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Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Selecta Volume E Paperback – December 1, 2010

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Editorial Reviews

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"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."

About the Author

Benoit Mandelbrot is the Abraham Robinson Professor of Mathematical Sciences at Yale University and IBM Fellow Emeritus at the IBM T.J. Watson Research Center. He is the author "The Fractal Geometry of Nature".
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Product Details

  • Paperback: 551 pages
  • Publisher: Springer; Softcover reprint of hardcover 1st ed. 1997 edition (December 1, 2010)
  • Language: English
  • ISBN-10: 1441931198
  • ISBN-13: 978-1441931191
  • Product Dimensions: 6.1 x 1.3 x 9.2 inches
  • Shipping Weight: 1.7 pounds (View shipping rates and policies)
  • Average Customer Review: 2.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Best Sellers Rank: #2,183,791 in Books (See Top 100 in Books)

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By Massimo Tagliavini on May 30, 2013
Format: Paperback Verified Purchase
Mandelbrot is always very bright. A pleasure to read. However...
The subject "per se" is quite irrelevant. Of course we know that a fractal is quite crazy, we know also that the walk of a particle subject to brownian motion is quite crazy. And we know that price is quite a crazy variable. Only, trying to predict price behaviour by means of other "crazy" behaviours is nonsense.
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Format: Paperback Verified Purchase
The good side of Mandlebrot is that he is always entertaining, and this is no exception. The downside is that this entire book is based on a complete false premise. Even the most cursory glance at the literature of mathematical finance shows that the mainstream of financial mathematics is perfectly aware of the fact that distributions of returns are non-normal, but Mandlebrot pretends that this is some sort of great insight on his part and proceeds to attack the nonexistent misconception that things are otherwise.

Secondly, on the question of self-similarity and scaling: tick data at various level of scale do not look the same. At the scale of seconds or sub seconds the data look dramatically different to longer scales and it seems silly to suggest that this is truly fractal.
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