Related papers: The Volatility of Returns and Variable Strategies
The main purpose of this study is to introduce a semi-classical model describing betting scenarios in which, at variance with conventional approaches, the payoff of the gambler is encoded into the internal degrees of freedom of a quantum…
The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a sequence of simple Bernoulli bets with an edge, that is, when the expected return on each bet is positive. The objective of this work is to…
What would you do if you were invited to play a game where you were given \$25 and allowed to place bets for 30 minutes on a coin that you were told was biased to come up heads 60% of the time? This is exactly what we did, gathering 61…
There are many papers written on the Two Envelopes Problem that usually study some of its variations. In this paper we will study and compare the most significant variations of the problem. We will see the correct decisions for each player…
It is known that repeated gambling over the outcomes of independent and identically distributed (i.i.d.) random variables gives rise to alternate operational meaning of entropies in the classical case in terms of the doubling rates. We give…
Assume that letters (from a finite alphabet) in a text form a Markov chain. We track two distinct words, $U$ and $D$. A gambler gains 1 point for each occurrence of $U$ (including overlapping occurrences) and loses 1 point for each…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
We show the existence and effective computability of optimal winning strategies for request-response games in case the quality of a play is measured by the limit superior of the mean accumulated waiting times between requests and their…
Repeated game has long been the touchstone model for agents' long-run relationships. Previous results suggest that it is particularly difficult for a repeated game player to exert an autocratic control on the payoffs since they are jointly…
This paper investigates the different effects of chaotic switching on Parrondo's games, as compared to random and periodic switching. The rate of winning of Parrondo's games with chaotic switching depends on coefficient(s) defining the…
Purpose: We propose a model to present a possible mechanism for obtaining sizeable behavioural structures by simulating an agent based on the evolutionary public good game with available social learning. Methods: The model considered a…
In this note, we investigate combinatorial games where both players move randomly (each turn, independently selecting a legal move uniformly at random). In this model, we provide closed-form expressions for the expected number of turns in a…
In repeated interactions between individuals, we do not expect that exactly the same situation will occur from one time to another. Contrary to what is common in models of repeated games in the literature, most real situations may differ a…
Commitment devices are powerful tools that can influence and incentivise certain behaviours by linking them to rewards or punishments. These devices are particularly useful in decision-making, as they can steer individuals towards specific…
This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The…
The paper aims to investigate the degree of cognitive skills required for success in online versions of the popular card game rummy and poker. The study focuses on analyzing the impact of experience and learnable skills on success in the…
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to…
We consider a dynamic version of sender-receiver games, where the sequence of states follows an irreducible Markov chain observed by the sender. Under mild assumptions, we provide a simple characterization of the limit set of equilibrium…
We consider the dynamics of player's strategies in repeated market games, where the selection of strategies is determined by a learning model. Prior theoretical analysis and experimental data show that after large number of plays the…
Financial and gambling markets are ostensibly similar and hence strategies from one could potentially be applied to the other. Financial markets have been extensively studied, resulting in numerous theorems and models, while gambling…