Английская Википедия:Ergodicity economics

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Шаблон:Short description Шаблон:Use American EnglishШаблон:Use dmy dates Ergodicity economics is a research programme aimed at reworking the theoretical foundations of economics in the context of ergodic theory. The project's main goal is to understand how traditional economic theory, framed in terms of the expectation values of ensembles, changes when replacing expectation value averages with time averages. In particular, the programme is interested in understanding the effect of non-ergodic processes in economics, that is processes where the expectation value of an observable does not equal its time average.

Background

The ergodicity economics research programme originated in two papers by Ole Peters in 2011, a theoretical physicist and current external professor at the Santa Fe Institute. The first studied the problem of optimal leverage in finance and how this may be achieved by considering the non-ergodic properties of geometric brownian motion. The second paper applied principles of non-ergodicity to propose a possible solution for the St. Petersburg paradox. More recent work has suggested possible solutions for the equity premium puzzle, the insurance puzzle, gamble-selection, probability weighting, and has provided insights into the dynamics of income inequality.

Coverage in the wider media

Шаблон:Self-sourcing examples In December 2020, Bloomberg news published an article titled "Everything We’ve Learned About Modern Economic Theory Is Wrong" discussing the implications of ergodicity in economics following the publication of a review of the subject in Nature Physics. Morningstar covered the story to discuss the investment case for stock diversification.

In the book Skin in the Game, Nassim Nicholas Taleb suggests that the ergodicity problem requires a rethinking of how economists use probabilities. A summary of the arguments was published by Taleb in a Medium article in August 2017.

In the book The End of Theory, Richard Bookstaber lists non-ergodicity as one of four characteristics of our economy that are part of financial crises, that conventional economics fails to adequately account for, and that any model of such crises needs to take adequate account of. The other three are: computational irreducibility, emergent phenomena, and radical uncertainty.Шаблон:Citation needed

In the book The Ergodic Investor and Entrepreneur, Boyd and Reardon tackle the practical implications of non-ergodic capital growth for investors and entrepreneurs, especially for those with a sustainability, circular economy, net positive, or regenerative focus.

James White and Victor Haghani discuss the field of ergodicity economics in their book The Missing Billionaires.

Criticisms

The approach and relevance of the ergodicity economics research program has been criticised significantly by mainstream economists. They argue that the program misstates the content and predictions of mainstream economic theory in criticizing it, and that the basic ergodicity economics model makes obviously false predictions about behavior. An experiment carried out by neuroscientists in Denmark which "would corroborate ergodicity economics and falsify expected utility theory" has also been particularly criticised for its methods and for overstating its results.

See also

• Santa Fe Institute
• St. Petersburg paradox