On directed information and gambling

Haim H. Permuter, Young Han Kim, Tsachy Weissman

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

21 Scopus citations

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.

Original languageEnglish
Title of host publicationProceedings - 2008 IEEE International Symposium on Information Theory, ISIT 2008
Pages1403-1407
Number of pages5
DOIs
StatePublished - 29 Sep 2008
Externally publishedYes
Event2008 IEEE International Symposium on Information Theory, ISIT 2008 - Toronto, ON, Canada
Duration: 6 Jul 200811 Jul 2008

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8101

Conference

Conference2008 IEEE International Symposium on Information Theory, ISIT 2008
Country/TerritoryCanada
CityToronto, ON
Period6/07/0811/07/08

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