Quantum horse races and the Kelly rule
The Institute of Economics will hold a webinar meeting as part of its Seminar Series on Tuesday, February 23, 2020: Salvatore Tirone from the Scuola Superiore Normale (Pisa,Italy) "Quantum horse races and the Kelly rule".
Abstract:
The Kelly rule (or proportional betting rule) has established a groundbreaking connection between investing and gambling and Classical Information Theory: the maximum exponential rate of growth of the gambler's capital is equal to the rate of transmission of information over the communication channel. The Kelly strategy has various optimality properties and it is used to maximize the gambler's capital over an infinite number of repeated bets.
In our work we try to "quantize" the Kelly rule in a thermodynamical setting: inspired by the classical analogy between wealth and free energy, which measures the useful work obtainable by a closed system, we identify the extractable work from a quantum system with the investor's wealth and we optimize it on the initial state of the system, since in the quantum realm there are many inequivalent ways of storing (input) energy.
All interested participants are welcome to join online at the following link. External participants need to contact the organisers via email to grant access to the seminar.