Public bet between Kyle and Jaime

kelly_criterion.py

# -*- coding: utf-8 -*-
"""
Created on Mon Apr  9 15:48:18 2018

@author: jsevillamol
"""

# After the game, I get either $1000 or the value of C in dollars rounded to nearest cent
# You can ask the 3rd party to run the flip_n_times() function as many times as you want within the 2h
# If C overflows during the game, the game ends and I get $1000 dollars

import random

alpha = 0.7 # fraction of net worth bid every time for heads
prob = 0.7  # probability of heads
payoff = 2  # multiplying factor on right bet
n = 1000     # number of flips
C = 50    # starting net worth

def flip(C):
    result = random.random()
    if result < prob: return C*alpha*payoff
    else: return C*(1-alpha)*payoff

def flip_n_times():
    global C
    for i in range(n):
        C = flip(C)
    return C