Fractals and scaling in finance : discontinuity, concentration, risk : selecta volume E
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書誌事項
Fractals and scaling in finance : discontinuity, concentration, risk : selecta volume E
Springer, c2010
- : pbk
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注記
Includes bibliographical references (p. [526]-541) and index
内容説明・目次
内容説明
Mandelbrot is world famous for his creation of the new mathematics of fractal geometry. Yet few people know that his original field of applied research was in econometrics and financial models, applying ideas of scaling and self-similarity to arrays of data generated by financial analyses. This book brings together his original papers as well as many original chapters specifically written for this book.
目次
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.
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