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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 22: Economic Models

SOE 22.4: Vortrag

Donnerstag, 19. März 2015, 15:45–16:00, MA 001

The Role of Nonergodicity for Economic Theory — •Mark Kirstein — TU Dresden, Chair of Managerial Economics

The direction of the mathematisation of predominant economics is unthinkable without the tacit underlying assumption of ergodicity. Despite its foundational character, the assumption of (non)ergodicity is virtually unrecognised in the economic discipline, closely intertwined with equilibrium concepts, and absent from the curriculum, as contrasted with such popular assumptions like rational expectations formation, representative agent, efficient markets, perfect competition, etc.

Nonergodicity is fulfilled, if the time average of a system is unequal to its ensemble average. Nonergodicity is a necessary property of a mathematical model, if the model is supposed to describe occurences of endogenous novelties and change. The nonergodic case is the more general, whereas the ergodic case is much easier to handle mathematically. Capitalistic economies are downright defined through their potential of evolution and non-routine change and so are its very centerpiece financial markets. Accepting that proper mathematical models of economic or financial processes should posses the property of nonergodicity, puts emphasis on the crucial role of time through which a certain amount of uncertainty enters into economic reasoning. This contribution seeks to clarify this specific relation between the idea of (non)ergodicity from statistical mechanics and its role in and for economics and finance.