Papers by Camilo Rodrigues Neto
The purpose of this study is to analyze the stylized facts of the order book of stocks traded in ... more The purpose of this study is to analyze the stylized facts of the order book of stocks traded in the São Paulo Stock Exchange (BOVESPA), as well as of the returns engendered by the order book dynamics. We used data from June 2006 to January 2009 regarding a sample composed by the twenty most traded stocks in BOVESPA. The empirical results corroborated some stylized facts observed in stocks of other countries, but refuted others.
In this article, we present an artificial stock market constructed using a technique of complex s... more In this article, we present an artificial stock market constructed using a technique of complex systems modeling called Agent-Oriented Modeling, describing their main characteristics and commenting on some of the results obtained through several executions of this model. We also present concepts related to the stock market, such as investors' profiles and stylized facts, which were used, respectively, in model construction and in the analysis of the results. We hope, this way, to emphasize the potential of using the modeling of complex systems in the financial market studies.
No longo percurso que separou 0 impulso inicial da escolha de urna nova area de trabalho e a trem... more No longo percurso que separou 0 impulso inicial da escolha de urna nova area de trabalho e a tremenda energia necessaria para concluir esta tese, urna multidao de questOes pessoais se imp6s com prioridades inadiaveis. Compatibilizar a urgencia das questoes cotidianas com a necessidade de calma, reflexao e visao de longo prazo da atividade academica foi mais facil devido ao auxilio de urn cern nlimero de pessoas. Particularmente, a contribuic;ao de meus pais para minha estadia em Rio Claro foi inestimavel. Alem disso, estarei sempre em dfvida para com eles pelos dias e noites que passamos juntos no Pingo d' Agua. Ao VirgI1io, pelo apoio nos primeiros tempos de Sao Carlos, a Dani pelas primeiras conversas profissionais, ao Salviano, Marcio, Mauro, Manzoli e Reginaldo, pelo apoio computacional e ao Domingos, que nos wtimos tempos tern sido urn contraponto para discussoes emocionadas de Ffsica, a todos meus sinceros agradecimentos pela companhia e estfmulo. Devo urn agradecimento especial ao Fontanari, que foi, sem duvida, 0 principal responsavel pelo born andamento dos trabalhos. Acima de tudo, urn grande exemplo de profissionalismo e dedicac;ao. Tambem de grande importancia foram as reunioes semestrais em sua casa com todo 0 grupo. Ao professores, funcionarios e colegas do IFSC, pelo apoio, a infra-estrutura e estimulo. Finalmente. devo citar 0 apoio financeiro do CNPq e da FAPESP para a realizac;ao desta tese. Redes neurais atratoras saG redes de neuronios artificiais com realimentac;ao e sem estrutura de conexao pre-definida. Estes tipos de redes apresentam uma rica dinamica dissipativa e saG freqiientemente utilizadas como memorias associativas. Tais dispositivos tern a propriedade de recuperar uma memoria previamente armazenada, mesmo quando expostos a informac;ao parcial ou degradada daquela memoria. Armazenar uma memoria significa criar urn atrator para ela na dinamica da rede e isto e feito especificando-se adequadamente os pesos sinapticos. Nesta tese, nos concentramos basicamente em duas maneiras de se definir os pesos sinapticos, que dao origem ao modelo da pseudo-inver-sa e ao modelo dos pesos otimos. Para redes neurais extremamente diluldas, onde a conectividade Ceo nllinero de neuronios N satisfazem a condic;ao C « In N, obtivemos os diagramas de fase no espac;o completo de parametros dos modelos da pseudo-inversa e dos pesos otimos atraves da analise da dinamica da correlac;ao de recuperac;ao dos padroes armazenados. Alem dissu, investigamos as propriedades de recuperac;ao de redes neurais completamente conectadas atraves de duas abordagens: a investigac;ao analltica da vizinhanc;a dos padroes armazenados e a enumerac;ao exaustiva dos atratores por meio de simular;oes numericas. Finalmente. estudamos analiticamente 0 problema da categorizar;ao no modelo da pseudu-inversa. A categorizar;ao em redes neurais atratoras e a capacidade da rede treinada com exemplos de urn conceito desenvolver urn atrator para este conceito.
