Physics

Non-ergodicity in Economics

This event is part of the Physics Department Colloquia Series. Refreshments will be served at 3:00 in the 1st Floor Lounge.

Abstract: Quantitative economics has borrowed methods from statistical mechanics from the early days of both fields. Notions such as equilibrium, and more recently phase transitions and scaling have been used by economists and physicists to gain a quantitative understanding of how economic systems behave. In this talk I will focus on the notion of ergodicity by discussing the relation between ensemble and time averaging in economic contexts. I will explore how this concept reveals an unappreciated role of fluctuations and time, as reflected in interpretations of growth rates and a fundamental significance of leveraging.