Misbehavior of Markets

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Basic Books, 2004 - Business & Economics - 328 pages
25 Reviews
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.
  

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Review: The (Mis)Behavior of Markets

User Review  - Thomas Coppens - Goodreads

Absolutely stunning. I was expecting a difficult reading packed with formulas. Nothing like that. Mandelbrot's genius is explaining (his) very powerful ideas such as fractals in a very simple way for everyone. Read full review

Review: The (Mis)Behavior of Markets

User Review  - Justin Tapp - Goodreads

Mandelbrot is the "father of fractal geometry." He's a mathematician who has spent much of his career looking at prices and markets. He argues pretty forcefully that any of the risk management ... Read full review

Contents

Risk Ruin and Reward
3
By the the Toss of a Coin or the Flight of an Arrow?
25
Bachelier and His Legacy
43
The House of Modern Finance
59
The Case Against the Modern Theory of Finance
79
Images of the Abnormal
88
The New Way
109
Turbulent Markets A Preview
111
Long Memory from the Nile to the Marketplace
173
Noah Joseph and Market Bubbles
197
The Multifractal Nature of Trading Time
207
The Way Ahead
223
Ten Heresies of Finance
225
In the Lab
253
Notes
277
Bibliography
303

Studies in Roughness A Fractal Primer
123
A Fractal Gallery
132
The Mystery of Cotton
147

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About the author (2004)

Benoit B. Mandelbrot is Sterling Professor of Mathematical Sciences at Yale University and a Fellow Emeritus at IBM's Thomas J. Watson Laboratory. 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.

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