Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility, Volume 1
The latest developments in chaos theory - from an industry expert
Chaos and Order in the Capital Markets was the first book to introduce and popularize chaos as it applies to finance. It has since become the classic source on the topic. This new edition is completely updated to include the latest ripples in chaos theory with new chapters that tie in today's hot innovations, such as fuzzy logic, neural nets, and artificial intelligence.
Critical praise for Peters and the first edition of Chaos and Order in the Capital Markets
"The bible of market chaologists." - BusinessWeek
"Ed Peters has written a first-class summary suitable for any investment professional or skilled investor." - Technical Analysis of Stocks & Commodities
"It ranks among the most provocative financial books of the past few years. Reading this book will provide a generous payback for the time and mental energy expended." - Financial Analysts Journal
This second edition of Chaos and Order in the Capital Markets brings the topic completely up to date with timely examples from today's markets and descriptions of the latest wave of technology, including genetic algorithms, wavelets, and complexity theory.
Chaos and Order in the Capital Markets was the very first book to explore and popularize chaos theory as it applies to finance. It has since become the industry standard, and is regarded as the definitive source to which analysts, investors, and traders turn for a comprehensive overview of chaos theory. Now, this invaluable reference - touted by BusinessWeek as "the bible of market chaologists" - has been updated and revised to bring you the latest developments in the field.
Mainstream capital market theory is based on efficient market assumptions, even though the markets themselves exhibit characteristics that are symptomatic of nonlinear dynamic systems. As it explores - and validates - this nonlinear nature, Chaos and Order repudiates the "random walk" theory and econometrics. It shifts the focus away from the concept of efficient markets toward a more general view of the forces underlying the capital market system.
Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today's markets and descriptions of cutting-edge technologies-genetic algorithms, wavelets, complexity theory-and hot innovations, such as fuzzy logic and artificial intelligence.
Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in-depth exploration of:
* Random walks and efficient markets - the development of the efficient market hypothesis (EMH) and modern portfolio theory
* The linear paradigm - why it has failed
* Nonlinear dynamic systems - phase space, the Henon Map, Lyapunov exponents
* Applying chaos and nonlinear methods - neural networks, genetic algorithms
* Dynamical analysis of time series - reconstructing a phase space, the fractal dimension
Tonis Vaga's Coherent Market Hypothesis - the theory of social imitation, control parameters, Vaga's implementations
Plus, Chaos and Order now contains a Windows-compatible disk including data sets for running analyses described in the appendices.
Written by a leading expert in the field, Chaos and Order in the Capital Markets has all the information you need for a complete, up-to-date look at chaos theory. This latest edition will undoubtedly prove to be as invaluable as the first.
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PART ONE THE NEW PARADIGM
Random Walks and Efficient Markets
The Failure of the Linear Paradigm
Chance and Necessity
PART FOUR LIVING WITH COMPLEXITY
Applying Chaos and Nonlinear Methods
Other editions - View all
algorithm antipersistent assets assumptions behavior calculate capital market theory CAPM chaos theory Chapter complex concept convergence correlation dimension correlation integral cycle length dependence dynamic systems economic Efficient Market Hypothesis embedding dimension equilibrium expected return Figure files finite forecast fractal dimension fractal distributions Fractal Market fractional brownian motion fuzzy logic fuzzy set Gaussian graph Henon attractor Hurst exponent increments independent initial conditions investment large number limit cycle linear log/log plot Logistic Equation long memory Lyapunov exponent Mandelbrot market portfolio market returns measure membership function methods monthly MSCI nature noise nonlinear dynamic systems normal distribution observations PanAgora paradigm parameters percent period phase space point attractor Portfolio Theory possible predicted price changes probability R/S analysis random numbers random walk rational investor react rescaled range risk scrambled Sierpinski triangle standard deviation stock market sunspot tails tion triangle value of H variables variance volatility