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- Product code: 0949
- ISBN: 0471585246,
ISBN13: 9780471585244,
332 pages, hardback
Published by John Wiley & Sons on 1994
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Description of Fractal Market Analysis |
Strongly applications-oriented, Fractal Market Analysis replaces conventional capital market theory with a more realistic way of accessing the randomness and determinism that characterizes today's stock, bond, and commodities markets.
By using fractals and rescaled range plus nonlinear dynamic models, Peters explains turbulent market behavior, offers fresh insights into risk and volatility, and demystifies price and market movements. Whatever your trading and investment goals, Fractal Market Analysis delivers the realistic economic and mathematical structure you need to enhance your asset valuation and portfolio selection strategies. You'll discover:
- How chaos theory explains and predicts such market 'anomalies' as stampedes, panics, and crashes
- How to apply the power and precision of rescaled range analysis to your specific areas of interest
- How to determine and model the number and length of both periodic and non periodic market and economic cycles.
In his first book, Peters hinted at the financial rewards to be gained by using the science of chaos to understand the capital markets. Now the premier author on the subject shows traders and investors how to apply chaos for capturing those very real and sizeable rewards.
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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
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