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

DOI10.1016/J.SPA.2007.11.007zbMATH Open1154.60027arXivmath/0703743OpenAlexW1993272640MaRDI QIDQ952747FDOQ952747

Authors: Yasunori Horikoshi, Akimichi Takemura 

Publication date: 14 November 2008

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

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.

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

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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)

Cites Work

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• Game-theoretic versions of strong law of large numbers for unbounded variables
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• On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game
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Cited In (11)

• Continuous-time trading and the emergence of randomness
• Exponential inequalities and the law of the iterated logarithm in the unbounded forecasting game
• On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game
• Continuous-time trading and the emergence of probability
• Convergence of random series and the rate of convergence of the strong law of large numbers in game-theoretic probability
• Title not available (Why is that?)
• 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
• A new formulation of asset trading games in continuous time with essential forcing of variation exponent
• Capital Process and Optimality Properties of a Bayesian Skeptic in Coin-Tossing Games
• Game-theoretic versions of strong law of large numbers for unbounded variables

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