Pragmatic Information Rates, Generalizations Of The Kelly Criterion, And Financial Market Efficiency

This paper is part of an ongoing investigation of "Pragmatic information," defined in Weinberger (2002) as "The amount of information actually used in making a decision." Because a study of information rates led to the Noiseless and Noisy Coding Theorems, two of the most important results of Shannon's theory, the authors begin the paper by defining a pragmatic information rate, showing that all of the relevant limits make sense, and interpreting them as the improvement in compression obtained from using the correct distribution of transmitted symbols.

Provided by: Polytechnic Institute of New York University Topic: CXO Date Added: Feb 2011 Format: PDF

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