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The (Mis)Behaviour of Markets: A Fractal…
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The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward (original 2004; udgave 2008)

af Benoit B. Mandelbrot (Forfatter), Richard L. Hudson (Forfatter)

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Mathematical superstar and inventor of fractal geometry, Benoit Mandelbrot, has spent the past forty years studying the underlying mathematics of space and natural patterns. What many of his followers don't realize is that he has also been watching patterns of market change. In The (Mis)Behavior of Markets, Mandelbrot joins with science journalist and former Wall Street Journal editor Richard L. Hudson to reveal what a fractal view of the world of finance looks like. The result is a revolutionary reevaluation of the standard tools and models of modern financial theory. Markets, we learn, are far riskier than we have wanted to believe. From the gyrations of IBM's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate--Mandelbrot shows that the world of finance can be understood in more accurate, and volatile, terms than the tired theories of yesteryear.The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With The (Mis)Behavior of Markets, he puts the tools of higher mathematics into the hands of every person involved with markets, from financial analysts to economists to 401(k) holders. Markets will never be seen as "safe bets" again.… (mere)
Medlem:samminelli
Titel:The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward
Forfattere:Benoit B. Mandelbrot (Forfatter)
Andre forfattere:Richard L. Hudson (Forfatter)
Info:Profile Books (2008), Edition: Main, 352 pages
Samlinger:Dit bibliotek
Vurdering:
Nøgleord:Ingen

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The Misbehavior of Markets: A Fractal View of Financial Turbulence af Benoit Mandelbrot (2004)

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Hudson, R. L. (Author)
  LOM-Lausanne | May 20, 2020 |
A bit disappointing, but probably one of those books that is a victim of its own success. Perhaps when it was originally written, the views were considered more heretical than they are now. I would recommend that a close reader of taleb's anti-fragile and/or the black swan skip this book since taleb's works rehash the main thesis of Misbehavior (down to the self-aggrandizement, almost every time Fama is mentioned, Mandelbrot claims him as his doctoral student, and Mandelbrot spends a fair amount of time praising his own work/ describing his maverickiness [though to be fair, I suppose that's fair for a mathematician of his status]). In Misbehavior, Mandelbrot lays out the case against the foundational assumptions of modern portfolio theory, mainly its reliance on the gaussian distributions. Mandelbrot makes the simple observation that many of the observed drops in the markets should not have occurred under standard assumptions (technically the standard bell curve allows the possibility, but the chances are so remote that such events should not be observable in several billion lifetimes, let alone recurring several times in a few hundred years). Mandelbrot attacks the assumptions of normal distribution, independence of events, and constant volatility. Mandelbrot shows that the data just does not bear out the milder swings the normal distribution anticipates (that actual price data exhibit fatter tails than the normal distribution). Mandelbrot argues that analysis shows a long term dependence, that prices exhibit a certain type of memory that is endogenous but also moves are clustered. He develops a measure H, to show the persistence of momentum or anti-momentum as opposed to the standard random walk (which incidentally has an H of 0.5). Mandelbrot criticizes methods such as GARCH as building on a flawed foundation in fixing changing volatility. Instead Mandelbrot advocates the use of power laws, so-called Cauchy-levy functions and fractals in creating models. He claims that fractals, especially ones that accounting for trading time that stretch or compress can model price movements in a more accurate way. The work seems pretty technical, and Mandelbrot admits freely that research in using multi-fractal models is only developing. More interestingly (at least in my opinion) is the crash course lesson in fractals (the three steps to form a complex pattern, initiator, generator and rule of recursion) and measures of roughness. Mandelbrot believes fractals can be used to explain many naturally occurring phenomenon as well as complex systems as the economy.

On the whole, the book is written for a non-technical audience. Mandelbrot helpfully summarizes basic modern portfolio theory (from Bachelier's thesis on bonds, to Markowitz, CAPM (Sharpe), finally to Black Scholes). That portion was relatively well done, I thought it was a fair and accurate representation of what I had learned in basic finance in college. Mandelbrot also convincingly shows that the normal curve is not a good assumption, and that reliance on it can lead to blow ups. However, Mandelbrot is not as convincing when it comes to proposing fractals as a solution. Perhaps it's the limits of my technical knowledge, but it just did not seem convincing. On many parts of Mandelbrot's analysis, I just had to take him at his word that a certain analysis produced the conclusion he claims, despite his admissions at the end that scholars disagree over metrics like H. An interesting read, but it lacked the scholarly rigor to convince me that his solution could be the new foundation for risk analysis. The ideas seem to move and jump, seeming more like an interesting collection of Mandelbrot's works and thoughts rather than a coherent rigorous argument. On the other hand, I might not be able to understand a comprehensive scholarly defense without a deeper mathematical background. I suppose we'll never know. ( )
1 stem vhl219 | Jun 1, 2019 |
E' autografato dall'autore, e questo lo rende un po' speciale - anche perché di solito non tengo molto a questo genere di cose.
Sicuramente è fuori dagli schemi e imparo qualcosa di nuovo praticamente ogni paragrafo. Il che è un gran bene. ( )
  Eva_Filoramo | May 3, 2018 |
It's kind of a popular economics/popular science book about fractals and markets. ( )
  joshuabliesath | Oct 26, 2015 |

Mandelbrot is the "father of fractal geometry." He's a mathematician who has spent much of his career looking at prices and markets. He argues pretty forcefully that any of the risk management techniques used by Wall Street are based on false assumptions and have been proven to fail time and again.

Mandelbrot is Nassim Taleb's mentor. I've gotten to the point where I wonder if, as a Christian, I can still teach economic orthodoxy (much less finance classes like risk management) with a clear conscience. The models and systems that modern finance uses to calculate risk are unrealistic and fail. Econometric modeling is guilty of the same sins.

It shakes the foundations of my learning to the core. Here's another blogger's review of the book, the comments are very insightful.

4.5 stars out of 5. ( )
  justindtapp | Jun 3, 2015 |
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Mathematical superstar and inventor of fractal geometry, Benoit Mandelbrot, has spent the past forty years studying the underlying mathematics of space and natural patterns. What many of his followers don't realize is that he has also been watching patterns of market change. In The (Mis)Behavior of Markets, Mandelbrot joins with science journalist and former Wall Street Journal editor Richard L. Hudson to reveal what a fractal view of the world of finance looks like. The result is a revolutionary reevaluation of the standard tools and models of modern financial theory. Markets, we learn, are far riskier than we have wanted to believe. From the gyrations of IBM's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate--Mandelbrot shows that the world of finance can be understood in more accurate, and volatile, terms than the tired theories of yesteryear.The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With The (Mis)Behavior of Markets, he puts the tools of higher mathematics into the hands of every person involved with markets, from financial analysts to economists to 401(k) holders. Markets will never be seen as "safe bets" again.

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