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The (Mis) Behaviour of Markets

Benoit B. Mandelbrot (Author) Richard L. Hudson (Author)
Synopsis With the invention of fractal geometry, mathematical superstar Benoit Mandelbrot forever changed our understanding of the mysteries of nature and influenced a host of modern fields, from chaos theory to computer animation. Now, together with science journalist and former Wall Street Journal editor Richard L. Hudson, Mandelbrot turns a fractal eye to the behaviour of financial markets and proves that they are far riskier than has commonly been believed. The ability to simplify the complex has made Mandelbrot one of the most influential mathematicians in the world. With his fractal models, the (mis)behavioiur of the world’s markets and the way prices and exchange rates move can be understood in more accurate terms for the first time. For the past forty years, Mandelbrot has been studying the underlying mathematics of finance – and this book relates his personal voyage. From his father’s wartime garment business, his research on the American cotton market, and his studies of the Nile River’s floods, Mandelbrot draws many unusual insights. This maverick scientist has proved that many of the fundamental assumptions of financial theory are wrong, and in the past decade a growing number of financiers and economists have started listening. The models he has built faithfully replicate real-world price series, illustrate the manner in which market turbulence clusters and show that no investment horizon is inherently better than another – volatility ‘scales’ the same over hours or decades. Financial markets do not fluctuate along a ‘random walk’; they operate with their own sense of ‘market time’ that does not correspond to hours and minutes as the clock counts them. The (Mis)behaviour of Markets is a revolutionary re-evaluation of the standard tools and models of modern financial theory. For the millions who have been led to underestimate the real risks of financial markets it will ensure that they never see things in quite the same way again.
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About the authors

Benoit B. Mandelbrot

Benoit Mandelbrot is Sterling Professor of Mathematical Sciences at Yale University and a Fellow Emeritus at IBM’s Thomas J. Watason Laboratory. He is the inventor of fractal geometry, whose most famous example, the Mandelbrot Set, has been replicated on millions of posters, T-shirts and albums. He was a leading figures in James Gleick’s Chaos and has received the Wolf Prize in Physics, the Japan Prize in science and technology, and awards from the US National Academy of Sciences, the I.E.E.F. and numerous universities in the US and abroad. His books include Fractals: Form, Chance and Dimension, later expanded into the classic The Fractal Geometry of Nature. This is his first book for lay readers on finance, a subject he has studied since the 1960s. He lives in Scarsdale, New York.

Richard L. Hudson

Richard L. Hudson was the managing editor of the Wall Street Journal’s European edition for six years, and a Journal reporter and editor for twenty-five. He is a graduate of Harvard University and MIT. He lives in Brussels.

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Bibliographic information

Title The (Mis) Behaviour of Markets
Format Softcover
Date published: 01.01.2005
Edition 1st ed.
Publisher Profile Books Ltd.
Language: English
isbn 1861977654
length xxiv+328p., Figures; Notes; Bibliography; Index; 23cm.