An increasing number of indigenous communities have been integrated to the market economy, and su... more An increasing number of indigenous communities have been integrated to the market economy, and such integration can lead to unexpected negative environmental impacts that are important to be understood in order to mitigate them. A common way in which indigenous people are integrated to market economy is through the implementation of Conditional Cash Transfer programs (CCTs). Some models have been developed aiming to predict the long-term environmental impacts of CCTs and, in general, they focus the people's decision-making process regard time allocation on the rational choice theory, however it is believed that people tend to mentally divide time in "work" and "non-work", thus acting accordingly to the mental accounting theory. Evidence suggest that the implementation of CCTs can reduce the amount of time people allocate on subsistence activities and increases time dedicated to leisure activities, therefore could lead to different predictions of these programs environmental impacts. This study aims to discuss how the adoption of conflicting decision theories (i.e. rational choice theory and mental accounting) changes the predictions of the long-term impacts of CCTs money transfers and intends to discuss the uncertainty due to different theoretical assumptions. For this we will study the Bolsa Família program impacts at the Kῖsêdjê community (amazonic indigenous community from Brazil), through an agent-based model, described using the ODD + D protocol and parameterized with empirical data obtained by survey and time allocation techniques.
Uma contribuição ao estudo da osmossedimentação
Neste trabalho fazemos uma breve recapitulacao da termodinâmica de nao-equilibrio, a partir da qu... more Neste trabalho fazemos uma breve recapitulacao da termodinâmica de nao-equilibrio, a partir da qual estudamos comparativamente os processos de sedimentacao e osmossedimentacao. Apresentamos um modelo termodinâmico para a osmossedimentacao, basicamente as equacoes de transporte de massa e momento e suas condicoes de contorno e iniciais, tendo em vista o estudo da influencia dos parâmetros caracteristicos na velocidade de sedimentacao. Resolvemos as equacoes diferenciais relevantes utilizando um metodo numerico de diferencas finitas, de onde obtemos 1)a descricao hidrodinâmica da circulacao de fluido na cela de osmossedimentacao e 2)a influencia do coeficiente de difusao, da permeabilidade da membrana e da largura da cela na velocidade de sedimentacao. Comparamos estes resultados com dados experimentais obtidos a partir da literatura especializada. Finalmente, apontamos as perspectivas de extensao do trabalho numerico e do modelo termodinâmico apresentado para a osmossedimentacao Abstract
Pattern Characterization: A Case Study in Osmosedimentation
International Journal of Modern Physics C, Oct 1, 2001
In the present work, we investigate the ability of recently proposed computational operators to c... more In the present work, we investigate the ability of recently proposed computational operators to characterize the problem of pattern formation by fluid flow and mass transport in a viscous binary fluid mixture under osmosedimentation. We perform a numerical investigation of these patterns using three computational operators (R2 → R), computed from the spatial mass distribution, the streamlines, and the velocity fields. Our main goal is to demonstrate the ability of these computational operators to distinguish different dynamical regimes in the complex patterns arising from the osmosedimentation process.
Journal of Non-Equilibrium Thermodynamics, 1994
In this work, an analysis of the osmosedimentation process is presented. The purpose is to study ... more In this work, an analysis of the osmosedimentation process is presented. The purpose is to study the influence of the characteristic parameters of the system on the sedimentation rate. The interplay between diffusion and macroscopic fluid motion is taken into account by using the equations relating the respective fluxes and forces. Based on the mass and momentum equations with the appropriate boundary and initial conditions a model for the osmosedimentation process is proposed for a viscous binary mixture. By solving the differential equations with the help of a finite difference numerical method it is possible to obtain (1) a hydrodynamic description of the fluid circulation in each half-cell and (2) some useful information on the influence of the diffusion coefficient, membrane permeability and cell width on the solute sedimentation process.
arXiv (Cornell University), Aug 23, 2018
Public Transport Networks plays a central role in cities devolopment. In big cities such system m... more Public Transport Networks plays a central role in cities devolopment. In big cities such system may be represented by a complex network and understand its properties is of great interest for managers and scholars. In this work, the urban public transport system of São Paulo is reinterpreted as a coupled (bus, subway and train) network, bypassing operational details and focusing on connectivity. Using a empirically generated graph, a statistical characterization is made by network metrics. Nearby bus stops and rail transport stations (subway and train) may or may not be considered as a single vertex in the network representation of the transport system, depending on how much an user is willing to walk to shift from one stop/station to another. This distance radius is then used to group nearby stops/stations as a single vertex in the network representation of the urban public transport system and then its properties are studied as a function of this radius. This radius is used as proxy of the user's willingness to walk until the nearest point to access transportation. The variation of the measure ρ leads to changes in the perception of the topology of the public transport network as shown in this work. An interesting result was that the network is assortative. Another aspect investigated was the degree distribution of the network. It was not possible to distinguish between power-law or a log-normal distribution. An exploratory model is
Multiscale Structure and Robustness of S˜Ao Paulo Public Transport Network
Social Science Research Network, 2023
Physica D: Nonlinear Phenomena, Aug 1, 1998
In this work a theoretical analysis of the osmosedimentation process is presented. We investigate... more In this work a theoretical analysis of the osmosedimentation process is presented. We investigate the role played by small-density non-uniformities in inducing uid circulation and mass transport in a viscous binary mixture under a strong centrifugal ÿeld. We ÿnd that a Boussinesq term considered in the momentum equation is of fundamental importance in the convectiondi usion process. The strong centrifugal forces that develop in the solution as a result of the small-density inhomogeneities are responsible for the emergence of a dissipative structure: the uid can show a complex arrangement of convection cells leading to solute mass redistribution. Time evolution of the cell patterns (convection cells and solution concentration cells) during the ÿrst stages of the osmosedimentation process is presented. The results are signiÿcant as a clue for understanding pattern formation in systems investigated in the laboratory.
