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Fractals and scaling in finance : discontinuity, concentration, risk

Author: Benoit B Mandelbrot
Publisher: New York : Springer, ©1997.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
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Genre/Form: Aufsatzsammlung
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Benoit B Mandelbrot
ISBN: 0387983635 9780387983639
OCLC Number: 233786648
Description: x, 551 pages : illustrations ; 25 cm.
Contents: List of Chapters.- El Introduction (1996).- E2 Discontinuity and scaling: scope and likely limitations (1996).- E3 New methods in statistical economics (M 1963e).- E4 Sources of inspiration and historical background (1996).- E5 States of randomness from mild to wild, and concentration in the short, medium and long run (1996).- E6 Self-similarity and panorama of self-affinity (1996).- E7 Rank-size plots, Zipf's law, and scaling (1996).- E8 Proportional growth with or without diffusion, and other explanations of scaling (1996). * Appendices (M 1964o, M 1974d).- E9 A case against the lognormal distribution (1996).- E10 L-stable model for the distribution of income (M 1960i). * Appendices (M 1963i, M 1963j).- E11 L-stability and multiplicative variation of income (M 1961e).- E12 Scaling distributions and income maximization (M 1962q).- E13 Industrial concentration and scaling (1996).- E14 The variation of certain speculative prices (M 1963b). * Appendices (Fama & Blume 1966, M 1972b, M 1982c).- E15 The variation of the price of cotton, wheat, and railroad stocks, and of some financial rates (M 1967j).- E16 Mandelbrot on price variation (Fama 1963).- E17 Comments by P. H. Cootner, E. Parzen & W. S. Morris (1960s), and responses (1996).- E18 Computation of the L-stable distributions (1996).- E19 Nonlinear forecasts, rational bubbles, and martingales (M 1966b).- E20 Limitations of efficiency and martingales (M 1971e).- E21 Self-affine variation in fractal time (M & Taylor 1967, M 1973c).- Cumulative Bibliography.
Responsibility: Benoit B. Mandelbrot ; with foreword by R.E. Gomory, and contributions by P.H. Cootner [and others].

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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." Read more...

 
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