The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and RewardProfile 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. |
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 |
303 | |
316 | |
Long Memory from the Nile | 173 |
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Expressions et termes fréquents
academic analysis assumptions average Bachelier Bachelier’s bell curve Black-Scholes Black-Scholes formula Brownian motion bubble calculate called Cantor dust CAPM cartoon century chance Chapter chart Citigroup clusters coin company’s cotton prices crash currency diagram distribution economics economists Efficient Market Hypothesis equation exchange expect fact fat tails financial markets financial theory forecast formula fractal dimension fractal geometry fund Gaussian happens Hurst ideas income investment investors kurtosis Lévy long-range dependence long-term dependence look Mandelbrot Mandelbrot set Markowitz math mathematical mathematician measure millions multifractal model Nile odds options paper Pareto’s pattern percent portfolio power law predict price changes prices vary probability profit random rise risk risky scale Scholes scientist shows standard deviation starts statistical stock price straight line tions toss trading trend turbulence variation volatility Wall Street wild