Ergodic hypothesis

In physics and thermodynamics, the ergodic hypothesis[1] says

that, over long periods of time, the time spent by a system in some
region of the phase space of microstates with the same energy is
proportional to the volume of this region, i.e., that all accessible
microstates are equiprobable over a long period of time.

Liouville's theorem states that, for a Hamiltonian system, the local

density of microstates following a particle path through phase space
is constant as viewed by an observer moving with the ensemble The question of ergodicity in a
(i.e., the convective time derivative is zero). Thus, if the microstates perfectly collisionless ideal gas with
are uniformly distributed in phase space initially, they will remain so specular reflections.
at all times. But Liouville's theorem does not imply that the ergodic
hypothesis holds for all Hamiltonian systems.

The ergodic hypothesis is often assumed in the statistical analysis of

computational physics. The analyst would assume that the average of a process
parameter over time and the average over the statistical ensemble are the same.
This assumption—that it is as good to simulate a system over a long time as it
is to make many independent realizations of the same system—is not always
correct. (See, for example, the Fermi–Pasta–Ulam–Tsingou experiment of
1953.)

Assumption of the ergodic hypothesis allows proof that certain types of

perpetual motion machines of the second kind are impossible.

Systems that are ergodic are said to have the property of ergodicity; a broad
range of systems in geometry, physics, and probability are ergodic. Ergodic
systems are studied in ergodic theory. This device can trap fruit
flies, but if it trapped
Phenomenology atoms when placed in
gas that already
uniformly fills the
In macroscopic systems, the timescales over which a system can truly explore
available phase space,
the entirety of its own phase space can be sufficiently large that the
then both Liouville's
thermodynamic equilibrium state exhibits some form of ergodicity breaking.
theorem and the second
A common example is that of spontaneous magnetisation in ferromagnetic law of thermodynamics
systems, whereby below the Curie temperature the system preferentially adopts would be violated.
a non-zero magnetisation even though the ergodic hypothesis would imply that
no net magnetisation should exist by virtue of the system exploring all states
whose time-averaged magnetisation should be zero. The fact that macroscopic systems often violate the
literal form of the ergodic hypothesis is an example of spontaneous symmetry breaking.

However, complex disordered systems such as a spin glass show an even more complicated form of
ergodicity breaking where the properties of the thermodynamic equilibrium state seen in practice are much
more difficult to predict purely by symmetry arguments. Also conventional glasses (e.g. window glasses)
violate ergodicity in a complicated manner. In practice this means that on sufficiently short time scales (e.g.
those of parts of seconds, minutes, or a few hours) the systems may behave as solids, i.e. with a positive
shear modulus, but on extremely long scales, e.g. over millennia or eons, as liquids, or with two or more
time scales and plateaux in between.[2]

Ergodic hypothesis in finance

Models used in finance and investment assume ergodicity, explicitly or implicitly. The ergodic hypothesis is
prevalent in modern portfolio theory, discounted cash flow (DCF) models, and aggregate indicator models
that infuse macroeconomics, among others.

The situations modeled by these theories can be useful. But often they are only useful during much, but not
all, of any particular time period under study. They can therefore miss some of the largest deviations from
the standard model, such as financial crises, debt crises and systemic risk in the banking system that occur
only infrequently.

Nassim Nicholas Taleb has argued that a very important part of empirical reality in finance and investment
is non-ergodic. An even statistical distribution of probabilities, where the system returns to every possible
state an infinite number of times, is simply not the case we observe in situations where "absorbing states"
are reached, a state where ruin is seen. The death of an individual, or total loss of everything, or the
devolution or dismemberment of a nation state and the legal regime that accompanied it, are all absorbing
states. Thus, in finance, path dependence matters. A path where an individual, firm or country hits a
"stop"—an absorbing barrier, "anything that prevents people with skin in the game from emerging from
it, and to which the system will invariably tend. Let us call these situations ruin, as the entity cannot emerge
from the condition. The central problem is that if there is a possibility of ruin, cost benefit analyses are no
longer possible."[3]—will be non-ergodic. All traditional models based on standard probabilistic statistics
break down in these extreme situations.

Ergodic hypothesis in social science

In the social sciences, the ergodic hypothesis corresponds to the assumption that individuals are
representative of groups, and vice-versa, that group averages can adequately characterize what might be
seen in an individual. This appears to not be the case: group level data often gives a poor indication of
individual level variation,[4][5] as individual standard deviations (SDs) tend to be almost eight times larger
than group level SDs of the same people.[5] Subsequently a third of the individual observations falls outside
a 99.9% confidence interval of group level data.

See also
Ergodic process
Ergodic theory, a branch of mathematics concerned with a more general formulation of
ergodicity
Ergodicity
Loschmidt's paradox
Poincaré recurrence theorem

References
1. Originally due to L. Boltzmann. See part 2 of Vorlesungen über Gastheorie (https://archive.or
g/details/vorlesungenberg02boltgoog). Leipzig: J. A. Barth. 1898. OCLC 01712811 (https://w
 ww.worldcat.org/oclc/01712811). ('Ergoden' on p.89 in the 1923 reprint.) It was used to prove
equipartition of energy in the kinetic theory of gases.
2. The introduction of the practical aspect of ergodicity breaking by introducing a "non-
ergodicity time scale" is due to Palmer, R. G. (1982). "Broken ergodicity". Advances in
Physics. 31 (6): 669. Bibcode:1982AdPhy..31..669P (https://ui.adsabs.harvard.edu/abs/1982
AdPhy..31..669P). doi:10.1080/00018738200101438 (https://doi.org/10.1080%2F00018738
200101438).. Also related to these time-scale phenomena are the properties of ageing and
the Mode-Coupling theory of Götze, W. (2008). Dynamics of Glass Forming Liquids. Oxford
Univ. Press.
3. Taleb, Nassim Nicholas (2019), "Probability, Risk, and Extremes" (https://books.google.com/
books?id=6lqHDwAAQBAJ), in Needham, Duncan (ed.), Extremes, Cambridge University
Press, pp. 46–66
4. Molenaar, P.C. (2004). "A manifesto on psychology as idiographic science: Bringing the
person back into scientific psychology, this time forever" (https://doi.org/10.1207/s15366359
mea0204_1). Measurement. 2 (4): 201–218. doi:10.1207/s15366359mea0204_1 (https://doi.
org/10.1207%2Fs15366359mea0204_1). S2CID 145323330 (https://api.semanticscholar.or
g/CorpusID:145323330).
5. Fisher, A.J. (2018). "Lack of group-to-individual generalizability is a threat to human subjects
research" (https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6142277). PNAS. 115 (27): 6106–
6115. Bibcode:2018PNAS..115E6106F (https://ui.adsabs.harvard.edu/abs/2018PNAS..115
E6106F). doi:10.1073/pnas.1711978115 (https://doi.org/10.1073%2Fpnas.1711978115).
PMC 6142277 (https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6142277). PMID 29915059
(https://pubmed.ncbi.nlm.nih.gov/29915059).

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