NuclearPhynance Archive

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

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.