Seminar on Ergodicity Breaking in Power-compounding Random Walks

Wednesday 17 April @ 2pm London time.

In this online seminar, Colm Connaughton presents his new results under the title:

Ergodicity breaking in power-compounding random walks

Colm will introduce the power compounding random walk in which the drift term produces power law growth in time. This process interpolates smoothly between the additive and multiplicative random walks. Colm will discuss the ergodicity breaking properties of this process and the origin of volatility drag in the multiplicative case. In particular, he addresses the question of whether the power compounding random walk is more like the additive case or more like the multiplicative case.

Sign up for the seminar via https://streamyard.com/watch/RSxVrJq64d3j to receive an invitation link to join the seminar.

4 responses to “Seminar on Ergodicity Breaking in Power-compounding Random Walks”

  1. Heinz avatar
    Heinz

    Can you give me a relevant practical example of power compounding random walks, or is this just an academic exercise?

    1. Colm Connaughton avatar
      Colm Connaughton

      This talk will be primarily about my efforts to understand the mathematics of the process. However the research is motivated by the behavioural science experiments on repeated gambles being done by Ollie Hulme’s group in Copenhagen. These experiments clearly show that people’s risk preferences change when the gambles are multiplicative compared to additive. It is natural to ask what would happen if the gambles are “in between” additive and multiplicative. The power compounding random walk provides a way to model such a situation.

      1. Heinz avatar
        Heinz

        Thank you for your explanations. Looking forward to the talk and hope there is a way to access it later even if one cannot attend it live.

      2. Emilie Rosenlund Soysal avatar
        Emilie Rosenlund Soysal

        If you have signed up with the link above you will get access to a recording afterwards.
        But in any case, we hope to see you on wednesday!
        Best wishes, Emilie (host)

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