Thread by @breakingthemark

A year ago today I started reading @ole_b_peters and @alex_adamou 's ergodicity economic lecture notes.

They were so good I finished it by the end of the next day.

There's lots of math, but as I've said before, this stuff is going to change the world.

ergodicityeconomics.com/lecture-notes/

My blog is about trying to create the best investment strategy, and isn’t EE centric. But the concepts I use are very similar to those EE discusses. I’m an engineer, so I’m focused more on application than pure theory.

breakingthemarket.com/welcome/

Many posts come from similar concepts as EE does. This post on stochastic efficient is the most similar, as it’s my proof that EE’s work on the subject is correct.

breakingthemarket.com/stochastic-eff…

This post uses the principles of non-ergodic ensembles to provide a different explanation for the momentum effect in stocks than the behavioral explanations most use.

breakingthemarket.com/randomness-in-…

This post discusses the concept of the geometric average and why it’s so often misunderstood.

breakingthemarket.com/the-most-misun…

This post is essentially the same math as the “farmers fable” or the cooperation game in the lecture notes, but applied to a collection of stocks in an index and not people.

breakingthemarket.com/why-market-ind…

This post is about sizing an investment portfolio using optimal leverage, with follow on posts expanding the graphical understanding.

breakingthemarket.com/how-to-balance…

This post looks at the trajectory of a single investment through time if it has a negative geometric return.
breakingthemarket.com/geometric-shor…

This post starts out frighteningly similar to EE's coin flip work, but then evolves to discuss how to “beat” the coin flips through position sizing.

breakingthemarket.com/math-games/

This post addresses the concept of “expected return” and asks what should really be expected out in the future.

breakingthemarket.com/what-is-the-ex…

This is a slightly different twist on solving the equity premium puzzle, but like EE’s version, it uses the geometric return.

breakingthemarket.com/solving-the-eq…

This post takes the concept of maximizing the geometric return and applies it to market price action to show that it might not be irrational after all.

breakingthemarket.com/a-grand-unifie…

And this shows that a focus on the geometric return is not just a theoretical concept, but can be used to create exceptional, simple, investing strategies that provide strong returns and limit drawdowns.

breakingthemarket.com/portfolio-on-3…

I can't come close EE's mathematical prowess on this subject. My goal is to take the concepts behind the behavior of multiplicative, compounding systems and use them to solve and explain the financial world in a way that is useful and accessible to everyone.