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E-grāmata: (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward

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  • Formāts: 352 pages
  • Izdošanas datums: 01-Oct-2010
  • Izdevniecība: Profile Books Ltd
  • Valoda: eng
  • ISBN-13: 9781847651556
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(Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and RewardPalielināt
  • Formāts: 352 pages
  • Izdošanas datums: 01-Oct-2010
  • Izdevniecība: Profile Books Ltd
  • Valoda: eng
  • ISBN-13: 9781847651556
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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.

Recenzijas

Mandelbrot is acknowledged as the father of chaos theory ... he is, simply, very clever indeed. * Sunday Telegraph * The reader gets a clear picture of the history of finance theory ... the best financial read * Financial Times * Entertainingly written ... this book is a brain-opener that adds hugely to our sum of knowledge. * Director *

Papildus informācija

Benoit Mandelbrot, father of fractal geometry, revolutionised our understanding of the models of modern financial theory. This new edition includes material on the current market crisis, calling for an end to the tunnel vision of our bankers whose over-confidence in their understanding of markets ended in catastrophe.
Abstract viii
Acknowledgments ix
Preface xi
Prelude: Introducing a Maverick in Science xvii
Benoit Mandelbrot, the "father" of fractals, has made a career of going against the prevailing fashions in science.
Part I. The Old Way
Chapter 1 Risk, Ruin, and Reward
3
"Modern" financial theory is founded on a few, shaky 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 of financial theory began a century ago with a brilliant hut undervalued French mathematician, Louis Bachelier.
Chapter IV The House of Modern Finance
59
How the edifice of modern financial theory—valuing assets, building portfolios and assessing risk—was erected on Bachelier's work.
Chapter V The Case Against the Modern Theory of Finance
79
Orthodox financial theory is riddled with false assumptions and wrong results.
A summary of the evidence against it.
Pictorial Essay: Images of the Abnormal
88
Part II. 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 of finance.
Chapter VII Studies in Roughness: A Fractal Primer
123
How is a stock-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
147
The first clue to the fractal view of finance came in a study of cotton by Mandelbrot.
An account of his scientific journey.
Chapter IX Long Memory, from the Nile to the Marketplace
173
The second clue to fractal finance came from lifelong study of the Nile River by an English hydrologist, H.E. Hurst.
Chapter X Noah, Joseph, and Market Bubbles
197
The two critical features of 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 multifractal model of markets.
Part III. The Way Ahead
Chapter XII Ten Heresies of Finance
225
How do financial markets really work?
A list of key insights provided by the 'racial view of finance.
Chapter XIII In the Lab
253
So how can the study of fractals change finance?
A program for future research.
Notes 277
Bibliography 303
Index 316
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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