Fractals And Scaling In Finance

Author : Benoit B. Mandelbrot
Publisher : Springer Science & Business Media
Page : 558 pages
File Size : 44,9 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9781475727630

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Fractals and Scaling in Finance by Benoit B. Mandelbrot Pdf

Mandelbrot is world famous for his creation of the new mathematics of fractal geometry. Yet few people know that his original field of applied research was in econometrics and financial models, applying ideas of scaling and self-similarity to arrays of data generated by financial analyses. This book brings together his original papers as well as many original chapters specifically written for this book.

Author : Anonim
Publisher : Unknown
Page : 551 pages
File Size : 46,9 Mb
Release : 1997
Category : Electronic
ISBN : OCLC:637749310

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Fractals and Scaling in Finance by Anonim Pdf

Author : Benoit B. Mandelbrot,Richard L. Hudson
Publisher : Profile Books
Page : 352 pages
File Size : 55,8 Mb
Release : 2010-10-01
Category : Business & Economics
ISBN : 9781847651556

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The (Mis)Behaviour of Markets by Benoit B. Mandelbrot,Richard L. Hudson Pdf

This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.

Author : Benoit Mandelbrot,Richard L. Hudson
Publisher : Basic Books
Page : 368 pages
File Size : 46,5 Mb
Release : 2006-03-07
Category : Mathematics
ISBN : 0465043577

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The Misbehavior of Markets by Benoit Mandelbrot,Richard L. Hudson Pdf

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.

Author : Benoit B. Mandelbrot
Publisher : Unknown
Page : 128 pages
File Size : 46,8 Mb
Release : 2006
Category : Capital market
ISBN : OCLC:253935679

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The (mis)behavior of Markets by Benoit B. Mandelbrot Pdf

Author : Benoit Mandelbrot
Publisher : Springer Science & Business Media
Page : 321 pages
File Size : 44,8 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9781475740172

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Fractals and Chaos by Benoit Mandelbrot Pdf

Just 23 years ago Benoit Mandelbrot published his famous picture of the Mandelbrot set, but that picture has changed our view of the mathematical and physical universe. In this text, Mandelbrot offers 25 papers from the past 25 years, many related to the famous inkblot figure. Of historical interest are some early images of this fractal object produced with a crude dot-matrix printer. The text includes some items not previously published.

Author : Benoit Mandelbrot
Publisher : Unknown
Page : 368 pages
File Size : 45,5 Mb
Release : 2006
Category : Electronic
ISBN : OCLC:1137340740

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The Misbehavior of Markets by Benoit Mandelbrot Pdf

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.

Author : Benoit Mandelbrot
Publisher : Vintage
Page : 362 pages
File Size : 47,7 Mb
Release : 2014-01-14
Category : Biography & Autobiography
ISBN : 9780307389916

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The Fractalist by Benoit Mandelbrot Pdf

Here is the remarkable life story of Benoit Mandelbrot, the creator of fractal geometry, and his unparalleled contributions to science mathematics, the financial world, and the arts. Mandelbrot recounts his early years in Warsaw and in Paris, where he was mentored by an eminent mathematician uncle, through his days evading the Nazis in occupied France, to his education at Caltech, Princeton, and MIT, and his illustrious career at the IBM Thomas J. Watson Research Center. An outside to mainstream scientific research, he managed to do what others had thought impossible: develop a new geometry that combines revelatory beauty with a radical way of unfolding formerly hidden scientific laws. In the process he was able to use geometry to solve fresh, real-world problems. With exuberance and an eloquent fluency, Benoit Mandelbrot recounts the high points of his fascinating life, offering us a glimpse into the evolution of his extraordinary mind. With full-color inserts and black-and-white photographs throughout.

Author : Patrice Abry,Paolo Goncalves,Jacques Levy Vehel
Publisher : John Wiley & Sons
Page : 382 pages
File Size : 55,7 Mb
Release : 2013-03-01
Category : Mathematics
ISBN : 9781118622902

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Scaling, Fractals and Wavelets by Patrice Abry,Paolo Goncalves,Jacques Levy Vehel Pdf

Scaling is a mathematical transformation that enlarges or diminishes objects. The technique is used in a variety of areas, including finance and image processing. This book is organized around the notions of scaling phenomena and scale invariance. The various stochastic models commonly used to describe scaling — self-similarity, long-range dependence and multi-fractals — are introduced. These models are compared and related to one another. Next, fractional integration, a mathematical tool closely related to the notion of scale invariance, is discussed, and stochastic processes with prescribed scaling properties (self-similar processes, locally self-similar processes, fractionally filtered processes, iterated function systems) are defined. A number of applications where the scaling paradigm proved fruitful are detailed: image processing, financial and stock market fluctuations, geophysics, scale relativity, and fractal time-space.

