Implications of contrarian and one-sided strategies for the fair-coin game

DOI10.1016/J.SPA.2007.11.007MaRDI QIDQ952747zbMATH OpenOpenAlexFDO

Authors Yasunori Horikoshi, Akimichi Takemura

Publication date 14 November 2008

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0703743

zbMATH Keywords

Law of the iterated logarithmStrong law of large numbersGame-theoretic probabilityMomentum strategy

Mathematics Subject Classification ID

Strong limit theorems (60F15) Other game-theoretic models (91A40)

Abstract: We derive some results on contrarian and one-sided strategies by Skeptic for the fair-coin game in the framework of the game-theoretic probability of Shafer and Vovk cite{sv}. In particular, concerning the rate of convergence of the strong law of large numbers (SLLN), we prove that Skeptic can force that the convergence has to be slower than or equal to $O(n^{-1/2})$. This is achieved by a very simple contrarian strategy of Skeptic. This type of result, bounding the rate of convergence from below, contrasts with more standard results of bounding the rate of SLLN from above by using momentum strategies. We also derive a corresponding one-sided result.

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Cites work

• scientific article; zbMATH DE number 1963167 (Why is no real title available?)
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• Elements of Information Theory
• Game-Theoretic Derivation of Discrete Distributions and Discrete Pricing Formulas
• Game-theoretic versions of strong law of large numbers for unbounded variables
• Good Randomized Sequential Probability Forecasting is Always Possible
• Mathematical metaphysics of randomness
• On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game
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(11)

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• Convergence of random series and the rate of convergence of the strong law of large numbers in game-theoretic probability
• scientific article; zbMATH DE number 5589306 (Why is no real title available?)
• A new formulation of asset trading games in continuous time with essential forcing of variation exponent
• Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
• An exponential inequality and the convergence rate of the strong law of large numbers in the unbounded forecasting game
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• Game-theoretic versions of strong law of large numbers for unbounded variables

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