Multistep Bayesian Strategy in Coin-Tossing Games and Its Application to Asset Trading Games in Continuous Time

摘要

We study multistep Bayesian betting strategies in coin-tossing games in the framework of game-theoretic probability of Shafer and Vovk [1212. Shafer , G. , and Vovk , V. 2001 . Probability and Finance: It's Only a Game! Wiley , New York .[CrossRef]View all references]. We show that by a countable mixture of these strategies, a gambler or an investor can exploit arbitrary patterns of deviations of nature's moves from independent Bernoulli trials. We then apply our scheme to asset trading games in continuous time and derive the exponential growth rate of the investor's capital when the variation exponent of the asset price path deviates from two.View full textDownload full textKeywordsBeta-binomial distribution, Hölder exponent, Kullback divergence, Randomness, Risk neutral probability, Universal priorMathematics Subject Classification60F15, 60G42Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/07362994.2010.503467