Fractals and scaling in finance
by Benoît B. Mandelbrot, Richard L. Hudson · first published 1997
50% recommend50% neutral
This is the first book in the Selecta, the collected works of Benoit Mandelbrot. This volume incorporates his original contributions to finance and is a major contribution to the understanding of how speculative prices vary in time. The chapters consist of much new material prepared 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. 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 or
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Recommended Mandlebrot read: 'Fractals and Scaling In Finance' from 1997. http://www.amazon.com/Fractals-Scaling-Finance-Benoit-Mandel...
on “Why didn’t people in finance pay attention to Benoit Mandelbrot?” ↗His 'Fractals and Scaling In Finance' helped me wrap my brain around power laws. Perhaps if certain folks had read it when it was first published (1997), we would have had less financial turmoil these past few years.
on “Benoit Mandelbrot, RIP” ↗yes, back in 1990-2000. See https://www.econstor.eu/bitstream/10419/40278/1/338823255.pd... though I was thinking of another paper which I couldn't find with a quick google. See also Mandelbrot, fractals and scaling in finance, 1997 https://link.springer.com/book/10.1007/978-1-4757-2763-0
on “Chaos researchers can now predict perilous points of no return” ↗