ergodicity economics

Misbehaviour of Markets: Fractal View of Risk, Ruin, and Reward [quotes and notes]

on February 17, 2021December 7, 2022 By daesol

If you liked Nassim Taleb's books - Antifragile, Black Swan etc - then you'll love Mandelbrot's Misbehaviour of Markets. Benoit Mandelbrot is one of the greatest mathematicians of our time. Most renowned for his work on fractals (including the famous Mandelbrot set), he applies a complexity science lens to financial markets. As with most transdisciplinary [...]

Ergodicity: the Most Over-Looked Assumption

on May 20, 2020December 7, 2022 By daesol

Consider two ways of making purple. Method 1: Alternate red and blue squares. With enough squares, purple emerges. Method 2: Make square alternate between red and blue. With short enough time intervals, purple emerges. First method made changes in the space (ensemble) dimension. Second method made changes in the time (temporal) dimension. Both converged to [...]