This is the first book in the Selecta, the collected works of Benoit Mandelbrot. This volume incorporates his original contributions to finance and is a major contribution to the understanding of how speculative prices vary in time. The chapters consist of much new material prepared for this volume, as well as reprints of his classic papers. Much of this work helps to lay a foundation for evaluating risks in trading strategies.
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."
Customer Reviews:
Avg. Customer Rating: 5.0 / 5.0
A clear warning to all those financial analysts using N(0,1):
This book deserves to receive 6 stars.Mandelbrot serves up overwhelming empirical,statistical,and historical evidence that financial decision makers are dead wrong in assuming,contrary to the available evidence, that a normal probability distribution describes the outcomes accurately in financial markets .In fact,the Cauchy distribution is substantially more relevant than the normal distribution.Mandelbrot's work simply means that the standard theoretical models taught in all colleges and universities,the... more info
scientific way of evaluating price movement:
in this book, Mandelbrot is trying to prove that first, the price movement's distribution is scaling invariant, meaning a security's log price-change's distribution is same as with its 5-min's or with its daily's(or even monthly); second, price movement is not purely random/normaldistribution/brownian/random walk on street(they are all same description), meaning if u use normal distribution as one of ur bases for ur model, u will not only be theoretically wrong, but also be punished in real-life trading,... more info
A book to make you think differently about the markets:
To read this book you need truly to understand math and the markets. There is no questions that Mandelbrot is one of the greatest figures of our time. What he claimed based on his studies on cotton trading in the early 60s might not be close to the reality of today, but the way he approached it makes you think twice about the markets. Cotton trading is so different from stock market trading because it is either spoting trading or futures trading, and it is based on margins. The market usually has poor... more info
