Não-ergodicidade

Non-Ergodic Economics

Stochastic multiplicative growth, specifically geometric Brownian motion, plays a central role in finance an in economics. The non-ergodicity of this process manifests itself as a difference between ensemble and time average growth rates. Much of the current formalism of economics, however, ignores this. Systems are often analysed as though they were in equilibrium and ergodic. This is most notable in the status ensemble averages (expectation values) enjoy in classic economics problems where time averages would be appropriate. The conceptual confusion can be traced back over the centuries all the way to the beginning of probability theory in 1654. While the advent of probabilistic methods in physics coincides with the beginning of the ergodicity debate in the 19th century, economics imported its probabilistic tools from a period predating the notion of ergodicity by two centuries. This early branching off of the economic discipline has significant consequences today for our understanding of risk management, financial market stability, and -- perhaps most importantly -- the dynamics of economic inequality.

Ole's research interests are reflected in his works over the last three years: Economics ruling out time: http://arxiv.org/abs/1110.1578 Financial market stability: http://arxiv.org/abs/1101.4548 A classic problem: http://arxiv.org/abs/1011.4404 Risk management: http://arxiv.org/abs/0902.2965
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