Self-Fulfilling Prophecies, Quasi Nonergodicity, and Wealth Inequality

• 成果类型: Article; Early Access
• 署名作者: Bouchaud, Jean-Philippe; Farmer, Roger E. A.
• 署名单位: Institut Polytechnique de Paris; Ecole Polytechnique; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/722214
• 发表日期: 2023
• 关键词: DISTRIBUTIONS; economies; selection; DYNAMICS; agents; MODEL

摘要

We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally, and each person updates beliefs in response to observed outcomes. We show that the distribution of the observed signal is described by a quasi-nonergodic process and that people continue to disagree with each other forever. These disagreements generate large wealth inequalities that arise from the multiplicative nature of wealth dynamics, which makes successful bold bets highly profitable.