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The infamous coin toss

ergodicityeconomics.com

51–60 of 258 posts

Re: The infamous coin toss

#51

Earlier quoted context omitted.

Yeah, that's after 1 round. Both the individuals and the collective expect to gain if they only play 1 round. The interesting part is that they expect to lose money over time even though they expect to gain money if they only play once. But that holds for both the individuals and the collective. A less confusing game with the same mechanism is "flip a coin, if it's heads I give you 1000x your initial investment, if i…

The collective also gains in round 2, and each subsequent round. From the intuition that you have about the first round, treat each group with the same amount of money separately, and you will see that money grows in every round. Example: Round 1: 100x$100 (total $10000) -> 50x$60 + 50x$150 (total $10500) Gain of $500 total Round 2: 50x$60 ($3000) -> 25x$90 + 25x$36 ($3150) 50x$150 ($7500) -> 25x$225 + 25x$90 ($7875)…

No, it will approach zero like the individual one.

Think of it this way: If everyone's individual wealth approaches zero, why would the total go up?

Just run the following simulation in a python REPL:

    import random
    
    POPULATION = 100
    INITIAL_MONEY = 1000
    ROUNDS = 10000
    
    wallets = [INITIAL_MONEY for _ in range(POPULATION)]
    
    for iteration in range(ROUNDS):
        for person in range(POPULATION):
            if random.random() > 0.5:
                wallets[person] = wallets[person] * 1.5
            else:
                wallets[person] = wallets[person] * 0.6
        print(f"{sum(wallets)=}")

Re: The infamous coin toss

#52
post #8

I think the part about the misalignment between the individual and the collective is basically wrong. In the given game, the collective loses money just as the individual does. The collective wealth is the summation of the individuals' wealths, and both the collective and individual wealths drop over time. Write a simulation and try it if you don't believe me. I did, because I couldn't work out how the collective wea…

This simulation is the collective wealth over N players for M times. It is increasing. https://coin-n.streamlit.app/?utm_medium=oembed

If every individual in a population is definitely doomed to lose all their wealth, how could the collective wealth increase?

Re: The infamous coin toss

#53
post #3

But this is purely a result of the distribution of returns from a single toss. If I win I get 1.5 times my money, if I lose I'm left with less than 1/1.5 times. When I lose, I lose more than I win. I agree it's counterintuitive how any individual (on average) will lose over time, yet the entire system grows.

> When I lose, I lose more than I win. I don't see how this is true. Winning adds 0.5x of your current bankroll. Losing subtracts 0.4x of your current bankroll. When you win, you win more than you lose. The gamble has positive expected value.

Percentages etc are deceiving here. A 50% bonus is not the opposite of a 50% discount.

Your stake should grow or shrink by the same factor if you win or lose.

If you win, your stake is multiplied by 1.5.

If you lose, it should then be divided by 1.5 (multiplied by 0.66..).

But is in fact multiplied by only 0.6.

Re: The infamous coin toss

#54
post #52

Earlier quoted context omitted.

This simulation is the collective wealth over N players for M times. It is increasing. https://coin-n.streamlit.app/?utm_medium=oembed

If every individual in a population is definitely doomed to lose all their wealth, how could the collective wealth increase?

For infinite rounds in a finite population yes they will all lose their wealth. But if the population >> rounds this is not true.

Re: The infamous coin toss

#55
post #52

Earlier quoted context omitted.

If every individual in a population is definitely doomed to lose all their wealth, how could the collective wealth increase?

For infinite rounds in a finite population yes they will all lose their wealth. But if the population >> rounds this is not true.

I don't think population >> rounds is a general rule. It only works (most of the time) for this case because +50% and -40% are relatively close to each other.

If you change the rules to, say, +100% and -90%, they lose even when population > 20 * rounds. I'm sure there is a statistical formula that can be used to estimate the optimal number of rounds.

Re: The infamous coin toss

#56

Earlier quoted context omitted.

> When I lose, I lose more than I win. I don't see how this is true. Winning adds 0.5x of your current bankroll. Losing subtracts 0.4x of your current bankroll. When you win, you win more than you lose. The gamble has positive expected value.

Percentages etc are deceiving here. A 50% bonus is not the opposite of a 50% discount. Your stake should grow or shrink by the same factor if you win or lose. If you win, your stake is multiplied by 1.5. If you lose, it should then be divided by 1.5 (multiplied by 0.66..). But is in fact multiplied by only 0.6.

> Your stake should grow or shrink by the same factor if you win or lose.

> If you lose, it should then be divided by 1.5 (multiplied by 0.66..).

In what sense "should" this be true?

Re: The infamous coin toss

#57
post #28

This is the St. Petersburg paradox with an extra variable. In SPP, EV approaches infinity as the bank's resources approach infinity. Put bounds on the bank's resources, and you find that even with trillions of dollars your EV is less than $50. Here, not only are we assuming that the bank's resources are infinite, we're also assuming that the population is large enough that there are always enough lucky players to com…

[deleted]

Re: The infamous coin toss

#58

Earlier quoted context omitted.

Percentages etc are deceiving here. A 50% bonus is not the opposite of a 50% discount. Your stake should grow or shrink by the same factor if you win or lose. If you win, your stake is multiplied by 1.5. If you lose, it should then be divided by 1.5 (multiplied by 0.66..). But is in fact multiplied by only 0.6.

> Your stake should grow or shrink by the same factor if you win or lose. > If you lose, it should then be divided by 1.5 (multiplied by 0.66..). In what sense "should" this be true?

So that a winning gain would be the 'opposite' of a loss, they are balanced. Your situation is enhanced by some factor if you win, and diminished by the same factor if you lose.

Of course the actual amounts, percentages, proportions look bigger for the win compared to the loss, but that's just maths.

Re: The infamous coin toss

#59
Isn't this just E(f(x)) != f(E(x))?

The first part shows the expected value of the return function, which is positive (from the gambler's perspective).

The second part uses f(E(x)): the gambling function applied to expected number of heads and tails (50/50), which is a loss on average. But that's disingenuous because it silently thwacks off the outliers where a gambler wins almost every time or loses almost every time, which is hugely positive on average.

Essentially any nonlinear return function would have the same inequality. It's just stated trickily here and the analysis is deliberately misleading.

Re: The infamous coin toss

#60

Earlier quoted context omitted.

> When I lose, I lose more than I win. I don't see how this is true. Winning adds 0.5x of your current bankroll. Losing subtracts 0.4x of your current bankroll. When you win, you win more than you lose. The gamble has positive expected value.

“current bankroll” is the issue here. 1 * 1.5 * 0.6 = 0.9 < 1.

Not getting it. There are FOUR possible outcomes in two consecutive rolls.

HH: 2.25! HT: 0.9 TH: 0.9 TT: 0.36.

Expectation: 4.41/4 = 1.1025. The losses due to HT/HT get more than offset by the massive gain from HH over TT.

I can imagine there are arguments to be made about median expected value, and the effect on concentration of wealth. But whatever they are, they aren't being made.

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