Kudorian Journal of Mathematical Analysis, Vol. 17, No.

4, 2008

A MAXIMUM LIKELIHOOD APPROACH TO

ESTIMATING A POKER PLAYER’S STRENGTH,
AGGRESSION AND TIGHTNESS USING PROFIT AND
BUY-IN DATA
Nicolas Paul Hare and Gerald Dribbler

The Kudos Warrior Institute of Technology

c/o The Rabbit’s Nest
Schooner and Spade public house
Charing Cross
London

n_hare@btinternet.com

Abstract. Modelling poker winnings as a Brownian motion, we use a maximum-likelihood

approach to estimate a poker player’s overall strength, and degree of looseness / aggression,
from data showing their profits per session and maximum in-session loss.

Key words: poker, Kudos Warriors, Brownian motion, maximum likelihood

1. INTRODUCTION

Poker players often describe players’ general styles of play in terms of several key
characteristics. First, there is his strength as a player, which ultimately determines
his overall profit rate. Second, there is his tightness, which roughly equates to how
many hands he plays: a tight player will tend to enter few pots, but will generally have
good cards when he does, whereas a loose player will enter many pots, and will have
a correspondingly wider range of possible hands. Finally there is his aggression,
which determines the degree to which he bets and raises: an aggressive player will
tend to ‘lead the action’ while a passive one will tend to follow: calling, but not
betting or raising.

In this paper, we look at possible methods of defining these characteristics in terms of

the effect they have on the time-path of a player’s profit or loss during a period of
poker play. Modelling a player’s profit as a Brownian motion, we then derive
probability distributions for both profit at the end of a session, and the lowest point
reached during the session, for a given set of characteristics. We then use a
maximum-likelihood approach to derive best estimates of the values of these
characteristics, for a particular player, given a certain set of results.

2. MODELLING STYLES OF PLAY

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Over the course of a poker session, a poker player’s profit (i.e. his current level of
chips, less the number of chips he has purchased during play) will fluctuate. A strong
player’s profit will tend, on average, to move upwards. A tight player will enter
fewer hands. Finally, an aggressive player will tend to find themselves in bigger
pots, due to their tending to bet and raise, which will at least increase the variability of
their winnings. This last point is not totally straightforward: obviously, in a particular
poker hand, every player, aggressive and passive, contributes the same amount. But
over a sufficiently long period of time, aggressive players will find themselves in pots
with other passive players and aggressive players, whereas passive players will at
least on occasion be in pots only with other passive players. This means that we
should expect to see bigger swings, in the long run, in the fortunes of aggressive
players compared to more passive players with the same strength (i.e. who have the
same expected winnings per hand.)

Although there are a number of ways we could describe the effects of these
characteristics on a player’s profit, modelling profit as Brownian motion (BM) has a
number of advantages. Being a Markov process, BM has no ‘memory’, which is
similar to poker in that a player’s profits up to now do not affect their expected
winnings in the next hand (or should not – the phenomenon of ‘tilt’ might mean that a
player who has lost money will have lower expectation on the next hand due to bad
play). If the number of hands played during a session is sufficiently large, the
approximation to the normal distribution embodied in BM is justified. Finally,
Brownian motion has relatively simple and well-understood properties compared to
other stochastic data-generating processes (such as a discrete-time random walk).

Of course in other ways a poker player’s profit is not like BM. For example, wins and
losses come in discrete chunks, not a continuous trickle and during any one hand, a
player’s losses are limited by the chips he has in front of him – there is no such
constraint in unbounded BM. But these effects are dominated, over a sufficient
amount of time, by the other features which make BM at least a worthwhile
approximation. As an illustration, one of the following charts depicts real-life poker
results over a number of games, and the other depicts random series generated using a
BM-approximating process. They are difficult to distinguish from one another:

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(The bottom one actually shows the real-life results.)

If we are modelling a player’s profit using BM, how should we attempt to model
strength, aggression and tightness? A BM is characterised by just two variables: drift
( ) and variance ( 2). During a time t, the distribution of the amount a BM will have
moved is normally distributed with mean t and variance 2t. In fact, these three
variables (drift, variance and time) lend themselves quite readily to a poker
interpretation. We should expect drift to be correlated with strength: that is, a good
player will, over time, make a profit (this is true almost by definition). As discussed
above, a player’s aggression is plausibly correlated with the variance of the BM
describing his profit. Tightness is a little more complex, but if we think of a tight
player as playing fewer hands, this is similar to running the process for less time.
Consequently, we can think of it as the proportion of hands played, so that over ‘real’
time of 1, the BM describing that player’s profit-path will only move through p,
where p is the proportion of hands played. (Actually, a higher p means more hands
played, so we could define tightness as something like p-1).

Consequently, we can describe this interpretation of a player’s playing style using a

BM with drift equal to a player’s strength (in terms of profit per session) and variance
of (aggression / tightness). Or, if preferred, if BM( , 2) describes the distribution of
a player’s profit, we can say that his strength is approximated by , that his aggression
is approximated by ( 2 x tightness), and that his tightness is approximated by
(aggression / 2). That aggression and tightness are defined in terms of one another is
not a surprise: a BM has only two defining variables, and we cannot preserve

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information from three characteristics within only two variables. This becomes a
problem when we want to derive most likely values for strength, aggression and
tightness, given a set of results, as those results only (by assumption) represent a two-
variable process.

