Title :
On directed information and gambling
Author :
Permuter, Haim H. ; Kim, Young-Han ; Weissman, Tsachy
Author_Institution :
Stanford Univ., Stanford, CA
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;
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
DOI :
10.1109/ISIT.2008.4595218
