Customer Reviews

Footprints of Chaos in the Market: Analyzing Non-Linear Time Series in Financial Markets and Other Natural Systems (Financial Times (Prentice Hall))

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2 star:		(3)
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As an applied scientist the thought of deciphering the language of rigorous mathematics in any field can be a little off putting. This book is a pleasant change. With its intuitive approach at the start of each chapter, the reader is given a feel for the subject matter, something which is often lacking in texts of this level. Particularly illuminating were the chapters on dynamical systems and embeddings. They gave meaning to what most of my generation had only heard through James Gleik and those fiendish cyclone generating insects. One can see the potential of the subject stretches beyond the financial markets.

For new comers to this field, the collection of algorithms and references throughout the book provide a rich starting point. The writer has provided a sound reference for the researcher and clear signposts in the mesmerizing land of non-linear dynamics.

I'm surprised that this book got reader reviews that
are as favorable as the reviews posted before this one.

If you are interested in the mathematics of chaos and
dynamical systems, this might be a good book for you.
However, this book is densely packed with mathematics
and unless you have a very solid mathematical background,
Peitgen, Jurgens and Saupe's wonderful book "Chaos and
Fractals: New Frontiers of Science" might be a better choice.
This book covers the basic mathematics of dynamical systems
but does not delve into graduate level mathematics.

If you are thinking of buying this book because its title
mentions markets and non-linear financial time series,
save your money. The author spends five very mathematically
laden chapters discussing dynamical systems. There is nothing
solid on applying the mathematics of dynamical systems to
financial time series other than the observation that they
sure seem chaotic. At the very end the author weakly suggests
that dynamical systems theory might be applied to market
information, but he provides no examples.

People who develop successful market models usually don't
publish much on them, since there is a lot to be gained
by trading them. So one cannot catagorically state what has
and has not been done. However, I know of no case where
dynamical systems mathematics has been used to successfully
provide predictive models (e.g., models you can trade and
make money on) of financial markets. This book certainly does
not live up to the promise of its title.

There are a number of good book on time series analysis and
modeling. For example, see "Wavelet Methods for Time Series Analysis" by Donald B. Percival, Andrew T. Walden. This book
does not deal with financial time series directly, but it does
deal with "non-stationary" time series.

1) first, there is hardly *any* mention of markets in the
book. I only found two references
to the market in the entire book. the first reference was
early on where a couple of plots of the S&P were shown at
daily and weekly time frames, and the author stated that the
plots resembled each other and therefore this could be taken
as evidence of self-similarity.

the title of the book is mis-leading... it would be as if
a calculus textbook were to call itself "calculus in the markets"
simply because they have a section on compound interest...

2) there is a lot of hand-waving in the theory that is covered.
the author does cover a lot of ground, so it is understandable
that more details and explanations of certain subjects are
not provided. this book *is* a good bibliographic reference,
for example if one is interested in a particular topic, it
could be looked up in this book, and references to all the
seminal works are given.

3) there are better books out there that cover similar subject
matter, and *are* centered on the marketplace: for example,
Mandlebrot's "Fractals and Scaling in Finance", Lo and
MacKinlay's "A Non-Random Walk Down Wallstreet", William Brock
et al "Nonlinear Dynamics, Chaos, and Instability", and
several books by Edgar Peters.

For the mathematically literate reader Mr. Urbach provides the adequate setting in modern mathematical language for the discussion of a broad range of thinking obout dynamical systems, not only in economics, but in many other seemingly unrelated scientific fields as well.

If you've ever pondered such things as the nature of solutions to sets of differential equations, statistical reasoning on 20th Century science, what exactly constitutes data anymore, and what numerical analysis can do for you, this book goes a long way toward describing the contemporary playing field. It might also help you keep a firm hand on your electronic wallet.

Everything you would care to know and to spare. Exceptionally well written and comprehensive for a technical work. And the book is highly technical, both in vocabulary and exposition. The math... and there is lots of it... is a stretch for me and I have passed PhD qualifiers in Operations Research and Statistics. So this is not an easy book, nor one to take to the beach. But I assure you that you will be well rewarded for your efforts.

Hundreds of pages of insanely dense math with absolutely no practical information on how to apply chaos theory to the markets. In fact, the author seems to suggest that it may be impossible to use chaos theory as a prediction tool in the financial markets.

This is akin to a recipe book written by someone who thinks cooking is impossible, so all he can really write about is grocery shopping. NOT recommended! A much better book is "Trading on the Edge" by Deboeck.

The only cool thing about the book is that you can use it to impress your friends/enemies with the title and loads of arcane equations inside.

If you want to understand the mathematics behind this new paradigm in a bull market that makes chaos theory appear as irrelevant as margin calls have become then this is the book for you. The author does a good enough job of making chaos actually readable without having to be a PhD in some obscure part of the mathematical sciences. Frankly if your mother made $100,000 in the last year just using simple buy and hold strategy your professor advocated in your undergraduate, master and finally PhD program because of the effcient market hypothesis listen to her and don't buy this book. For the serious student of the market not tainted with academic nonsense or intellectual diarrhea of some world bank crony you will be able to implement some of your ideas painlessly. Enough background info is also provided so you can research from those academic deadbeats that have probably never bought a stock in their life. For the practitioner this book is a nice addition to the investors library but be weary when travelling internationally with this book. given the same incompetence of immigration officers worldwide you may run the same risks of entering a country as college investors who make a foray into the real world of investing. For the street smart investor rack this one up as a 12 pak of Bud or for your college professor types rate this one as worthy of publication with the reserved right of intellectual jealousy.