From: John Conover <john@email.johncon.com>

Subject: forwarded message from Jeff Brantingham

Date: 6 Nov 2001 01:09:04 -0000

Victor Sergeev will be addressing a very thorny problem in the field of economics at SFI on November 7, 2001. The prevailing wisdom is that things economic have equilibrium solutions-it is the paradigm of static solutions in macroeconomics. For example, supply-demand is often cited in the context of equilibrium, as is the relationship between interest rates and equity values, etc. Manipulation of the variables of static equilibrium as a means to achieve an end is what monetary and fiscal policy is all about. Unfortunately, such concepts are difficult, (and controversial,) to reconcile with entropic economics. For example, what is the equilibrium, (i.e., mean, or average,) of a Brownian fractal? It is an important question since, given enough time, all possible values, (minus infinity to plus infinity,) are equally probable, and Brownian fractals are used, pervasively, in the analysis of equity values, (specifically, Black-Scholes,) supply-demand analysis, etc. The resistance of the Japanese economy over the last decade, (and more recently the US economy,) to monetary and fiscal manipulation has renewed the debate on the efficacy of macroeconomic theory. John BTW, if we allow nonlinearities in the fractal dynamics, the concepts of macroeconomic and entropic economics can be reconciled. For example, if the "noise" is not additive, (as in a cumulative fractal,) but multiplicative: V = V * (1 + N(n)) n n - 1 where N(n) is the n'th value of noise, (for example, a statistically independent random variable with a normal frequency distribution that has an offset of the mean, avg, and a standard deviation of rms,) then the probability of an up movement, P, would be: avg --- + 1 rms P = ------- 2 and the average exponential gain per unit time, G, (of a GDP, for example,) would be: P (1 - P) G = ((1 + rms) ) * ((1 - rms) ) which certainly does exhibit long term, stable, and equilibrium phenomena. Both avg and rms can be manipulated as a means to an end through the concepts of macroeconomic theory, (monetary and fiscal policy in the case of the GDP, where avg is a metric of growth policy-possibly utilized dynamically-and rms is a metric of risk.) Unfortunately, (from the tsshannoneffective program at http://www.johncon.com/ntropix/tsshannoneffective.html,) the duration of time required to achieve an end may not be as immediate as desired. For example, (using a P of 51%, avg of 0.0004, and rms of 0.02, per day-typical values for things economic,) the time required to achieve an end through a manipulation of the variables could be as long as 16,000 days, or about 44 years! But, in principle, the concepts of macro and entropic economics can be reconciled into a consistent theory. ------- start of forwarded message (RFC 934 encapsulation) ------- Message-Id: <Pine.GSO.4.10.10111051652470.29182-100000@pele> From: Jeff Brantingham Subject: Seminar Wednesday, November 7, 10am: "Statistical approach to the problem of economic equilibrium," Victor Sergeev Date: Mon, 5 Nov 2001 16:57:20 -0700 (MST) ***Seminar Wednesday, November 7, 2001, 10am-12pm*** Location: Medium Conference Room Title: Statistical Approach to the problem of economic equilibrium Speaker: Victor Sergeev Affiliation: Moscow State Institute for International Relations ------- end ------- -- John Conover, john@email.johncon.com, http://www.johncon.com/

Copyright © 2001 John Conover, john@email.johncon.com. All Rights Reserved. Last modified: Mon Nov 5 18:33:14 PST 2001 $Id: 011105170918.8724.html,v 1.0 2001/11/17 23:05:50 conover Exp $