Ergodicity breaking in geometric Brownian motion

Ole Peters and William Klein

Papers from arXiv.org

Abstract: Geometric Brownian motion (GBM) is a model for systems as varied as financial instruments and populations. The statistical properties of GBM are complicated by non-ergodicity, which can lead to ensemble averages exhibiting exponential growth while any individual trajectory collapses according to its time-average. A common tactic for bringing time averages closer to ensemble averages is diversification. In this letter we study the effects of diversification using the concept of ergodicity breaking.

Date: 2012-09, Revised 2013-03
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Published in Phys. Rev. Lett. 110, 100603 (2013)

Downloads: (external link)
http://arxiv.org/pdf/1209.4517 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1209.4517

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().