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CORR
2008
Springer

On Directed Information and Gambling

8 years 10 months ago
On Directed Information and Gambling
We study the problem of gambling in horse races with causal side information and show that Massey's 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(Y n Xn ) as the amount of information that Y n causally provides about Xn . Extensions to stock market portfolio strategies and data compression with causal side information are also discussed.
Haim H. Permuter, Young-Han Kim, Tsachy Weissman
Added 09 Dec 2010
Updated 09 Dec 2010
Type Journal
Year 2008
Where CORR
Authors Haim H. Permuter, Young-Han Kim, Tsachy Weissman
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