Fractals And Scaling In Finance
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Fractals And Scaling In Finance
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Author : Benoit B. Mandelbrot
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Fractals And Scaling In Finance written by Benoit B. Mandelbrot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
IN 1959-61, while the huge Saarinen-designed research laboratory at Yorktown Heights was being built, much of IBM's Research was housed nearby. My group occupied one of the many little houses on the Lamb Estate complex which had been a sanatorium housing wealthy alcoholics. The picture below was taken about 1960. It shows from right to left, T. e. Hu, now at the University of California, Santa Barbara. I am next, staring at a network I have just written on the blackboard. Then comes Paul Gilmore, late of the University of British Columbia, then (seated) Richard Levitan, now retired, and at the left is Benoit Mandelbrot. x FOREWORD EF Even in a Lamb Estate populated exclusively with bright research oriented people, Benoit always stood out. His thinking was always fresh, and I enjoyed talking with him about any subject, whether technical, poli tical, or historical. He introduced me to the idea that distributions having infinite second moments could be more than a mathematical curiosity and a source of counter-examples. This was a foretaste of the line of thought that eventually led to fractals and to the notion that major pieces of the physical world could be, and in fact could only be, modeled by distrib utions and sets that had fractional dimensions. Usually these distributions and sets were known to mathematicians, as they were known to me, as curiosities and counter-intuitive examples used to show graduate students the need for rigor in their proofs.
Fractals And Scaling In Finance
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Author :
language : en
Publisher:
Release Date : 1997
Fractals And Scaling In Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Fractals And Scaling In Finance
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Author : Benoit B. Mandelbrot
language : en
Publisher: Springer
Release Date : 2013-03-02
Fractals And Scaling In Finance written by Benoit B. Mandelbrot and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-02 with Mathematics categories.
Mandelbrot is world famous for his creation of the new mathematics of fractal geometry. Yet few people know that his original field of applied research was in econometrics and financial models, applying ideas of scaling and self-similarity to arrays of data generated by financial analyses. This book brings together his original papers as well as many original chapters specifically written for this book.
The Mis Behaviour Of Markets
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Author : Benoit B. Mandelbrot
language : en
Publisher: Profile Books
Release Date : 2010-10-01
The Mis Behaviour Of Markets written by Benoit B. Mandelbrot and has been published by Profile Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-01 with Business & Economics categories.
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.
Fractals Scaling And Growth Far From Equilibrium
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Author : Paul Meakin
language : en
Publisher: Cambridge University Press
Release Date : 1998
Fractals Scaling And Growth Far From Equilibrium written by Paul Meakin and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Mathematics categories.
A comprehensive, 1998 account of the practical aspects and pitfalls of the applications of fractal modelling in the physical sciences.
Fractals And Chaos
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Author : Benoit Mandelbrot
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Fractals And Chaos written by Benoit Mandelbrot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Mathematics categories.
It has only been a couple of decades since Benoit Mandelbrot published his famous picture of what is now called the Mandelbrot set. That picture, now seeming graphically primitive, has changed our view of the mathematical and physical universe. The properties and circumstances of the discovery of the Mandelbrot Set continue to generate much interest in the research community and beyond. This book contains the hard-to-obtain original papers, many unpublished illustrations dating back to 1979 and extensive documented historical context showing how Mandelbrot helped change our way of looking at the world.
The Fractalist
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Author : Benoit Mandelbrot
language : en
Publisher: Vintage
Release Date : 2012-10-30
The Fractalist written by Benoit Mandelbrot and has been published by Vintage this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-30 with Biography & Autobiography categories.
A fascinating memoir from the man who revitalized visual geometry, and whose ideas about fractals have changed how we look at both the natural world and the financial world. Benoit Mandelbrot, the creator of fractal geometry, has significantly improved our understanding of, among other things, financial variability and erratic physical phenomena. In The Fractalist, Mandelbrot recounts the high points of his life with exuberance and an eloquent fluency, deepening our understanding of the evolution of his extraordinary mind. We begin with his early years: born in Warsaw in 1924 to a Lithuanian Jewish family, Mandelbrot moved with his family to Paris in the 1930s, where he was mentored by an eminent mathematician uncle. During World War II, as he stayed barely one step ahead of the Nazis until France was liberated, he studied geometry on his own and dreamed of using it to solve fresh, real-world problems. We observe his unusually broad education in Europe, and later at Caltech, Princeton, and MIT. We learn about his thirty-five-year affiliation with IBM’s Thomas J. Watson Research Center and his association with Harvard and Yale. An outsider to mainstream scientific research, he managed to do what others had thought impossible: develop a new geometry that combines revelatory beauty with a radical way of unfolding formerly hidden laws governing utter roughness, turbulence, and chaos. Here is a remarkable story of both the man’s life and his unparalleled contributions to science, mathematics, and the arts.
Fractal Approaches For Modeling Financial Assets And Predicting Crises
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Author : Nekrasova, Inna
language : en
Publisher: IGI Global
Release Date : 2018-02-09
Fractal Approaches For Modeling Financial Assets And Predicting Crises written by Nekrasova, Inna and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-09 with Business & Economics categories.
In an ever-changing economy, market specialists strive to find new ways to evaluate the risks and potential reward of economic ventures. They start by assessing the importance of human reaction during the economic planning process and put together systems to measure financial markets and their longevity. Fractal Approaches for Modeling Financial Assets and Predicting Crises is a critical scholarly resource that examines the fractal structure and long-term memory of the financial markets in order to predict prices of financial assets and financial crises. Featuring coverage on a broad range of topics, such as computational process models, chaos theory, and game theory, this book is geared towards academicians, researchers, and students seeking current research on pricing and predicting financial crises.
Scaling Fractals And Wavelets
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Author : Patrice Abry
language : en
Publisher: John Wiley & Sons
Release Date : 2013-03-01
Scaling Fractals And Wavelets written by Patrice Abry and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-01 with Mathematics categories.
Scaling is a mathematical transformation that enlarges or diminishes objects. The technique is used in a variety of areas, including finance and image processing. This book is organized around the notions of scaling phenomena and scale invariance. The various stochastic models commonly used to describe scaling — self-similarity, long-range dependence and multi-fractals — are introduced. These models are compared and related to one another. Next, fractional integration, a mathematical tool closely related to the notion of scale invariance, is discussed, and stochastic processes with prescribed scaling properties (self-similar processes, locally self-similar processes, fractionally filtered processes, iterated function systems) are defined. A number of applications where the scaling paradigm proved fruitful are detailed: image processing, financial and stock market fluctuations, geophysics, scale relativity, and fractal time-space.
Multifractal Volatility
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Author : Laurent E. Calvet
language : en
Publisher: Academic Press
Release Date : 2008-10-13
Multifractal Volatility written by Laurent E. Calvet and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-13 with Business & Economics categories.
Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. - Presents a powerful new technique for forecasting volatility - Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities - The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research