Mandelbrot is a world renowned scientist and pioneer in fractal research.
However, his original field of applied research was in econometrics and financial models.
Contains new material prepared specifically 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.
Includes applicable real-life models such as random flight on Wall Street, personal incomes and firm sizes, etc.
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Table of contents (21 chapters)
The 1963 Model of Price Change
Beyond the M 1963 Model
About this book
- fractal geometry
- linear optimization
- normal distribution
- quantitative finance
From the reviews
"Mandelbrot writes with economy and felicity, and he interperses the more mathematical sections with frank historical anecdotes ... All in all, this is a strange but wonderful book." (PHYSICS TODAY)
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."
Authors and Affiliations
Mathematics Department, Yale University, New Haven, USA
Benoit B. Mandelbrot
Book Title: Fractals and Scaling in Finance
Book Subtitle: Discontinuity, Concentration, Risk. Selecta Volume E
Authors: Benoit B. Mandelbrot
Publisher: Springer New York, NY
eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 1997
Hardcover ISBN: 978-0-387-98363-9Published: 18 September 1997
Softcover ISBN: 978-1-4419-3119-1Published: 01 December 2010
eBook ISBN: 978-1-4757-2763-0Published: 09 March 2013
Edition Number: 1
Number of Pages: X, 551
Topics: Quantitative Finance