So far, this interpretation is rather solipsistic in that it treats a player’s profit as a data-
generating process which involves only his own characteristics and thus ignores other
players. To be more accurate, we should really interpret the characteristic BM of a
player as his BM given certain other circumstances of the game: the strength and
number of other players and so on. To make, as we do below, the assumption that
these conditions are constant across games is not a very good approximation to real
life, but it is an assumption that can be made to do useful work. There are a number
of ways in which the model could be expanded to take account of other players’
strengths but these are beyond the scope of this particular paper.

3. ESTIMATING A PLAYER’S STYLE FROM OBSERVED RESULTS

In our simple model as outlined above, we have defined strength, aggression and
tightness in terms of the drift and variance of a BM which describes a player’s profit
over time. Unfortunately, we do not have access to real-time data concerning a
player’s profit over time, and so have to rely on two key pieces of information: a
player’s profit levels at the end of every session, and their ‘buy-in’, which represents
the lowest point their profit reached during the session1.

The first stage in our estimation is to define the likelihood function of a particular
result, given strength , aggression and tightness . Given how we have defined
them above, a combination of these characteristics yields a BM with drift and
variance -1, where time t is in units of identically-sized poker sessions. After t=1
(i.e. the end of a session), the player’s profit will therefore be normally distributed
-1
with mean and variance . If the end-session profit is equal to then the
probability density at that point is therefore given by the familiar:

which, given our definitions, is equal to:

1
In fact this is not quite so, at least in Kudorian games. Under current Kudorian practice, a player may
buy in for either £5 or £10 as long as he would not have more than £12.50 after the buy-in. This means
that, in fact, a player’s lowest point could be anywhere between (the negative of) his total buy-in, or his
total buy-in less £12.50. However, we ignore this for the purposes of this section – it would be
extremely easy to accommodate this consideration using e.g. high- and low-end estimates for a range of
cases.

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The probability density function of the minimum of a BM is slightly less well-known.

In this case, we need to know not the unconditional probability density of the
minimum of a BM with the above characteristics, but the probability density of the
minimum of such a BM given that it ends at t=1 on : in other words, a Brownian
bridge between 0 at t=0 and at t=1. This can be computed from derivations in,
among other places, Beghin and Orsingher (1999), who give the (reverse) cumulative
probability function for the maximum of a Brownian bridge (with drift) of variance
unity as follows:

As the authors note, the drift term does not feature in this formula because the
stipulation that B (t)= effectively cancels it out. Taking account of the fact that the
distribution of the maximum of a Brownian bridge ending on is identical to the
distribution of the minimum of such a bridge ending on yields the following:

Because we will differentiate to find the density function, we then take its
complement:

Next, we must take account of the fact that this is for a standardised BM with unity
variance. Because B( , 2, t) = B( -2, 1, t 2) due to scale-invariance, we obtain:

We then substitute using our definitions of the poker characteristics, and letting t=1:

Finally, we differentiate to obtain the probability density function for , the observed
buy-in (i.e. the maximum loss) as follows:

We now have the two components of our likelihood function – the probability that
end-profit will equal and that during the same session, buy-in will equal :

To make differentiation easier, we then take the log of this equation:

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This is the log-likelihood of the results and being obtained in a single session for a
player with playing characteristics , and . To obtain the log-likelihood for all the
results obtained by that player, we simply take the sum of the log-likelihoods for
every game. This gives us the following, where N is the total number of games
played, and (for example) is the final profit in game i:

This gives us the following first-order conditions for the likelihood-maximising

values of , and , given a player’s results ( :

The first of these solves straightforwardly to:

This shows that our best estimate of a player’s strength (defined as their expected
profit per session, or the drift of the BM which describes their profit distribution) is
their average profit per session, which is totally unsurprising.

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We can then substitute our estimate of into the second and third conditions.
Rearranging either of these yields the same result:

(The reader can check for themselves that the second-order conditions are negative
where the first-order conditions are jointly true, showing that these solutions are
indeed maxima.)

As discussed above, the interaction between the aggression and tightness terms cannot
be unpicked. This leaves us with a single term, units of aggression per units of
tightness, or variance per unit of time played. The reason we cannot solve the two
terms separately is, mathematically, because they occur together in the determination
of the various components of the log-likelihood function. Conceptually, it is because
we cannot tell the difference between a high-variance, short BM and a low-variance,
long BM. To put this in poker terms, if our model is accurate, we cannot tell the
difference between an aggressive player who only plays a few hands, and a less
aggressive player who plays lots of hands, at least not just by observing buy-ins and
end-session profits.

However, this does not mean that the metric is without descriptive value. What it tells
us is the degree to which a player is loose, or aggressive, or both – we could call it the
‘L-Ag’, or looseness-aggression metric. We will leave it to others to evaluate its
usefulness as a predictor of profit, but we suggest that it does at least have descriptive
value in that it provides a way of quantifying a player’s activity level – we should
expect to see passive players and rocks with a low L-Ag score, while maniacs and
calling stations should be at the other end of the scale. A future paper will explore
some of the descriptive applications of the L-Ag score.

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