Fractal Market Analysis: Applying Chaos Theory to Investment and Economics

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John Wiley & Sons, Jan 26, 1994 - Business & Economics - 315 pages
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A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena.
  

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Contents

Introduction to Fractal Time Series
3
Failure of the Gaussian Hypothesis
18
A Fractal Market Hypothesis
39
Measuring MemoryThe Hurst Process and RS Analysis
53
Testing RS Analysis
65
Periodic and Nonperiodic
86
Case Study Methodology
107
Problems with
132
Fractal Statistics
197
Applying Fractal Statistics
217
Noisy Chaos and RS Analysis
235
Fractal Statistics Noisy Chaos and the FMH
252
Understanding Markets
271
The Chaos Game
277
Fractal Distribution Tables
287
Bibliography
296

A Study in Antipersistence
143
Gold and U K Inflation
151
A True Hurst Process
159
Fractional Noise and RS Analysis
169
Glossary
306
Index
313
Copyright

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Page 303 - Bias in Fitting the Sharpe Model to Time Series Data," Journal of Financial and Quantitative Analysis, September 1969.

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About the author (1994)

EDGAR E. PETERS is Chief Investment Strategist and Director of Systematic Asset Allocation for PanAgora Asset Management, a global investment management firm. He is a frequent lecturer on market theory and has taught investment and portfolio management at Babson College, Boston College, and Bentley College. He is the author of Chaos and Order in the Capital Markets and Fractal Market Analysis, as well as numerous articles in professional journals.

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