The Ergodicity Economics lecture notes are produced at the London Mathematical Laboratory. To receive an announcement when a new version becomes available, sign up to this blog with your email address, see top of left sidebar.
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The notes are our re-development of economic theory right from the foundations. We start with the axiom that individuals optimize what happens to them over time, not what happens to them on average in a collection of parallel worlds. The latter, surprisingly, is the starting point of the currently dominant form of economic theory, which we aim to correct.
|2018-06-30||6.6MB (136 pages)||Download||Ch.1: discussion of random variable, stochastic processes, ergodicity.
Ch.2: general mapping dynamics utility function (beyond Kelly, includes historical example of square-root Cramer utility).
Ch.3: log-normals vs. power laws, sums of log-normals, random-energy model.
Ch.4: New chapter. Re-allocating Geometric Brownian Motion (RGBM). Analytic solution of RGBM. Analysis of US wealth data.
Ch.5: Applications of stochastic market efficiency: solution of the equity premium puzzle, central-bank interest rate setting, fraud detection, a theory of noise. New data analysis, including tests of predictions for SP500 total return, DAX, bitcoin, Bernie Madoff’s Ponzi scheme.
|2017-08-24||4.5MB (96 pages)||Download||Corrected bullet point 4, p.26.|
|2017-07-12||4.5MB (96 pages)||Download||Harmonised notation.|
|2017-04-18||4.5MB (96 pages)||Download||Fixed some references and typos.|
|2017-03-04||4.5MB (96 pages)||Download|