Behaviour of MarketsBenoit B. Mandelbrot, Richard L. Hudson
Behaviour of Markets
by Benoit B. Mandelbrot, Richard L. Hudson · first published 2011
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Nobody has suggested it yet, so for context I'd suggest reading The (Mis)Behaviour of Markets, by Mandelbrot. It's not about trading algorithms per se, but it does put the maths behind a lot of them into perspective. It'll also tell you why certain strategies (like selling cheap options) are much,…
on “Ask HN: Trading Algorithms” ↗Against the Gods by Peter L Bernstein, Chaos by James Gleick, and The (Mis)Behaviour of Markets by Benoit B Mandelbrot and Richard L Hudson.
on “Ask HN: What are your favorite statistics and probability textbooks?” ↗…commodities, among other things. - The Poker Face of Wall Street: a wandering tale on the similarities between betting, speculation in financial instruments, and insurance, among other things. - The (Mis)Behaviour of Markets: Benoit Mandelbrot summarises some of his research into modeling markets with multifractal geometric ideas. - Fortune's Formula: a more pop-sci friendly version of the Kelly criterion paper collection.…
on “Four Basic Truths of Macroeconomics” ↗