|
|
Usually ships within 6 to 8 working days
| Rate this book...
Rating: 0.0/5 (0 votes cast)
|
|
|
|
|
Description of Fractals and Scaling in Finance |
This is the first book in the Selecta, the collected works of Benoit Mandelbrot. This volume incorporates his original contributions to finance and is a major contribution to the understanding of how speculative prices vary in time. The chapters consist of much new material prepared for this volume, as well as reprints of his classic papers. Much of this work helps to lay a foundation for evaluating risks in trading strategies. Statistical Papers, 2000: "...this is a most useful collection of Mandelbrot's work economics, it provides an excellent starting point for anybody interested in the origin of many current topics in empirical finance or the distribution of income."
|
Reviews'Benoit Mandelbrot has been an incorrigibly original mind, an economists have been blessed by his insights. On the scroll of great non-economists who have advanced economics by quantum leaps, next to John von Neumann we read the name of Benoit Mandelbrot.'
Paul A Samuelson, MIT, Nobel Economist
| Contents of Fractals and Scaling in Finance |
Part One - Nonmathematical Presentations
1. Introduction
2. Discontinuity and scaling: scope and likely limitations
3. New methods in statistical economics
4. Sources of inspiration and historical background
Part Two - Mathematical Presentations
5. States of randomness from mild to wild, and concentration in the short, medium and long run
6. Self-similarity and panorama of self-affinity
7. Rank-size plots, Zipf's law, and scaling
8. Proportional growth with or without diffusion, and other explanations of scaling
9. A case against the lognormal distribution
Part Three - Personal Incomes and Firm Sizes
10. L-stable model for the distribution of income
11. L-stability and multiplicative variation of income
12. Scaling distributions and income maximisation
13. Industrial concentration and scaling
Part Four - The M 1963 Model of Price Variation
14. The variation of certain speculative prices
15. The variation of the price of cotton, wheat, and railroad stocks, and of some financial rates
16. Mandelbrot on price variation
17. Comments by P H Cootner, E Parzen and W S Morris
18. Computation of the L-stable distributions
Part Five - Beyond The M 1963 Model
19. Nonlinear forecasts, rational bubbles, and martingales
20. Limitations of efficiency and martingales
21. Self-affine variation in fractal time
Cumulative Bibliography
Index
|
Buyers of Fractals and Scaling in Finance also bought
Other books by Benoit Mandelbrot
Bulk buying
| If you need bulk copies of Fractals and Scaling in Finance, or are interested in opening a corporate account, please contact us. |
|
|
Shopping basket