Author | Mandelbrot, Benoit B. author |
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Title | Fractals and Scaling in Finance [electronic resource] : Discontinuity, Concentration, Risk. Selecta Volume E / by Benoit B. Mandelbrot |
Imprint | New York, NY : Springer New York : Imprint: Springer, 1997 |
Connect to | http://dx.doi.org/10.1007/978-1-4757-2763-0 |
Descript | X, 551 p. online resource |
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, Zipfโs law, and scaling (1996) -- E8 Proportional growth with or without diffusion, and other explanations of scaling (1996). โข Appendices (M 1964o, M 1974d) -- E9 A case against the lognormal distribution (1996) -- E10 L-stable model for the distribution of income (M 1960i). โข 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). โข 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