The (Mis)Behaviour Of Markets
A Fractal View of Risk, Ruin and Reward
Автор(и) : Benoit B. Mandelbrot , Richard L. Hudson
Издател : Profile Books Ltd.
Място на издаване : London, UK
Година на издаване : 2005
ISBN : 978-1-846-68262-9
Брой страници : 326
Език : английски
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From the inventor of fractal geometry, a revolutionary new theory that overturns our understanding of how markets work.
Benoit B. Mandelbrot, one of the century's most influential mathematicians, is world-famous for making mathematical sense of a fact everybody knows but that geometers from Euclid on down had never assimilated: Clouds are not round, mountains are not cones, coastlines are not smooth. To these classic lines we can now add another example: Markets are not the safe bet your broker may claim. In his first book for a general audience, Mandelbrot, with co-author Richard L. Hudson, shows how the dominant way of thinking about the behavior of markets--a set of mathematical assumptions a century old and still learned by every MBA and financier in the world--simply does not work.
As he did for the physical world in his classic The Fractal Geometry of Nature, Mandelbrot here uses fractal geometry to propose a new, more accurate way of describing market behavior. The complex gyrations of IBM's stock price and the dollar-euro exchange rate can now be reduced to straightforward formulae that yield a far better model of how risky they are. With his fractal tools, Mandelbrot has gotten to the bottom of how financial markets really work, and in doing so, he describes the volatile, dangerous (and strangely beautiful) properties that financial experts have never before accounted for. The result is no less than the foundation for a new science of finance.
Benoit B. Mandelbrot
Benoit B. Mandelbrot (20 November 1924 – 14 October 2010) was a French American mathematician. Born in Poland, he moved to France with his family when he was a child. Mandelbrot spent much of his life living and working in the United States, acquiring dual French and American citizenship.
Mandelbrot worked on a wide range of mathematical problems, including mathematical physics and quantitative finance, but is best known as the father of fractal geometry. He coined the term fractal and described the Mandelbrot set. Mandelbrot extensively popularized his work, writing books and giving lectures aimed at the general public.
Mandelbrot spent most of his career at IBM's Thomas J. Watson Research Center, and was appointed as an IBM Fellow. He later became Sterling Professor of Mathematical Sciences at Yale University. Mandelbrot also held positions at the Pacific Northwest National Laboratory, Université Lille Nord de France, Institute for Advanced Study and Centre National de la Recherche Scientifique.
In 1975, Mandelbrot coined the term fractal to describe these structures, and published his ideas in Les objets fractals, forme, hasard et dimension (1975; an English translation Fractals: Form, Chance and Dimension was published in 1977). Mandelbrot developed here ideas from the article Deux types fondamentaux de distribution statistique (1938; an English translation Two Basic Types of Statistical Distribution) of Czech geographer, demographer and statistician Jaromír Korčák.
The small asteroid 27500 Mandelbrot was named in his honor. In November 1990, he was made a Knight in the French Legion of Honour. In December 2005, Mandelbrot was appointed to the position of Battelle Fellow at the Pacific Northwest National Laboratory. Mandelbrot was promoted to Officer of the Legion of Honour in January 2006. An honorary degree from Johns Hopkins University was bestowed on Mandelbrot in the May 2010 commencement exercises.
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 25. He is a 1978 graduate of Harvard University and a 1991 Knight Fellow of MIT.