4.0 out of 5 stars
Compeling and Logical!, Mar 11 2012
This review is from: The Misbehavior Of Markets: A Fractal View Of Financial Turbulence (Paperback)
Extremely well written book that takes you through the world of financial turbulence using common sense and an alternative mathematical modeling approach using fractals. Although the book raises more questions than it answers, it provides interesting perspective on the limitations of Black-Scholes, Mean-Variance Optimization, the Efficient Market Hypothesis and the Random Walk Theory. Mandelbrot shoots down the idea of normality in the distributions of financial asset prices and focuses on two particularly pesky characteristics of financial markets: leptokurtosis (fat tails) and serial correlation (memory). This book is best suited for readers with a graduate level understanding of finance.
Help other customers find the most helpful reviews
Was this review helpful to you? Yes
No
1 of 10 people found the following review helpful
2.0 out of 5 stars
mislaid science, April 3 2010
This review is from: The Misbehavior Of Markets: A Fractal View Of Financial Turbulence (Paperback)
This book was easy to read and written by a brilliant man, for that reason alone give it a try.
The trouble with the book is it's attempt to apply a science which explains natural growth and principles of nature to the financial industry. The fit is off!
The movement of the market seems to prove just how special and seperate we are from animals and nature. We're not so easy to understand and predict as the growth pattern of a fern and this fractal science of Mandlebrot's fails in it's attempt to do so.
I'm glad it does fail! It helps me to celebrate myself as something unique and set apart from the world around me, something with a touch of God upon my life.
There are a few useful things which the book does say though, one of which if the fact that volatility begets volatility or simply to expect one days price movement to be equivalent in size, though not in direction, to the previous days price movement.
The other very useful part is his condemnation of the "central limit theorem" or the bell curve in your trading, he does a great job of uncovering the error of following such a philosophy.
If you take the time to read the book you'll enjoy it even though the application of fractals to finance is a stretch.
Help other customers find the most helpful reviews
Was this review helpful to you? Yes
No
