the misbehavior of markets a fractal view of financial turbulence

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The Mis Behaviour Of Markets

Author : Benoit B. Mandelbrot
ISBN : 9781847651556
Genre : Business & Economics
File Size : 80. 83 MB
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This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.

The Misbehavior Of Markets

Author : Benoit Mandelbrot
ISBN : 9780465004683
Genre : Business & Economics
File Size : 90. 44 MB
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Mathematical superstar and inventor of fractal geometry, Benoit Mandelbrot, has spent the past forty years studying the underlying mathematics of space and natural patterns. What many of his followers don't realize is that he has also been watching patterns of market change. In The (Mis)Behavior of Markets, Mandelbrot joins with science journalist and former Wall Street Journal editor Richard L. Hudson to reveal what a fractal view of the world of finance looks like. The result is a revolutionary reevaluation of the standard tools and models of modern financial theory. Markets, we learn, are far riskier than we have wanted to believe. From the gyrations of IBM's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate--Mandelbrot shows that the world of finance can be understood in more accurate, and volatile, terms than the tired theories of yesteryear.The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With The (Mis)Behavior of Markets, he puts the tools of higher mathematics into the hands of every person involved with markets, from financial analysts to economists to 401(k) holders. Markets will never be seen as "safe bets" again.

Misbehavior Of Markets

Author : Benoit B. Mandelbrot
ISBN : 0465043550
Genre : Business & Economics
File Size : 46. 31 MB
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The originator of "fractal geometry" applies his theory to the stock market, revealing the chaos underneath commonly accepted patterns of rise and fall in the market, creating the foundations for a new "science of finance" in the process. 100,000 first printing.

Fractals And Scaling In Finance

Author : Benoit B. Mandelbrot
ISBN : 9781475727630
Genre : Mathematics
File Size : 62. 82 MB
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Mandelbrot is world famous for his creation of the new mathematics of fractal geometry. Yet few people know that his original field of applied research was in econometrics and financial models, applying ideas of scaling and self-similarity to arrays of data generated by financial analyses. This book brings together his original papers as well as many original chapters specifically written for this book.

The Fractalist

Author : Benoit B. Mandelbrot
ISBN : 9780307377357
Genre : Biography & Autobiography
File Size : 57. 63 MB
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A personal account by the late research scientist who revolutionized visual geometry with his ideas about fractals traces his early life as member of a Lithuanian Jewish family in early 20th-century Warsaw, his broad education in Europe and America and his long-time affiliation with IBM, Harvard and Yale. 40,000 first printing.

Fractal Market Analysis

Author : Edgar E. Peters
ISBN : 0471585246
Genre : Business & Economics
File Size : 73. 34 MB
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By using fractals and rescaled range plus nonlinear dynamic models, Ed Peters explains turbulent market behavior, offers fresh insights into risk and volatility, and demystifies price and market movements. Whatever your trading and investment goals, FRACTAL MARKET ANALYSIS delivers the realistic economic and mathematical structure you need to enhance your asset valuation and portfolio selection strategies.

Fractals And Chaos

Author : Benoit Mandelbrot
ISBN : 9781475740172
Genre : Mathematics
File Size : 54. 30 MB
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Just 23 years ago Benoit Mandelbrot published his famous picture of the Mandelbrot set, but that picture has changed our view of the mathematical and physical universe. In this text, Mandelbrot offers 25 papers from the past 25 years, many related to the famous inkblot figure. Of historical interest are some early images of this fractal object produced with a crude dot-matrix printer. The text includes some items not previously published.

Chaos And Order In The Capital Markets

Author : Edgar E. Peters
ISBN : 0471139386
Genre : Business & Economics
File Size : 43. 38 MB
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The latest developments in chaos theory – from an industry expert Chaos and Order in the Capital Markets was the first book to introduce and popularize chaos as it applies to finance. It has since become the classic source on the topic. This new edition is completely updated to include the latest ripples in chaos theory with new chapters that tie in today′s hot innovations, such as fuzzy logic, neural nets, and artificial intelligence. Critical praise for Peters and the first edition of Chaos and Order in the Capital Markets "The bible of market chaologists." – BusinessWeek "Ed Peters has written a first–class summary suitable for any investment professional or skilled investor." – Technical Analysis of Stocks & Commodities "It ranks among the most provocative financial books of the past few years. Reading this book will provide a generous payback for the time and mental energy expended." – Financial Analysts Journal This second edition of Chaos and Order in the Capital Markets brings the topic completely up to date with timely examples from today′s markets and descriptions of the latest wave of technology, including genetic algorithms, wavelets, and complexity theory. Chaos and Order in the Capital Markets was the very first book to explore and popularize chaos theory as it applies to finance. It has since become the industry standard, and is regarded as the definitive source to which analysts, investors, and traders turn for a comprehensive overview of chaos theory. Now, this invaluable reference – touted by BusinessWeek as "the bible of market chaologists" – has been updated and revised to bring you the latest developments in the field. Mainstream capital market theory is based on efficient market assumptions, even though the markets themselves exhibit characteristics that are symptomatic of nonlinear dynamic systems. As it explores – and validates – this nonlinear nature, Chaos and Order repudiates the "random walk" theory and econometrics. It shifts the focus away from the concept of efficient markets toward a more general view of the forces underlying the capital market system. Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today′s markets and descriptions of cutting–edge technologies–genetic algorithms, wavelets, complexity theory–and hot innovations, such as fuzzy logic and artificial intelligence. Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in–depth exploration of: ∗ Random walks and efficient markets – the development of the efficient market hypothesis (EMH) and modern portfolio theory ∗ The linear paradigm – why it has failed ∗ Nonlinear dynamic systems – phase space, the Henon Map, Lyapunov exponents ∗ Applying chaos and nonlinear methods – neural networks, genetic algorithms ∗ Dynamical analysis of time series – reconstructing a phase space, the fractal dimension Tonis Vaga′s Coherent Market Hypothesis – the theory of social imitation, control parameters, Vaga′s implementations Plus, Chaos and Order now contains a Windows–compatible disk including data sets for running analyses described in the appendices. Written by a leading expert in the field, Chaos and Order in the Capital Markets has all the information you need for a complete, up–to–date look at chaos theory. This latest edition will undoubtedly prove to be as invaluable as the first.

An Engine Not A Camera

Author : Donald Mackenzie
ISBN : 9780262250047
Genre : Technology & Engineering
File Size : 37. 28 MB
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In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes.Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities.MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream -- chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.

Multifractals And 1 Noise

Author : Benoit B. Mandelbrot
ISBN : 9781461221500
Genre : Mathematics
File Size : 35. 84 MB
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Mandelbrot is a world renowned scientist, known for his pioneering research in fractal geometry and chaos theory. In this volume, Mandelbrot defends the view that multifractals are intimately interrelated through the two fractal themes of "wildness" and "self-affinity". This link involves a powerful collection of technical tools, which are of use to diverse scientific communities. Among the topics covered are: 1/f noise, fractal dimension and turbulence, sporadic random functions, and a new model for error clustering on telephone circuits.

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