Fractals and Scaling In Finance: Discontinuity, Concentration, Risk

by Benoît B. Mandelbrot

BLECK:

PHYSICS TODAY"At once a compendium of Mandelbrot's pioneering work and a sampling of new results, the presentation seems modeled on the brilliant avant-garde film 'Last Year in Marienbad', in which the usual flow of time is suspended, and the plot is gradually revealed by numerous but slightly different repetitions of a few repetitions of a few underlying events...Mandelbrot writes with economy and felicity, and he intersperses the more mathematical sections with frank historical anecdotes, such as the events that led up to his work on cotton pricing and the embarrassment caused by interpreting US Department of Agriculture data for weekly averages as 'Sunday closing prices.' There are many fascinating asides on a variety of topics, ranging from the importance of computer graphics in science to the distribution of insurance claims resulting from fire damage...The reader who is open-minded and prepared to indulge one of our more influential and original thinkers will be amply awarded. All in all, this is a strange but wonderful book. It will not suit everyone's taste but will almost surely teach every reader something new. What more can one ask?"

Genres: Finance, Mathematics, Economics

580 pages, Kindle Edition

Published September 18, 1997

About the author

Benoît B. Mandelbrot, O.L.H., Ph.D. (Mathematical Sciences, University of Paris, 1952; M.S., Aeronautics, California Institute of Technology, 1949) was a mathematician best known as the father of fractal geometry. He was Sterling Professor Emeritus of Mathematical Sciences at Yale University; IBM Fellow Emeritus at the Thomas J. Watson Research Center; and Battelle Fellow at the Pacific Northwest National Laboratory.

Mandelbrot was born in Poland, but his family moved to France when he was a child; he was a dual French and American citizen and was educated in France. He has been awarded with numerous honors, including induction into the Legion d'honneur, as well as the 1986 Franklin Medal for Physics, the 1993 Wolf Prize for Physics, the 2000 Lewis Fry Richardson Medal of the European Geophysical Society, and the 2003 Japan Prize "for the creation of universal concepts in complex systems."