Esta cronzca, para ter algum valor, tem de ser fiel à 'l!f"l'dadc. Tínhamo/3 ftito Jlltll.'> ou m... more Esta cronzca, para ter algum valor, tem de ser fiel à 'l!f"l'dadc. Tínhamo/3 ftito Jlltll.'> ou meno.~ um quarto do filme e chegado ao dtíH:rto qu( fica na metade de todo prujclo c•riativo. O deserto começa quando já se avançou demú" para se poder desistir 1 ainda se está tão longe, que o fim é invisível e só podt: dC1' auistado através de uma F inabalável. Como eu conheço isso! .. . Trabalhei demais para poder pô-lo de lado, ma8 o fim está tâo didtante quanto o arco-íris. Não há nada a fazer senão ir em frentt ... Pearl S. Buck, in A Grande Travessia. Muitos foram os percalços para chegar ao final de~k trabalho. Tornaram mais fácil a consecução deste objetivo um grande número dc~ pessoas, dentre as quais destaco Giancarlo, Sieghard, Mario, Jony e Hyung Mi. Uma palavra deve ser reservada também a todos os cokgas do "Gueto", aos importantes "Cafés da APGF" e às reuniões do "M.R.M.T.". RESUMO ~este trabalho fazemo:. uma breve recapitulaç8,o dé1 Lt't'lllOdiuâmica de nâo-equilíhrío, a partir da qual estudamos comparativamente os processo:. de sedimentação (' o:'lmosscdimcntaçào. Apresentamos um modelo termodinâmico para a osmossed i mentação, basicamente as equações de transporte df' maHfHl e momento e suas nmdíções de contorno e iniciais, tendo em vista o estudo da infiui•ncia dos parâmetros característicos na velocidade de sedimentação. Resolvemos at; equações diferenciais n•levantes utilizando um método numérico de diferenças finitas, de onde obtemos 1) a descrição hidrodinâmica da circulação de fluido na cela d<> osmossedimentação e 2) a influência do coeficiente de difusão, da permeabilida.df' da membrana. e da largura da cela na velocidade de sedimentação. Comparamos estes resultados com dados experimentais obtidos a partir da literatura especializada .. Finalmente, apontamos as perspectivas de extensão do trabalho numérico e do modelo termodinâmico a.presentado para a osmossedimentação.
The effects on deforestation of conditional cash transfers: a study among the Khĩsêtjê Amazonian indigenous people
International Forestry Review
Smallholders' contribution to Amazonian deforestation is currently increasing. In Indigenous ... more Smallholders' contribution to Amazonian deforestation is currently increasing. In Indigenous Lands, changes in land uses might be partially due to the unintended effects of anti-poverty strategies, including the Conditional Cash Transfers (CCTs), which may promote the conversion of forests to agricultural lands. Despite that, little is known about whether and how CCTs affect long-term deforestation rates. Thus, this study has assessed whether CCTs influenced long-term land-use changes from forests to agriculture, considering alternative time allocation assumptions (i.e., Time Optimisation and Time Budget). Transfers from the Brazilian Bolsa Família Program to the Khĩsêtjê indigenous people of the Amazon were evaluated with two agent-based models. Results suggest CCTs will likely decrease the area deforested in the long term without changing Khĩsêtjê's population size. When market-purchased products replace local products, people's time allocated to agriculture is expecte...
Revista de Morfologia Urbana, 2020
Nos últimos anos, a nova Ciência das Cidades se estabeleceu como uma abordagem quantitativa férti... more Nos últimos anos, a nova Ciência das Cidades se estabeleceu como uma abordagem quantitativa fértil para o entendimento dos fenômenos urbanos. Um de seus pilares é a proposição de que os sistemas urbanos apresentam comportamentos universais de escala de variáveis socioeconômicas, de infraestrutura e de serviços básicos individuais. Este artigo discute até onde essa proposição é realmente universal, testando-a frente a uma ampla variedade de métricas urbanas de um país em desenvolvimento. Apresentamos uma exploração dos expoentes de escala(mento) de mais de 60 variáveis do sistema urbano brasileiro. A estimação dos expoentes é um desafio técnico, dado que a definição de "município" no Brasil segue critérios políticos e não considera as características da paisagem, a densidade e os serviços domiciliares básicos. Considerando que os municípios brasileiros podem não ser iguais ao que se entende por assentamento urbanizado, selecionamos os mais assemelhados a "cidades"...
