About this scholarly article

Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time by Takeuchi, Kei; Kumon, Masayuki; Takemura, Akimichi is a scholarly article available to read on EtoBox.

We study multistep Bayesian betting strategies in coin-tossing games in the framework of game-theoretic probability of Shafer and Vovk (2001). 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.

Author

Takeuchi, Kei; Kumon, Masayuki; Takemura, Akimichi

Published

2008

Language

EN