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Mandelbrot's Multi-Fractal View of Financial Markets


JEast
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A little dated, but a nice refresher.

 

Benoit Mandelbrot, the eighty-year-old Polish-born mathematician awarded the Japan Prize in Science and Technology and the Wolf Prize in Physics, sees the markets and their movements much differently. The 'inventor' of fractal geometry---a mathematic discipline that attempts to measure and explain "the roughness" of observations---submits market prices do not follow a bell curve (normal distribution) and prices are very much dependent and have 'memories'.

 

http://www.familyofficereview.com/article-pdfs/896/mandelbrot-s-multi-fractal-view-of-financial-markets-verses-modern-financial-models

 

Cheers

JEast

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I read Mandelbrot's book, the Misbehavior of Markets, quite a while ago. My recollection is that it was very good and I have been meaning to go back and reread it. As I learn more about investing, I find it very interesting to reread material that I first read several years ago.

 

http://www.amazon.com/Mis-Behaviour-Markets-ebook/dp/B004PYDBEO/ref=sr_1_1?s=books&ie=UTF8&qid=1370006786&sr=1-1&keywords=misbehavior+of+markets

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Four books I've read that at the time were somewhat difficult to comprehend because of their dissonance with textbook finance and the consensus reading material out there, but intuitively made sense and in retrospect are invaluable:

 

Mandelbrot's Misbehavior of Markets

Soros's Alchemy of Finance

Marty Whitman's Value Investing

Klarman's Margin of Safety

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Four books I've read that at the time were somewhat difficult to comprehend because of their dissonance with textbook finance and the consensus reading material out there, but intuitively made sense and in retrospect are invaluable:

 

Mandelbrot's Misbehavior of Markets

Soros's Alchemy of Finance

Marty Whitman's Value Investing

Klarman's Margin of Safety

 

Those authors have resonated with me. I haven't read Soros first book. Is it better than his other two?  His theory of reflexivity has seemed to me merely seeing through a glass darkly what Mandelbrot saw much more clearly through his fractal math.  Can you summarize his Alchemy of Finance?

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