Ciência e Natura, 2000
We present a statistical model for the distribution of increments of wind velocity and temperatur... more We present a statistical model for the distribution of increments of wind velocity and temperature of turbulence data measured in the atmospheric surface layer above the Amazonian forest, on a micrometeorological tower in Rebio-Jaru Reserve (10°04' S; 61°56' W) during LBA (Large Scale Biosphere Atmosphere Experiment in Amazonia) wet season campaign. The data were measured using 3D Campbell sonic anemometer and a Campbell fast response thermometer located at a height of 66 m (the forest canopy has a mean height of 35 m; but some of the higher tree branches may reach the height of 45 m), at a sampling rate of 60 Hz. The goal of this investigation is to detect noextensivity properties of the turbulent field in such a peculiar environment. To do this we calculate the probability density function (PDF) for wind velocity increments Vr(x) = V(x) - V(x+r) (and temperature increments) at different length scales r. The preliminary results show some evidence that the nonextensive therm...
<title>Asymmetry and self-similarity in the wavelet spectrum</title>
Wavelet Applications in Signal and Image Processing VII, 1999
One of the most remarkable properties of wavelet transform is its ability to separate data into d... more One of the most remarkable properties of wavelet transform is its ability to separate data into different scale contents. For data that show self-similar characteristics in every scale, like fractal landscape, the wavelet spectrum also shows self-similarity. Nevertheless, the situation is not so clear for time dependent data, like seismic geology, solar flares, among others systems that are known to contain self-organized criticality. It is not obvious that these properties will be present in the wavelet spectrum in the form of self-similarity. In this work, we apply two gradient field computational operators R2 yields R, the Complex Entropic Form and the Asymmetric Amplitude Fragmentation, as a mean to differentiate self-similarity from different sources.
Multiscale analysis from turbulent time series with wavelet transform
Physica A: Statistical Mechanics and its Applications, 2001
... Am. (February 1999) 50. 7. Rudolf H. Riedi, Multifractal processes Technical Report ECE Dept.... more ... Am. (February 1999) 50. 7. Rudolf H. Riedi, Multifractal processes Technical Report ECE Dept. TR 99-06, URL address: http://www-dsp.rice.edu/riedi/index.html, 1999. 8. Uriel Frisch, Turbulence Cambridge University Press, Cambridge, 1995. ...
Advances in Space Research, 2002
From solar radio burst data we computed wavelet transforms and frequency distribution for investi... more From solar radio burst data we computed wavelet transforms and frequency distribution for investigation of self-similar temporal variability and power-laws, as the fundamental conditions for characterization of dynamical criticality (self or forced) in the solar active regions. The main result indicates that, as for the global activity, the local coronal magnetic field, in millisecond time scales, can be in a critical state where the dynamics of solar active regions works as avalanches of many small intermittent particle acceleration events.
PLOS ONE, 2020
Given that a group of cities follows a scaling law connecting urban population with socio-economi... more Given that a group of cities follows a scaling law connecting urban population with socio-economic or infrastructural metrics (transversal scaling), should we expect that each city would follow the same behavior over time (longitudinal scaling)? This assumption has important policy implications, although rigorous empirical tests have been so far hindered by the lack of suitable data. Here, we advance the debate by looking into the temporal evolution of the scaling laws for 5507 municipalities in Brazil. We focus on the relationship between population size and two urban variables, GDP and water network length, analyzing the time evolution of the system of cities as well as their individual trajectory. We find that longitudinal (individual) scaling exponents are city-specific, but they are distributed around an average value that approaches to the transversal scaling exponent when the data are decomposed to eliminate external factors, and when we only consider cities with a sufficiently large growth rate. Such results give support to the idea that the longitudinal dynamics is a micro-scaling version of the transversal dynamics of the entire urban system. Finally, we propose a mathematical framework that connects the microscopic level to global behavior, and, in all analyzed cases, we find good agreement between theoretical prediction and empirical evidence.
Physica A: Statistical Mechanics and its Applications, 2001
A new approach for eddy di usivity and counter-gradient term in atmospheric turbulent uxes is dev... more A new approach for eddy di usivity and counter-gradient term in atmospheric turbulent uxes is developed. This scheme is based on the Taylor statistical theory of turbulence and on a multifractal approach to the turbulent spectrum of energy. The non-extensive thermodynamics description is used to obtain a multifractal model.
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Papers by Camilo Rodrigues Neto