Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Selecta Volume E / Edition 1

Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Selecta Volume E / Edition 1

by Benoit B. Mandelbrot
     
 

ISBN-10: 0387983635

ISBN-13: 9780387983639

Pub. Date: 09/18/1997

Publisher: Springer New York

Mandelbrot is world-renowned for his work in fractal geometry. This bo ok introduces the path-breaking notion that financial prices follow a fractional Brownian motion in multifractal time. That model combines f ractional Brownian motion and multifractals, both of which Mandelbrot pioneered around 1970, with the notion of self-affine scale invariance , which he

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Overview

Mandelbrot is world-renowned for his work in fractal geometry. This bo ok introduces the path-breaking notion that financial prices follow a fractional Brownian motion in multifractal time. That model combines f ractional Brownian motion and multifractals, both of which Mandelbrot pioneered around 1970, with the notion of self-affine scale invariance , which he applied to financial prices around 1960. The new model acco unts for long dependence and long tailedness, the latter being a token of concentration and even discontinuity. Both features characterize f inancial prices and are essential to the understanding and measurement of risk.

Product Details

ISBN-13:
9780387983639
Publisher:
Springer New York
Publication date:
09/18/1997
Edition description:
1997
Pages:
551
Sales rank:
945,951
Product dimensions:
6.10(w) x 9.25(h) x 0.24(d)

Table of Contents

From the contents: Intro; Major Themes; New Methods in statistical economics; Historical Background; States of randomness; self-similarity and self-affinity; rank sized plots; proportional growth and other explanations of scaling; a case against the log distribution; Personal incomes and firm sizes; Random flight on Wall Street; nonlinear forecasts.

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