Title: Fractal Financial Markets Post by: Jules Ruis on October 20, 2006, 09:36:13 AM For a first article, as an introduction to Fractal Financiel Markets, see:
http://www.economymodels.com/factalmarkets.asp Are financial markets fractals? Financial markets are often modeled with a series of small normally distributed (Gaussian) changes. Such a model has great theoretical appeal, and is the core of other models, e.g. for measuring risk and pricing options. There is only one problem capital markets clearly are not Gaussian random walks. There are a large number of arguments both against the Gaussian assumption and against the random walk assumption. Some of those argument can be explained away, but others cant. One of the most compelling arguments against a Gaussian random walk is that markets appear to have fractal structure. Title: Re: Fractal Financial Markets Post by: muis on October 31, 2006, 03:56:45 PM Ya I cannot agree more with you Jules. In fact, Benoit B. Mandlebrot, in his book: "The (Mis)behaviour of markets" claims that modern finance is build on sinking sand, given the fact that it is build upon the Gaussian distribution idea. ;)
Title: Re: Fractal Financial Markets Post by: alan2here on November 06, 2006, 12:01:57 AM could you explane in simpler turms why you think the stock market is on "sinking sand"? |