The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward

Couverture
Profile Books, 1 oct. 2010 - 352 pages
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.
 

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Table des matières

By the Toss of a Coin or
25
Bachelier and His Legacy
43
The House of Modern Finance
59
The Case Against the Modern
79
Images of the Abnormal
88
Part II
109
A Fractal Gallery
132
The Mystery of Cotton
147
Noah Joseph and Market Bubbles
197
The Multifractal Nature
207
The Way Ahead
223
In the Lab
253
Notes
277
Bibliography
303
Index
316
Droits d'auteur

Long Memory from the Nile
173

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À propos de l'auteur (2010)

Benoit Mandelbrot is Sterling Professor of Mathematical Sciences at Yale University. Richard L. Hudson is a former managing editor of Wall Street Journal Europe.

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