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Title: Fractals and Scaling In Finance by Benoit B. Mandelbrot ISBN: 0-387-98363-5 Publisher: Springer Verlag Pub. Date: 18 September, 1997 Format: Hardcover Volumes: 1 List Price(USD): $49.95 |
Average Customer Rating: 5 (2 reviews)
Rating: 5
Summary: scientific way of evaluating price movement
Comment: in this book, Mandelbrot is trying to prove that first, the price movement's distribution is scaling invariant, meaning a security's log price-change's distribution is same as with its 5-min's or with its daily's(or even monthly); second, price movement is not purely random/normaldistribution/brownian/random walk on street(they are all same description), meaning if u use normal distribution as one of ur bases for ur model, u will not only be theoretically wrong, but also be punished in real-life trading, such as the case of long-term capital. third, price movement does have cycle, but it length can not be determined in trading time, meaning u will not be able to decide when those cycles are going to start or end; fourth, changes of price movements do concentrate, meaning big moves will happen continouesly, or very closely to each other. the major implication to me is that many current financial theories are wrong, specially, those using normal distribution(such as option model) as basic assumption for security price movement. it also may prove that some of current price-based models(such as some trend following system) have some merit. but manay systems based on channel(such as bollinger bands)will not work in long-run. with those in mind and many available mathematical tools, one should be able to build a good financial model.
Rating: 5
Summary: A book to make you think differently about the markets
Comment: To read this book you need truly to understand math and the markets. There is no questions that Mandelbrot is one of the greatest figures of our time. What he claimed based on his studies on cotton trading in the early 60s might not be close to the reality of today, but the way he approached it makes you think twice about the markets. Cotton trading is so different from stock market trading because it is either spoting trading or futures trading, and it is based on margins. The market usually has poor liquidity and with few players in it. The conclusions the book made could poorly extend to the general markets. The hard-to-follow math notations kept distracting me from following the main subjects. Anyway, this book will teach you something new, but you have to understand math and the markets, deeply.
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Title: Fractal Market Analysis: Applying Chaos Theory to Investment and Economics by Edgar E. Peters ISBN: 0471585246 Publisher: John Wiley & Sons Pub. Date: 12 January, 1994 List Price(USD): $75.00 |
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Title: Chaos and Order in the Capital Markets : A New View of Cycles, Prices, and Market Volatility by Edgar E. Peters ISBN: 0471139386 Publisher: John Wiley & Sons Pub. Date: August, 1996 List Price(USD): $65.00 |
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Title: Why Stock Markets Crash : Critical Events in Complex Financial Systems by Didier Sornette ISBN: 0691096309 Publisher: Princeton Univ Pr Pub. Date: 18 November, 2002 List Price(USD): $45.00 |
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Title: An Introduction to Econophysics: Correlations and Complexity in Finance by Rosario N. Mantegna, H. Eugene Stanley ISBN: 0521620082 Publisher: Cambridge University Press Pub. Date: 01 November, 1999 List Price(USD): $50.00 |
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Title: Chaos Theory Tamed by Garnett P. Williams ISBN: 0309063515 Publisher: Joseph Henry Press Pub. Date: September, 1997 List Price(USD): $39.95 |
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