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Time for a Change: Introducing irreversible time in economics - Dr Ole Peters

Gresham College
315K subscribers
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58K views 12 years ago
An exploration of the remarkable consequences of using Boltzmann's 1870s probability theory and cutting-edge 20th Century mathematics in economic settings. An understanding of risk, market stability and economic inequality emerges. The lecture presents two problems from economics: the leverage problem "by how much should an investment be leveraged", and the St Petersburg paradox. Neither can be solved with the concepts of randomness prevalent in economics today. However, owing to 20th-century developments in mathematics these problems have complete formal solutions that agree with our intuition. The theme of risk will feature prominently, presented as a consequence of irreversible time. A lecture by Dr Ole Peters The transcript and downloadable versions of the lecture are available from the Gresham College website: http://www.gresham.ac.uk/lectures-and... Gresham College has offered free public lectures for over 400 years, thanks to the generosity of our supporters. There are currently over 2,500 lectures free to access. We believe that everyone should have the opportunity to learn from some of the greatest minds. To support Gresham's mission, please consider making a donation: https://gresham.ac.uk/support/ ...more
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The Leverage Problem

12:59

Petersburg Paradox

19:54

St Petersburg Paradox

20:05

Pricing Life Annuity

28:16

Life Annuities

28:22

The Listen Petersburg Paradox

29:50

Ergodicity

36:45

Because We Call a New Concept Stochastic Market Efficiency Where We'Re Saying that Markets Are Efficient in a Way Different from How We Usually Think about Them They Are Efficient in the Sense that You Can't Beat the Market by Leveraging an Investment in It and this Is a Really Curious Concept It Makes a Lot of Sense because You Can Imagine if if You Could Just Do that Everyone Would Do It but What if Everyone Did that Well It's Inconsistent It's Unstable so There Must Be Something More than Just Price Adjustments There Must Be Something like Adjustments of Fluctuations of Correlations They'Re Constrained by this New Concept

44:42

We'Ve Given Up Too Easily and Here's an Argument That I'Ve Often Heard Made by People Who Deal with Economic Systems They Say Well Economic Economic Systems CanNot Be Predicted because of Reflexivity It Goes like this You Make a Prediction about a System Then the System Responds to Your Prediction and that Invalidates Your Prediction so Your Prediction Is Useless but if You Can't Make Predictions about Something You Also Can't Use Scientific Method because Scientific Method Relies on Predictions Predictions Are What You Use To Test Your Hypotheses and if that Doesn't Work Then Just the Whole Framework Disappears and this Is Actually a Claim Made by Many Who Deal with Economic Systems They Say this Is a Different Animal You CanNot You CanNot Treat that with Scientific Method

48:14

I Don't Believe that I Truly Disagree and I Think I'Ve Seen It in My Work that It's It's Right To Disagree with this I Believe that this Is Wrong First of all because Not all Predictions Elicit a Response What Do I Mean by that I Mean that I Can Make Predictions about a System That Are Completely Useless and I'M Really into Making Useless Predictions because I Think that Making Useful Predictions of Focusing on Them Is Is an Anthropocentric so Nature Is Much Richer than that Nature Has Much More Structure Then What Is Useful to Humans and if We Only Focus on What Is Useful to Humans and We Miss a Lot of that Structure

49:00
Time for a Change: Introducing irreversible time in economics - Dr Ole Peters
1.2KLikes
58,312Views
2012Dec 18
An exploration of the remarkable consequences of using Boltzmann's 1870s probability theory and cutting-edge 20th Century mathematics in economic settings. An understanding of risk, market stability and economic inequality emerges. The lecture presents two problems from economics: the leverage problem "by how much should an investment be leveraged", and the St Petersburg paradox. Neither can be solved with the concepts of randomness prevalent in economics today. However, owing to 20th-century developments in mathematics these problems have complete formal solutions that agree with our intuition. The theme of risk will feature prominently, presented as a consequence of irreversible time. A lecture by Dr Ole Peters The transcript and downloadable versions of the lecture are available from the Gresham College website: http://www.gresham.ac.uk/lectures-and... Gresham College has offered free public lectures for over 400 years, thanks to the generosity of our supporters. There are currently over 2,500 lectures free to access. We believe that everyone should have the opportunity to learn from some of the greatest minds. To support Gresham's mission, please consider making a donation: https://gresham.ac.uk/support/

Follow along using the transcript.

Gresham College

315K subscribers