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THE (MIS) BEHAVIOUR OF MARKETS: A FRACTAL VIEW OF RISK, RUIN AND REWARD

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Three states of matter-solid, liquid, and gas-have long been known. An analogous distinction between three states of randomness-mild, slow, and wild- arises from the mathematics of fractal geometry. Conventional financial theory assumes that variation of prices can be modeled by random processes that, in effect, follow the simplest "mild" pattern, as if each uptick or downtick were determined by the toss of a coin. What fractals show, and this book describes, is that by that standard, real prices "misbehave" very badly. A more accurate, multifractal model of wild price variation paves the way for a new, more reliable type of financial theory.

Understanding fractally wild randomness, also exem- plified by such diverse phenomena as turbulent flow, electrical "flicker" noise, and the track of a stock or bond price, will not bring personal wealth. But the fractal view of the market is alone in facing the high odds of catastrophic price changes. This book presents this view in a highly personal style, with many pictures and no mathematical formula in the main text.

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Availability

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332.6 MAN m

RLC MM (Rak Buku Umum)

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Detail Information

Series Title

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Statement of Responsibility

Benoit B. Mandelbrot

Call Number

332.6 MAN m

Publisher

London : Profile Books Ltd., 2004

Collation

xxiv, 328 p. : ill ; 19cm.

Language

English

ISBN/ISSN

1-86197-790-5

Classification

332.6

Content Type

-

Edition

-

Subject(s)

Buku Umum
Markets

Specific Detail Info

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