• DocumentCode
    2517607
  • Title

    On directed information and gambling

  • Author

    Permuter, Haim H. ; Kim, Young-Han ; Weissman, Tsachy

  • Author_Institution
    Stanford Univ., Stanford, CA
  • fYear
    2008
  • fDate
    6-11 July 2008
  • Firstpage
    1403
  • Lastpage
    1407
  • Abstract
    We study the problem of gambling in horse races with causal side information and show that Masseypsilas directed information characterizes the increment in the maximum achievable capital growth rate due to the availability of side information. This result gives a natural interpretation of directed information I(Yn rarr Xn) as the amount of information that Yn causally provides about Xn. Extensions to stock market portfolio strategies and data compression with causal side information are also discussed.
  • Keywords
    data compression; game theory; information theory; stock markets; Massey directed information; capital growth rate; causal side information; data compression; gambling; horse race; stock market portfolio; Capacity planning; Channel capacity; Data compression; Feedback; Horses; Information systems; Mutual information; Portfolios; Redundancy; Stock markets;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Information Theory, 2008. ISIT 2008. IEEE International Symposium on
  • Conference_Location
    Toronto, ON
  • Print_ISBN
    978-1-4244-2256-2
  • Electronic_ISBN
    978-1-4244-2257-9
  • Type

    conf

  • DOI
    10.1109/ISIT.2008.4595218
  • Filename
    4595218
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2517607