The Behavior Of Markets by Benoît Mandelbrot
A Fractal View of Risk, Ruin, and Reward
Argues that financial markets are far wilder than standard theories assume, with price changes showing fat tails, volatility clustering, and long-range dependence. Using fractal geometry and scaling laws, it proposes a multifractal view that better captures extreme moves and risk than Gaussian-based models and the efficient-market ideal. Through accessible examples and historical episodes, it illustrates how conventional tools underestimate danger and misprice uncertainty. It ultimately calls for new methods of modeling, forecasting, and risk management that embrace markets’ irregular, self-similar patterns.
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- Published
- 2004
- Nationality
- American
- Length
- Medium
- Pages
- 320-360
- Original Language
- English
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- Alternate Titles
-
- The (Mis)Behaviour of Markets
- The Misbehavior of Markets
- The Misbehaviour of Markets
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