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

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  • Horikoshi, Yasunori
  • Takemura, Akimichi

Abstract

We derive some results on contrarian and one-sided strategies of Skeptic for the fair-coin game in the framework of the game-theoretic probability of Shafer and Vovk [G. Shafer and V. Vovk. Probability and Finance -- It's Only a Game!, Wiley, New York, 2001]. In particular, as regards 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.

Suggested Citation

  • Horikoshi, Yasunori & Takemura, Akimichi, 2008. "Implications of contrarian and one-sided strategies for the fair-coin game," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 2125-2142, November.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:11:p:2125-2142
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    References listed on IDEAS

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    1. Vladimir Vovk & Glenn Shafer, 2005. "Good randomized sequential probability forecasting is always possible," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 747-763, November.
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    Cited by:

    1. Vladimir Vovk, 2012. "Continuous-time trading and the emergence of probability," Finance and Stochastics, Springer, vol. 16(4), pages 561-609, October.
    2. Vladimir Vovk, 2009. "Continuous-time trading and the emergence of probability," Papers 0904.4364, arXiv.org, revised May 2015.
    3. Shin-ichiro Takazawa, 2012. "Exponential inequalities and the law of the iterated logarithm in the unbounded forecasting game," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(3), pages 615-632, June.

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