@inproceedings{20499253dfff4d1e8e6c6c4eec61885d,
title = "On directed information and gambling",
abstract = "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(Yn → Xn) as the amount of information that Yn causally provides about Xn. Extensions to stock market portfolio strategies and data compression with causal side information are also discussed.",
author = "Permuter, {Haim H.} and Kim, {Young Han} and Tsachy Weissman",
year = "2008",
month = sep,
day = "29",
doi = "10.1109/ISIT.2008.4595218",
language = "English",
isbn = "9781424422579",
series = "IEEE International Symposium on Information Theory - Proceedings",
pages = "1403--1407",
booktitle = "Proceedings - 2008 IEEE International Symposium on Information Theory, ISIT 2008",
note = "2008 IEEE International Symposium on Information Theory, ISIT 2008 ; Conference date: 06-07-2008 Through 11-07-2008",
}