The (mis)behavior of markets: a fractal view of risk, ruin, and reward
"Together with Richard L. Hudson, Benoit Mandelbrot turns a fractal eye to the behavior of financial markets and overturns the "random walk" theory that is the underpinning of all contemporary financial analysis. Markets, we learn, are far riskier than we have wanted to believe."...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York
Basic Books
2004
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | "Together with Richard L. Hudson, Benoit Mandelbrot turns a fractal eye to the behavior of financial markets and overturns the "random walk" theory that is the underpinning of all contemporary financial analysis. Markets, we learn, are far riskier than we have wanted to believe." "The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With his fractal models, the (mis)behavior of the world's markets - from the gyrations of IMB's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate - can be understood in more accurate terms than the tired theories of yesteryear." "The (Mis)Behavior of Markets is a reevaluation of the standard tools and models of modern financial theory. Mandelbrot's fresh insights explode the false assumptions that have caused millions of investors, traders, and managers to underestimate the real risk, of the market."--BOOK JACKET. |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XXIV, 328 S. graph. Darst. |
| ISBN: | 0465043550 |
Staff View
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| 500 | |a Includes bibliographical references and index | ||
| 520 | 1 | |a "Together with Richard L. Hudson, Benoit Mandelbrot turns a fractal eye to the behavior of financial markets and overturns the "random walk" theory that is the underpinning of all contemporary financial analysis. Markets, we learn, are far riskier than we have wanted to believe." "The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With his fractal models, the (mis)behavior of the world's markets - from the gyrations of IMB's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate - can be understood in more accurate terms than the tired theories of yesteryear." "The (Mis)Behavior of Markets is a reevaluation of the standard tools and models of modern financial theory. Mandelbrot's fresh insights explode the false assumptions that have caused millions of investors, traders, and managers to underestimate the real risk, of the market."--BOOK JACKET. | |
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Record in the Search Index
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Titel: The (mis)behavior of markets
Autor: Mandelbrot, Benoît B
Jahr: 2004
Contents
Abstract v
Acknowledgments xiii
Prelude: Introducing a Maverick in Science xv
Benoit Mandelbrot, the "father" of fractals, has made a career
of going against the prevaüing fashions in science.
Part I.
The Old Way
Chapter I Risk, Ruin, and Reward 3
"Modern" financial theory is founded on a few, shafey myths
that lead us to underestimate the real risk of financial markets.
Chapter II By the Toss of a Coin or the
Flight of an Arrow? 25
How the Operations of mere chance can be used to study a
financial market.
Chapter III Bachelier and His Legacy 43
The study o/financial theory began a Century ago with a brilliant
but undervalued French mathematician, Louis Bachelier.
Contents
Chapter IV The House of Modern Finance 59
How the edifice of modern financial theory—valuing assets,
building portfolios and assessing risfe—was erected on
ßache/ier's worfe.
Chapter V The Case Against the Modern
Theory of Finance 79
Orthodox financial theory is riddled with false assumptions and
wrong resuits. A summary of the evidence against it.
Pictorial Essay: Images of the Abnormal 88
Part IL
The New Way
Chapter VI Turbulent Markets: A Preview 111
Financial markets are turbulent—like the wind or the flood. An
introduction to the fractal view o//inance.
Chapter VII Studies in Roughness:
A Fractal Primer 123
How is a stocfe-price chart like the leaves of a fern? A survey of
fractal geometry.
Pictorial Essay: A Fractal Gallery 132
Chapter VIII The Mystery of Cotton J47
The first clue to the fractal view of finance came in a study of
cotton by Mandelbrot. An account of his scientific journey.
Contents xi
Chapter IX Long Memory, from the Nile to
the Marketplace 173
The second clue to fractal finance came from lifelong study o/
the Nile River by an Engfish hydrologist, H.E. Hurst.
Chapter X Noah, Joseph, and Market Bubbles J97
The two critical /eatures o/financial markets are wild price
Swings and long-term dependence—the Noah Effect and the
Joseph Effect.
