Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Selecta Volume E
P.H. Cootner Autor Benoit B. Mandelbrot Cuvânt înainte de R.E. Gomory E.F. Fama, W. S. Morris, H. M. Tayloren Limba Engleză Paperback – dec 2010
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Specificații
ISBN-13: 9781441931191
ISBN-10: 1441931198
Pagini: 564
Ilustrații: X, 551 p.
Dimensiuni: 155 x 235 x 30 mm
Greutate: 1.72 kg
Ediția:Softcover reprint of hardcover 1st ed. 1997
Editura: Springer
Colecția Springer
Locul publicării:New York, NY, United States
ISBN-10: 1441931198
Pagini: 564
Ilustrații: X, 551 p.
Dimensiuni: 155 x 235 x 30 mm
Greutate: 1.72 kg
Ediția:Softcover reprint of hardcover 1st ed. 1997
Editura: Springer
Colecția Springer
Locul publicării:New York, NY, United States
Public țintă
Professional/practitionerCuprins
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.
Recenzii
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." (PHYSICS TODAY)
Statistical Papers, 2000: "... this is a most useful collection of Mandelbrot's work economics, it provides an excellent starting point for anybody interested in the origin of many current topics in empirical finance or the distribution of income."
"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." (PHYSICS TODAY)
Statistical Papers, 2000: "... this is a most useful collection of Mandelbrot's work economics, it provides an excellent starting point for anybody interested in the origin of many current topics in empirical finance or the distribution of income."
Caracteristici
Mandelbrot is a world renowned scientist and pioneer in fractal research. However, his original field of applied research was in econometrics and financial models. Contains new material prepared specifically for this volume, as well as reprints of his classic papers. Much of this work helps to lay a foundation for evaluating risks in trading strategies. Includes applicable real-life models such as random flight on Wall Street, personal incomes and firm sizes, etc.