Related papers: Log-Ergodic Dynamics in Stochastic Monetary Veloci…
Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior in critical and emergency states, which leads to some…
Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model for estimating the ideal time for leaving a trading position…
Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
The determinants of the velocity of money have been examined based on life-cycle hypothesis. The velocity of money can be expressed by reciprocal of the average value of holding time which is defined as interval between participating…
The stochastic processes underlying the growth and stability of biological and psychological systems reveal themselves when far from equilibrium. Far from equilibrium, nonergodicity reigns. Nonergodicity implies that the average outcome for…
We study ergodic properties of a family of traffic maps acting in the space of bi-infinite sequences of real numbers. The corresponding dynamics mimics the motion of vehicles in a simple traffic flow, which explains the name. Using…
Risk-sensitive control balances performance with resilience to unlikely events in uncertain systems. This paper introduces ergodic-risk criteria, which capture long-term cumulative risks through probabilistic limit theorems. By ensuring the…
We study the evolution of distributions under the action of an ergodic dynamical system, which may be stochastic in nature. By employing tools from Koopman and transfer operator theory one can evolve any initial distribution of the state…
In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing…
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
The purpose of this paper is to study the time average behavior of Markov chains with transition probabilities being kernels of completely continuous operators, and therefore to provide a sufficient condition for a class of Markov chains…
We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of…
In this paper we study the dynamics and ergodic theory of certain economic models which are implicitly defined. We consider 1-dimensional and 2-dimensional overlapping generations models, a cash-in-advance model, heterogeneous markets and a…
Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long".…
This paper considers an ergodic version of the bounded velocity follower problem, assuming that the decision maker lacks knowledge of the underlying system parameters and must learn them while simultaneously controlling. We propose…
We present a new method of analysis of measure-preserving dynamical systems, based on frequency analysis and ergodic theory, which extends our earlier work [1]. Our method employs the novel concept of harmonic time average [2], and is…
We study the ergodic behaviour of a discrete-time process $X$ which is a Markov chain in a stationary random environment. The laws of $X_t$ are shown to converge to a limiting law in (weighted) total variation distance as $t\to\infty$.…
Ergodicity economics is a new branch of economic theory that notes the conceptual difference between time averages and expectation values, which coincide only for ergodic observables. It postulates that individual agents maximise the time…