The efficiency of investment information
The efficiency of investment information
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DOI：
10.1109/18.669153
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发表时间：
1998-05-01
影响因子：
2.5
通讯作者：
Cover, TM
中科院分区：
文献类型：
--
作者：
Erkip, E;Cover, TM
我们研究了相关信息V的描述如何改善股票市场X的投资。目标是在重复投资中最大化财富增长率。我们发现增量增长率Delta（R）的一个单字母特征，当V以R的速度向投资者描述时，增长率的最大增长。专门用于赛马市场的增量增长率与Wyner和Ahlswede-Korner的边信息源编码有关。我们提供了两个赛马的例子：联合二进制和联合高斯。初始效率Δ ′（0）是每比特描述的增长率的最大可能增加。我们发现，初始效率与V和市场之间的依赖关系。特别地，对于赛马市场，初始效率是V和X之间的Hirschel-Gebelein-Renyi最大相关性的平方。这提供了与Ahlswede和Gacs的马尔可夫算子的超压缩的连接。对于一般市场，当边信息V等于股票市场结果X时，初始效率为1。
We investigate how the description of a correlated information V improves the investment in the stock market X. The objective is to maximize the growth rate of wealth in repeated investments. We find a single-letter characterization of the incremental growth rate Delta(R), the maximum increase in growth rate when V is described to the investor at rate R. The incremental growth rate specialized to the horse race market is related to source coding with side information of Wyner and Ahlswede-Korner. We provide two horse race examples: jointly binary and jointly Gaussian. The initial efficiency Delta'(0) is the maximum possible increase in the growth rate per bit of description. We show that the initial efficiency is related to the dependency between V and the market. In particular, for the horse race market, the initial efficiency is the square of the Hirschfeld-Gebelein-Renyi maximal correlation between V and X. This provides a connection with the hypercontraction of the Markov operator of Ahlswede and Gacs. For the general market the initial efficiency is 1 when the side information V is equal to the stock market outcome X.