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Une approche fractale des marchés : Risquer, perdre et gagner (original 2004; edition 2009)
The Misbehavior of Markets by Benoit Mandelbrot (2004)
Amazon.com Product Description (ISBN 0465043550, Hardcover)
Benoit B. Mandelbrot, one of the century's most influential mathematicians, is world-famous for making mathematical sense of a fact everybody knows but that geometers from Euclid on down had never assimilated: Clouds are not round, mountains are not cones, coastlines are not smooth. To these classic lines we can now add another example: Markets are not the safe bet your broker may claim. In his first book for a general audience, Mandelbrot, with co-author Richard L. Hudson, shows how the dominant way of thinking about the behavior of markets-a set of mathematical assumptions a century old and still learned by every MBA and financier in the world-simply does not work. As he did for the physical world in his classic The Fractal Geometry of Nature, Mandelbrot here uses fractal geometry to propose a new, more accurate way of describing market behavior. The complex gyrations of IBM's stock price and the dollar-euro exchange rate can now be reduced to straightforward formulae that yield a far better model of how risky they are. With his fractal tools, Mandelbrot has gotten to the bottom of how financial markets really work, and in doing so, he describes the volatile, dangerous (and strangely beautiful) properties that financial experts have never before accounted for. The result is no less than the foundation for a new science of finance.
(retrieved from Amazon Thu, 14 Apr 2011 15:11:18 -0400)
"Together with Richard L. Hudson, Benoit Mandelbrot turns a fractal eye to the behavior of financial markets and overturns the "random walk" theory that is the underpinning of all contemporary financial analysis. Markets, we learn, are far riskier than we have wanted to believe." "The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With his fractal models, the (mis)behavior of the world's markets - from the gyrations of IMB's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate - can be understood in more accurate terms than the tired theories of yesteryear." "The (Mis)Behavior of Markets is a reevaluation of the standard tools and models of modern financial theory. Mandelbrot's fresh insights explode the false assumptions that have caused millions of investors, traders, and managers to underestimate the real risk, of the market."--Book jacket.
(summary from another edition)
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