(P/B) THE (MIS)BEHAVIOUR OF MARKETS
A FRACTAL VIEW OF RISK, RUIN AND REWARD - L. RICHARD HUDSON
L. RICHARD HUDSON, B. BENOIT MANDELBROT
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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. (From the publisher)
Περιεχόμενα
Abstract
Acknowledgments
Preface
Prelude: Introducing a Maverick in Science
Benoit Mandelbrot, the "father" of fractals, has made a career of going against the prevailing fashions in science
Part I. The Old Way
-Risk, Ruin, and Reward
"Modern" financial theory is founded on a few, shaky myths that lead us to underestimate the real risk of financial markets
-By the Toss of a Coin or the Flight of an Arrow?
How the operations of mere chance can be used to study a financial market
-Bachelier and His Legacy
The study of financial theory began a century ago with a brilliant but undervalued French mathematician, Louis Bachelier
-The House of Modern Finance
How the edifice of modern financial theory-valuing assets, building portfolios and assessing risk-was erected on Bachelier's work
-The Case Against the Modern
Theory of Finance
Orthodox financial theory is riddled with false assumptions and wrong results. A summary of the evidence against it
Pictorial Essay: Images of the Abnormal
Part II. The New Way
-Turbulent Markets: A Preview
Financial markets are turbulent-like the wind or the flood. An introduction to the fractal view of finance
-Studies in Roughness: A Fractal Primer
How is a stock-price chart like the leaves of a fern? A survey of fractal geometry
Pictorial Essay: A Fractal Gallery
-The Mystery of Cotton
The first clue to the fractal view of finance came in a study of cotton by Mandelbrot. An account of his scientific journey
-Long Memory, from the Nile to the Marketplace
The second cfue to fractal finance came from lifelong study of the Nile River by an English hydrologist, H.E. Hurst
-Noah, Joseph, and Market Bubbles
The two critical features of financial markets are wild price swings and long-term dependence-the Noah Effect and the Joseph Effect
-The Multifractal Nature of Trading Time
In financial markets, time speeds up and slows down-as described in the multifractal model of markets
Part III. The Way Ahead
-Ten Heresies of Finance
How do financial markets really work? A list of key insights provided by the fractal view of finance
-In the Lab
So how can the study of fractals change finance? A program for future research
Notes
Bibliography
Index
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