Essência D’Alma, Lda., proprietária da marca de cerveja artesanal Vadia. O objetivo do trabalho foi a otimização do processo de dry-hopping, que consiste na adição de lúpulo da variedade de aroma, ou seus produtos, à cerveja de forma a conferir sabor e aroma. Estes produtos são adicionados no final ou após a ebulição, nos vasos de fermentação, de maturação ou em barris, de forma a ocorrer a dissolução de compostos de aroma. Este passo é distinto e posterior à fase de adição de lúpulos de amargor durante a ebulição do mosto, que têm como objetivo conferir propriedades conservantes e amargor, devido à presença de α-ácidos. Este processo é relevante para produzir cervejas do estilo India Pale Ale (IPA) e cervejas de edição limitada, como a German Pilsner. Na empresa, o processo de dry-hopping é realizado com o auxílio de uma coluna de recirculação. De forma a avaliar a eficácia deste método foram realizados testes em produção de cerveja IPA e German Pilsner. A análise da composição volátil de ambas as cervejas foi feita por microextração em fase sólida e análise por cromatografia em fase gasosa acoplada à espectrometria de massa (HS-SPME/GC-MS). Foram também avaliadas as características organoléticas através de uma prova sensorial realizada na empresa à cerveja IPA. Para o lúpulo utilizado no dry-hopping da cerveja do estilo German Pilsner a análise da composição volátil permitiu determinar a quantidade relativa de 12 compostos, grande parte monoterpenóis, enquanto que para a cerveja foram determinados 8 compostos, na sua maioria monoterpenóis. Foi também possível verificar uma baixa transferência de compostos voláteis de aroma para o produto final e uma elevada abundância destes compostos no lúpulo usado no final do processo. Deste modo, concluiu-se que o processo foi ineficiente, que poderá ter sido resultado de um tempo de residência da cerveja baixo para a razão de lúpulo utilizado por litro de cerveja de 3,2 g/L. A análise da composição volátil realizada à cerveja do estilo IPA permitiu determinar 11 compostos, sendo na sua maioria monoterpenos e monoterpenóis. Verifica-se também que grande parte destes compostos apresenta a sua abundância máxima nas primeiras 4,5 horas do processo, decaindo nas horas seguintes. Para além disto, e juntamente com a análise organolética, verificou-se um aumento indesejável da intensidade de um aroma resinoso após o início do processo, bem como um aumento do amargor e do prolongamento do sabor amargo após o fim do processo. Assim conclui-se que existe um tempo excessivo de dry-hopping que não é benéfico para as características organoléticas do produto final quando existe uma razão de 2,7 g/L de lúpulo utilizado por litro de cerveja. A redução do tempo de dry-hopping para um tempo ótimo de 4,5 horas para a cerveja IPA, e a reutilização do lúpulo utilizado trariam para a empresa benefícios a nível económico e ambiental, sendo estas as melhorias a implementar no processo de produçãoThis dissertation was conducted in a business environment at Essência D´Alma, Lda., owner and producer of the craft beer brand Vadia. The objective was to optimize the dry-hopping process, which consists of adding hops of aroma varieties, or its products, to beer in order to give flavor and taste. These products are added at the end or after boiling in fermentation vessels, maturation vessels or barrels in order to dissolve aroma compounds. This step is different from and after the addition of bitterness hops during boiling wort, which aims to confer preservative and bitterness properties due to the presence of α-acids. This process is relevant for producing India Pale Ale (IPA) beers and limited edition beers, like German Pilsner. In the company the dry-hopping process is performed with a recirculation column. In order to evaluate the effectiveness of this method, tests were conducted on IPA and German Pilsner beer production. Analysis of the volatile composition of both beers was performed by solid phase microextraction and mass spectrometry gas chromatography analysis (HS-SPME/GC-MS). The organoleptic characteristics were also evaluated through a sensory test performed in the company to IPA beer. For the hops used in dry-hopping of German Pilsner beer the analysis of volatile composition allowed to determine about 12 compounds, mostly monoterpenols, while for beer about 8 compounds were determed, mostly monoterpenols. It was also possible to verify low transfer of volatile aroma compounds to the final product and high abundance of these compounds in the hop used at the end of the process. Thus, it is concluded that the process is inefficient, which may be the result of a short residence time of beer, for the hop ratio used per liter of beer of 3,2 g/L. The analysis of the volatile composition performed on IPA beer allowed to determine about 11 compounds, mostly monoterpenes and monoterpenols. It is also found that most of these compounds show their maximum abundance in the first 4,5 hours of the process and decay in the following hours. In addition, with the organoleptic analysis, it was found an increase in the intensity of a resinous aroma after the start of the process, as well as an increase in the presence of bitterness and prolongation of the bitter taste after the end of the process. It is possible to conclude that there is an excessive dry-hopping time that is not beneficial to the organoleptic characteristics of the final product when there is a 2,7 g/L hop ratio used per liter of beer. Reducing the dry-hopping time to an optimal 4,5 hours and reusing the hops would bring economic and environmental benefits to the company, and these improvements should be implemented in the production process.Mestrado em Engenharia Químic