SERVING THE QUANTITATIVE FINANCE COMMUNITY

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katastrofa
Posts: 9193
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

### Re: Economic theory blogs/forums

"using ergodicity, replacing ensemble expectations with time-averages whenever appropriate."

ExSan
Posts: 4554
Joined: April 12th, 2003, 10:40 am

### Re: Economic theory blogs/forums

Anyone following Ole Peters blog?

Ergodicity Economics

He is a Santa Fe Institute researcher trying (since 2010 or so) to rewrite Expected Utility Theory using ergodicity, replacing ensemble expectations with time-averages whenever appropriate.

But it seems to me Aaron Brown did something similar in his book "Red Blooded Risk"...
Incidentally, I came across this essay On time and risk yesterday, by the same author, thanks to another wilmotter (el maestrisimo), and was willing to ask what people here think about it. All comments (other than those about the proper use of commas in English language, obviously) welcome. Thank you.
Thanks!.

gardener3
Posts: 1496
Joined: April 5th, 2004, 3:25 pm

### Re: Economic theory blogs/forums

I thought econophysics died 10 year ago