相关论文: On Directed Information and Gambling

The growth rate of organisms depends both on external conditions and on internal states, such as the expression levels of various genes. We show that to achieve a criterion mean growth rate over an ensemble of conditions, the internal…

Across science and policy, decision-makers often need to draw conclusions about the best candidate among competing alternatives. For instance, researchers may seek to infer the effectiveness of the most successful treatment or determine…

Proper scoring rules incentivize experts to accurately report beliefs, assuming predictions cannot influence outcomes. We relax this assumption and investigate incentives when predictions are performative, i.e., when they can influence the…

Gambling is one of the basic economic activities that humans indulge in. An investigation of gambling activities provides deep insights into the economic actions of people and sheds lights on the study of econophysics. In this paper we…

We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimization. Conditioning on the observed side information, the…

A casino offers the following game. There are three cups each containing a die. You are being told that the dice in the cups are all the same, but possibly nonstandard. For a bet of \$1, the game master shakes all three cups and lets you…

A Bayesian game is said to have nested information if the players are ordered, and each player knows the types of all players that follow her in that order. We prove that all multiplayer Bayesian games with finite actions spaces, bounded…

This paper presents a novel approach to analyze human decision-making that involves comparing the behavior of professional chess players relative to a computational benchmark of cognitively bounded rationality. This benchmark is constructed…

When we use machine learning for public policy, we find that many useful variables are associated with others on which it would be ethically problematic to base decisions. This problem becomes particularly acute in the Big Data era, when…

A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…

In an information-processing investment game, such as the growth of a population of organisms in a changing environment, Kelly betting maximizes the expected log rate of growth. In this paper, we show that Kelly bets are closely related to…

It is reported that financial news, especially financial events expressed in news, provide information to investors' long/short decisions and influence the movements of stock markets. Motivated by this, we leverage financial event streams…

The focal point of this paper is the so-called Kelly Criterion, a prescription for optimal resource allocation among a set of gambles which are repeated over time. The criterion calls for maximization of the expected value of the…

We study a dynamic model of information provision. A state of nature evolves according to a Markov chain. An informed advisor decides how much information to provide to an uninformed decision maker, so as to influence his short-term…

The subject of this paper is the elucidation of effects of actions from causal assumptions represented as a directed graph, and statistical knowledge given as a probability distribution. In particular, we are interested in predicting…

We establish a connection between the stability of mirror descent and the information ratio by Russo and Van Roy [2014]. Our analysis shows that mirror descent with suitable loss estimators and exploratory distributions enjoys the same…

In this paper we design information elicitation mechanisms for Bayesian auctions. While in Bayesian mechanism design the distributions of the players' private types are often assumed to be common knowledge, information elicitation considers…

The Shapley value has been recently advocated as a method to choose the seed nodes for the process of information diffusion. Intuitively, since the Shapley value evaluates the average marginal contribution of a player to the coalitional…

This paper provides necessary and sufficient conditions for a pair of randomised stopping times to form a saddle point of a zero-sum Dynkin game with partial and/or asymmetric information across players. The framework is non-Markovian and…

We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables and forecasts future credit spread changes. One reason for…