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Description of Fractal Market Analysis

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.

Title Information

ISBN:

9780471585244

Pages:

336 pages

Format:

Hardback

Product Code:

0949

Publisher:

John Wiley & Sons Ltd

Published:

02/03/1994

Press and Industry Reviews

"The bible of market chaologists."
- Business Week

"At last - Ed Peters has written a first-class summary suitable for any investment professional or skilled investor."
- Technical Analysis of Stocks and Commodities Magazine

"It ranks among the most provocative financial books of the past few years. Reading this book will provide a generous payback on the time and mental energy expended."
- Financial Analysts Journal

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Contents of Fractal Market Analysis

Part One: Fractal Time Series

1. Introduction to Fractal Time Series
2. Failure to the Gaussian Hypothesis
3. A Fractal Market Hypothesis

Part Two: Fractal R/S analysis

4. Measuring Memory - The Hurst Process and R/S Analysis
5. Testing R/S Analysis
6. Finding Cycles: Periodic and Non periodic

Part Three: Applying Fractal Analysis

7. Case Study Methodology
8. Dow Jones Industrials, 1888-1990: An Ideal Data Set
9. S&P 500 Tick Data, 1989-1992: Problems with Oversampling
10. Volatility: A Study in Anti-persistence
11. Problems with Undersampling: Gol and U.K. Inflation
12. Currencies: A True Hurst Process

Part Four: Fractal Noise

13. Fractional Noise and R/S Analysis
14. Fractal Statistics
15. Applying Fractal Statistics

Part Five: Noisy Chaos

16. Noisy Chaos and R/S Analysis
17. Fractal Statistics, Noisy chaos, and the FMH
18. Understanding Markets

Appendix 1: The Chaos Game
Appendix 2: GAUSS Programs
Appendix 3: Fractal Distribution Tables

Bibliography
Glossary
Index