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Fractals and Scaling in Finance : Discontinuity, Concentration, Risk :  Discontinuity, Concentration, Risk - Benoit B. Mandelbrot

Fractals and Scaling in Finance : Discontinuity, Concentration, Risk

Discontinuity, Concentration, Risk

Hardcover Published: January 1997
ISBN: 9780387983639
Number Of Pages: 551

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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 origin of many current topics in empirical finance or the distribution of income."

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."

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
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780387983639
ISBN-10: 0387983635
Series: Selecta
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 551
Published: January 1997
Publisher: Springer-Verlag New York Inc.
Country of Publication: US
Dimensions (cm): 24.77 x 17.15  x 3.18
Weight (kg): 0.97