Author : Benoit Mandelbrot
Publisher : Springer Science & Business Media
Page : 672 pages
File Size : 49,9 Mb
Release : 2002
Category : Mathematics
ISBN : 0387989935

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Gaussian Self-Affinity and Fractals by Benoit Mandelbrot Pdf

This third volume of the Selected Works focusses on a detailed study of fraction Brownian motions. The fractal themes of "self-affinity" and "globality" are presented, while extensive introductory material, written especially for this book, precedes the papers and presents a number of striking new observations and conjectures. The mathematical tools so discussed will be valuable to diverse scientific communities.

Author : Nekrasova, Inna,Karnaukhova, Oxana,Christiansen, Bryan
Publisher : IGI Global
Page : 306 pages
File Size : 55,9 Mb
Release : 2018-02-09
Category : Business & Economics
ISBN : 9781522537687

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Fractal Approaches for Modeling Financial Assets and Predicting Crises by Nekrasova, Inna,Karnaukhova, Oxana,Christiansen, Bryan Pdf

In an ever-changing economy, market specialists strive to find new ways to evaluate the risks and potential reward of economic ventures. They start by assessing the importance of human reaction during the economic planning process and put together systems to measure financial markets and their longevity. Fractal Approaches for Modeling Financial Assets and Predicting Crises is a critical scholarly resource that examines the fractal structure and long-term memory of the financial markets in order to predict prices of financial assets and financial crises. Featuring coverage on a broad range of topics, such as computational process models, chaos theory, and game theory, this book is geared towards academicians, researchers, and students seeking current research on pricing and predicting financial crises.

Author : Kenneth Falconer
Publisher : OUP Oxford
Page : 144 pages
File Size : 40,7 Mb
Release : 2013-09-26
Category : Mathematics
ISBN : 9780191663444

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Fractals: A Very Short Introduction by Kenneth Falconer Pdf

Many are familiar with the beauty and ubiquity of fractal forms within nature. Unlike the study of smooth forms such as spheres, fractal geometry describes more familiar shapes and patterns, such as the complex contours of coastlines, the outlines of clouds, and the branching of trees. In this Very Short Introduction, Kenneth Falconer looks at the roots of the 'fractal revolution' that occurred in mathematics in the 20th century, presents the 'new geometry' of fractals, explains the basic concepts, and explores the wide range of applications in science, and in aspects of economics. This is essential introductory reading for students of mathematics and science, and those interested in popular science and mathematics. ABOUT THE SERIES: The Very Short Introductions series from Oxford University Press contains hundreds of titles in almost every subject area. These pocket-sized books are the perfect way to get ahead in a new subject quickly. Our expert authors combine facts, analysis, perspective, new ideas, and enthusiasm to make interesting and challenging topics highly readable.

Author : Benoit Mandelbrot
Publisher : Echo Point Books & Media, LLC
Page : 0 pages
File Size : 51,6 Mb
Release : 2021-07-16
Category : Electronic
ISBN : 1648370411

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The Fractal Geometry of Nature by Benoit Mandelbrot Pdf

Written in a style that is accessible to a wide audience, The Fractal Geometry of Nature inspired popular interest in this emerging field. Mandelbrot's unique style, and rich illustrations will inspire readers of all backgrounds.

Author : Laurent E. Calvet,Adlai J. Fisher
Publisher : Academic Press
Page : 272 pages
File Size : 53,9 Mb
Release : 2008-10-13
Category : Business & Economics
ISBN : 0080559964

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Multifractal Volatility by Laurent E. Calvet,Adlai J. Fisher Pdf

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Author : Jacques Lévy-Véhel,Evelyne Lutton
Publisher : Springer Science & Business Media
Page : 290 pages
File Size : 49,9 Mb
Release : 2005-12-06
Category : Technology & Engineering
ISBN : 9781846280481

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Fractals in Engineering by Jacques Lévy-Véhel,Evelyne Lutton Pdf

The application of fractals in the engineering sciences is evolving swiftly and the editors have turned to Springer for the third time to bring you the latest research emerging from the rapid growth in techniques available for the employment of the ideas of fractals and complexity to a variety of disciplines in and associated with the engineering field. The strong potential of this research can be seen in real industrial situations with recent progress being made in areas such as chemical engineering, internet traffic, physics and finance. Image processing continues to be a major field of application for fractal analysis and is well-represented here. It is important to note that the applications models are presented with a firm basis in theoretical argument, the qualitative observation of fractal phenomena no longer being sufficient. Consisting of papers written by a world-wide pool of experts, the multidisciplinary approach of this third volume will be of particular interest to industrial researchers and practitioners as well as to academics from many backgrounds. Fractals in Engineering: New Trends in Theory and Applications continues the publication of engineering-related research in fractal techniques begun in Fractals in Engineering and Fractals: Theory and Applications in Engineering (Springer London 1997 and 1999).