Bayesian Arbitrage Threshold Analysis

Bayesian Analysis of Latent Threshold Dynamic Models

We discuss a general approach to dynamic sparsity modeling in multivariate time series analysis. Time-varying parameters are linked to latent processes that are thresholded to induce zero values adaptively, providing natural mechanisms for dynamic variable inclusion/selection. We discuss Bayesian model specification, analysis and prediction in dynamic regressions, timevarying vector autoregress...

Optimal Threshold Control for Energy Arbitrage with Degradable Battery Storage

Energy arbitrage has the potential to make electric grids more efficient and reliable. Batteries hold great promise for energy storage in arbitrage but can degrade rapidly with use. In this paper, we analyze the impact of storage degradation on the structure of optimal policies in energy arbitrage. We derive properties of the battery degradation response that are sufficient for the existence of...

An Analysis of Paperclip Arbitrage

While bartering is arguably the world’s oldest form of trade there are still many instances where it surprises us. One such case is the remarkable story of Kyle MacDonald who, by means of a sequence of bartering exchanges between July 2005 and July 2006, managed to trade a small red paperclip for a full sized house in the town of Kipling Saskatchewan. Although there are many factors to consider...

Sensitivity Analysis for Threshold De isionMaking with Bayesian Belief Networks ?

Bayesian Analysis of Threshold Autoregressive Moving Average Models

In recent years non-linear models have been studied thoroughly and their analysis is facilitated due to increasing developments in computational methodologies. The classical Bayesian linear models are unable to reproduce some of the features frequently found in observed time series, e.g. non-linear processes exhibit such interesting properties as amplitude frequency dependence, limit cycle beha...