From the inventor/founder of fractal geometry, the award-winning book that turns modern financial theory on its head.
Mathematical superstar and inventor of fractal geometry, Benoit Mandelbrot, has spent the past forty years studying the underlying mathematics of space and natural patterns. What many of his followers don't realize is that he has also been watching patterns of market change. In The (Mis)Behavior of Markets, Mandelbrot joins with science journalist and former Wall Street Journal editor Richard L. Hudson to reveal what a fractal view of the world of finance looks like. The result is a revolutionary reevaluation of the standard tools and models of modern financial theory. Markets, we learn, are far riskier than we have wanted to believe. From the gyrations of IBM's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate--Mandelbrot shows that the world of finance can be understood in more accurate, and volatile, terms than the tired theories of yesteryear.The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With The (Mis)Behavior of Markets, he puts the tools of higher mathematics into the hands of every person involved with markets, from financial analysts to economists to 401(k) holders. Markets will never be seen as "safe bets" again.
Arvustused
Nassim Nicholas Taleb "The deepest and most realistic finance book ever published."
| Abstract |
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| Acknowledgments |
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| Prelude: Introducing a Maverick in Science |
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Benoit Mandelbrot, the "father" of fractals, has made a career of going against the prevailing fashions in science. |
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| Part I. The Old Way |
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Chapter I Risk, Ruin, and Reward |
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"Modern" financial theory is founded on a few, shaky myths that lead us to underestimate the real risk of financial markets. |
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Chapter II By the Toss of a Coin or the Flight of an Arrow? |
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How the operations of mere chance can be used to study a financial market. |
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Chapter III Bachelier and His Legacy |
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The study of financial theory began a century ago with a brilliant but undervalued French mathematician, Louis Bachelier. |
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Chapter IV The House of Modern Finance |
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How the edifice of modern financial theory—valuing assets, building portfolios and assessing risk—was erected on Bachelier's work. |
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Chapter V The Case Against the Modern Theory of Finance |
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Orthodox financial theory is riddled with false assumptions and wrong results. A summary of the evidence against it. |
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Pictorial Essay: Images of the Abnormal |
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88 | (23) |
| Part II. The New Way |
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Chapter VI Turbulent Markets: A Preview |
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Financial markets are turbulent—like the wind or the flood. An introduction to the fractal view of finance. |
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Chapter VII Studies in Roughness: A Fractal Primer |
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How is a stock-price chart like the leaves of a fern? A survey of fractal geometry. |
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Pictorial Essay: A Fractal Gallery |
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Chapter VIII The Mystery of Cotton |
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The first clue to the fractal view of finance came in a study of cotton by Mundelbrot. An account of his scientific journey. |
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Chapter IX Long Memory, from the Nile to the Marketplace |
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The second clue to fractal finance came from lifelong study of the Nile River by an English hydrologist, H.E. Hurst. |
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Chapter X Noah, Joseph, and Market Bubbles |
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The two critical features of financial markets are wild price swings and long-term dependence—the Noah Effect and the Joseph Effect. |
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Chapter XI The Multifractal Nature of Trading Time |
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In financial markets, time speeds up and slows down—as described in the multifractal model of markets. |
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| Part III. The Way Ahead |
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Chapter XII Ten Heresies of Finance |
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225 | (28) |
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How do financial markets really work? A list of key insights provided by the fractal view of finance. |
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253 | (24) |
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So how can the study of fractals change finance? A program for future research. |
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| Notes |
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277 | (26) |
| Bibliography |
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303 | (15) |
| Index |
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318 | |
Benoit B. Mandelbrot is Sterling Professor of Mathematical Sciences at Yale University and a Fellow Emeritus at IBM's Thomas J. Watson labouratory. He is the inventor of fractal geometry, whose most famous example, the Mandelbrot Set, has been replicated on millions of posters, T-shirts, and record albums. He was a leading figure in James Gleick's Chaos and has received the Wolf Prize in Physics, the Japan Prize in science and technology, and awards from the U.S. National Academy of Sciences, the IEEE, and numerous universities in the U.S. and abroad. His books include Fractals: Form, Chance and Dimension, which was later expanded into the classic The Fractal Geometry of Nature, which has sold more than 200,000 copies. This is his first book for lay readers on finance, a subject he has studied since the 1960s. He lives in Scarsdale, New York. Richard L. Hudson was the managing editor of the Wall Street Journal's European edition for six years, and a Journal reporter and editor for twenty-five years. He is a 1978 graduate of Harvard University and a 1991 Knight Fellow of MIT. He lives in Brussels, Belgium.
