Ergodicity (wonkish)

2 Nov, 2020 at 10:23 | Posted in Economics | 2 Comments

Time irreversibility and non-ergodicity are — as yours truly repeatedly has argued — extremely important issues for understanding what are some of the deep fundamental flaws of mainstream economics.

Ole Peters presentation at Gresham College gives further  evidence why expectation values are irrelevant for understanding real-world economic systems.


  1. There are two problems with Peters’s presentation. First, an Exchange Traded Fund represents the ensemble average and any individual time series can invest in the ensemble average to experience average gains. Second, if a player goes bankrupt, they can use social skills to borrow more money. Example: Trump. When your theory ignores S&P 500 index funds and the President of the US, how relevant is it?
    ETFs dramatically transform the simplistic version of a bet that Peters presents. He needs to update his model of bets to include the possibility of betting on the ensemble average. Also, he should include a rich Uncle Sam who will give you money when you lose.

  2. Per your penchant for music videos …

    Talking Heads – Once in a Lifetime LIVE Los Angeles ’83

    Hope reality [tm] does not depend on some BlackRock algo that has a data issues … lest it manifest some AI Phantasm – Delusion which manifold increases the error rate and all that comes with it.

    Albeit with batted breath watch the SDR saga unfolding and what it portends …

    As always … thank you Lars …

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