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When Profitable Betting Systems are not Possible

I felt a bit guilty explaining a Kelly/Thorp style card betting system without discussing why these ideas don’t work on fair coin games.

So I have “writeup for engineers” on the martingale theory of such games. This has example code, so one could try to come up with a betting strategy “that breaks the theorem.” Or more seriously, try more examples.

Please check out our new note here.

Categories: Statistics Tutorials

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jmount

Data Scientist and trainer at Win Vector LLC. One of the authors of Practical Data Science with R.

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