The ergodicity problem in economics.¶
Peters, O. (2019). The ergodicity problem in economics. Nature Physics, 1216-1221.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Law of Large Numbers
- For a multiplicative growth process the expectation across a hypothetical ensemble can grow without bound while almost every individual trajectory tends to zero, so the average over parallel worlds and the average over one world's history disagree permanently.
This sourceDemonstrates that for a multiplicative growth process the ensemble average over parallel realizations and the time average along a single trajectory diverge permanently.
Supported in partVerified against the publisher's abstract
Peters' abstract frames economics as growth systems far from equilibrium where ergodicity is wrongly assumed, but states neither the ensemble-vs-time divergence nor its unbounded/tend-to-zero values.
“Economics typically deals with systems far from equilibrium — specifically with models of growth.”
- For a multiplicative growth process the expectation across a hypothetical ensemble can grow without bound while almost every individual trajectory tends to zero, so the average over parallel worlds and the average over one world's history disagree permanently.
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