Chapter XI The Multifractal Nature of
Trading Time 207
In financial markets, time speeds up and slows down—as
described in the multi/ractal model of markets.
Part III.
The Way Ahead
Chapter XII Ten Heresies of Finance 225
How do financial markets really worfc? A (ist of key insights
provided by the fractal view o//inance.
Chapter XIII In the Lab 2 53
So how can the study of fractals change finance? A program for
future research.
Notes 277
Bihliography 303
Index 318 |
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| spelling | Mandelbrot, Benoît B. 1924-2010 Verfasser (DE-588)118974203 aut The (mis)behavior of markets a fractal view of risk, ruin, and reward Benoit B. Mandelbrot and Richard L. Hudson Misbehavior of markets Behavior of markets New York Basic Books 2004 XXIV, 328 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index "Together with Richard L. Hudson, Benoit Mandelbrot turns a fractal eye to the behavior of financial markets and overturns the "random walk" theory that is the underpinning of all contemporary financial analysis. Markets, we learn, are far riskier than we have wanted to believe." "The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With his fractal models, the (mis)behavior of the world's markets - from the gyrations of IMB's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate - can be understood in more accurate terms than the tired theories of yesteryear." "The (Mis)Behavior of Markets is a reevaluation of the standard tools and models of modern financial theory. Mandelbrot's fresh insights explode the false assumptions that have caused millions of investors, traders, and managers to underestimate the real risk, of the market."--BOOK JACKET. Actions (Titres de société) - Prix Administração de risco larpcal Analyse financière Ações larpcal Gestion du risque Investimentos (análise) larpcal Marché financier Mercado de capitais larpcal Valeurs mobilières aCapital market aInvestment analysis aStocks xPrices aSecurities aRisk management Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 s Risikomanagement (DE-588)4121590-4 s DE-604 Hudson, Richard L. 1955- Sonstige (DE-588)129894869 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012984513&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mandelbrot, Benoît B. 1924-2010 The (mis)behavior of markets a fractal view of risk, ruin, and reward Actions (Titres de société) - Prix Administração de risco larpcal Analyse financière Ações larpcal Gestion du risque Investimentos (análise) larpcal Marché financier Mercado de capitais larpcal Valeurs mobilières aCapital market aInvestment analysis aStocks xPrices aSecurities aRisk management Kapitalmarkt (DE-588)4029578-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4121590-4 |
| title | The (mis)behavior of markets a fractal view of risk, ruin, and reward |
| title_alt | Misbehavior of markets Behavior of markets |
| title_auth | The (mis)behavior of markets a fractal view of risk, ruin, and reward |
| title_exact_search | The (mis)behavior of markets a fractal view of risk, ruin, and reward |
| title_full | The (mis)behavior of markets a fractal view of risk, ruin, and reward Benoit B. Mandelbrot and Richard L. Hudson |
| title_fullStr | The (mis)behavior of markets a fractal view of risk, ruin, and reward Benoit B. Mandelbrot and Richard L. Hudson |
| title_full_unstemmed | The (mis)behavior of markets a fractal view of risk, ruin, and reward Benoit B. Mandelbrot and Richard L. Hudson |
| title_short | The (mis)behavior of markets |
| title_sort | the mis behavior of markets a fractal view of risk ruin and reward |
| title_sub | a fractal view of risk, ruin, and reward |
| topic | Actions (Titres de société) - Prix Administração de risco larpcal Analyse financière Ações larpcal Gestion du risque Investimentos (análise) larpcal Marché financier Mercado de capitais larpcal Valeurs mobilières aCapital market aInvestment analysis aStocks xPrices aSecurities aRisk management Kapitalmarkt (DE-588)4029578-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Actions (Titres de société) - Prix Administração de risco Analyse financière Ações Gestion du risque Investimentos (análise) Marché financier Mercado de capitais Valeurs mobilières aCapital market aInvestment analysis aStocks xPrices aSecurities aRisk management Kapitalmarkt Risikomanagement |
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