Re: Bankroll Management in Limit Poker and Fractional Brownian Motion
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As a practical matter, why don't you just increase your variance to account for higher swings?...After all, it is idle speculation that you increments are not independent, right?
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I don't think I understand what you mean here. With a large enough database, I can estimate my variance to within a very small margin. So it is a given and I cannot change it. If the observed number and size of swings is not consistent with the observed variance, then some basic assumption about the model is wrong. Yes, it is speculation that the flawed assumption would be independence. But at the moment, I cannot see any more likely candidate.
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