Fractal Structures in Adversarial Prediction

DOI10.1145/2688073.2688088MaRDI QIDQ2989016zbMATH OpenOpenAlexFDO

Authors Rina Panigrahy, Preyas Popat

Publication date 19 May 2017

Published in Proceedings of the 2015 Conference on Innovations in Theoretical Computer Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.7576

zbMATH Keywords

fractal Brownian motionadversarial prediction

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Financial applications of other theories (91G80) Self-similar stochastic processes (60G18)

Abstract: Fractals are self-similar recursive structures that have been used in modeling several real world processes. In this work we study how "fractal-like" processes arise in a prediction game where an adversary is generating a sequence of bits and an algorithm is trying to predict them. We will see that under a certain formalization of the predictive payoff for the algorithm it is most optimal for the adversary to produce a fractal-like sequence to minimize the algorithm's ability to predict. Indeed it has been suggested before that financial markets exhibit a fractal-like behavior. We prove that a fractal-like distribution arises naturally out of an optimization from the adversary's perspective. In addition, we give optimal trade-offs between predictability and expected deviation (i.e. sum of bits) for our formalization of predictive payoff. This result is motivated by the observation that several time series data exhibit higher deviations than expected for a completely random walk.

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