Other than a mention in the new edition of Filthy's most excellent book, I haven't seen any mention of Parrondo's paradox here. It's pretty neat; in certain situations, randomly playing two losing games will build a winning game. All kinds of relationships to things of interest here; vola pumping is an example. Cover portfolios are probably an example. And ... at the end of the day, it is a Brownian ratchet, you can come up with such a game by looking at the Fokker-Planck equations.
Clearest explanation (thanks Filthy!):
https://leeds.colorado.edu/publication/11
Decent review article:
http://www.eleceng.adelaide.edu.au/personal/dabbott/publications/FNL_abbott2010b.pdf
Indirect connection; an old NP post on Shannon's demon:
https://nuclearphynance.com/Show%20Post.aspx?PostIDKey=154606
Parrondo's paradox
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jslade
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Parrondo's paradox
"Alles hat ein ende, nun die wurst hat zwei."
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sharpend
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Parrondo's paradox
Fernholz(Intech) is also mentioned in the Abbott article and runs a decent amount of money
I think there is a study of commodity rebalancing by Till
Definitely a cool topic at least in the wow factor when people first see an example. Despite Stutzer and Fenrholz having written in top finance journals, I have found few finance academic types who have even heard of it.
I think there is a study of commodity rebalancing by Till
Definitely a cool topic at least in the wow factor when people first see an example. Despite Stutzer and Fenrholz having written in top finance journals, I have found few finance academic types who have even heard of it.
Panic Early