Nick Klagge's Reviews > The Misbehavior of Markets: A Fractal View of Financial Turbulence

The Misbehavior of Markets by Benoît B. Mandelbrot
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it was ok
bookshelves: economics

Fairly disappointing. Mandelbrot is a heretic of computational finance, famous for arguing that movements in stock prices are not well-described by the Normal distribution, but are better described by strange beasts such as the Cauchy distribution, which, while it looks similar to the Normal, is sufficiently strange that both its mean and standard deviation are undefined. He talks about that in this book, and also his efforts to model financial time series using fractal techniques (which he pioneered). Overall, though, I didn't find it very convincing. Perhaps I'm being unfair by just reading the popular-consumption version of his work, but it didn't seem like his argument went much beyond the fact that he can tweak fractal processes to generate graphs that convincingly "look like" stock charts. Also, perhaps in keeping with his career as an outsider academic, he has an off-putting writing style that reminds me somewhat of NN Taleb's (though not quite as over-the-top).
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Reading Progress

Started Reading
October 14, 2013 – Finished Reading
October 19, 2013 – Shelved
October 19, 2013 – Shelved as: economics

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message 1: by James (new)

James Klagge Can't most anything look like stock charts with enough tweaking?


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