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The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward
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am 1. Februar 2006
The three messages of this book: 1. Market models assuming Gauss distribution of price changes are wrong; 2. Using fractals we can generate data vectors that looks like those we get from real markets; 3. These were all mine (Mandelbrot's) ideas.
Mandelbrot spends too much pages to emphasize these messages. In contrast, the presented results are moderate. Mandelbrot himself concludes that more research is neccessary. However, fractal models can't be solved analytically. Of course, it is nice to have an additional tool in the toolkit, but in fact, fractal simulation of the markets does not provide anything that is lacking in GARCH models. Mandelbrot only briefly mentions these alternatives to his model.
The overall style of writing allows reading the book fluently. The book contains a bit of history of the market theories and many anecdotes of Mandelbrot. The book might be interesting for newcommers to this subject and readers interested in a pleasant bedtime lecture, however readers with a mathematical background with respect to markets will be disappointed.
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am 1. Februar 2009
Hr. Mandelbrod steckt voller Ideen aber sie kommen in diesem Werk meiner Ansicht nach etwas ungeordnet daher. Er beginnt damit das Klassische ''Random Walk Modell'', auf der das heutige ''House of modern Finance'' basiert darzustellen, um sie dann einer Fundamentalkritik zu unterziehen. Die Annahme normalverteilter Wertpapierkurse, die um einen festen Mittelwert mit konstanter Varianz schwanken, ist, so sagt er, schlichtweg Unsinn. Außerdem hängen, entgegen dem ''Random Walk Modell'', das Ausmaß künftiger Preisschwankungen eines Wertpapiers von den Preisschwankungen in der Vergangenheit ab.

Im zweiten ''The New Way'' und dritten Teil ''The Way Ahead'' seines Buches bringt er dann etliche Ideen, die zeigen sollen, wie Fraktale und Chaos Theorie besser mit den unerforschlichen Phänomenen wirr hin und her galoppierender Börsenkurse fertig werden. Allerdings ist seine Argumentation für den Mathematiker zu dünn und für den Laien oft verwirrend. Ein Großteil der von ihm zitierten Studien gehen auf seine Tätigkeit bei IBM Anfang der 60er Jahre zurück. Er beklagt an vielen Stellen, dass in der langen Zeit danach an seiner Theorie nicht genügend gearbeitet worden wäre. Mitten im Buch kommt plötzlich, ohne so richtig in den Zusammenhang zu passen, ein Kapitel über Fraktale Bilder einschließlich den berühmten ''Mandelbrot-Männchen'' daher.

Etwas eigentümlich wirkt sein Respekt für Chartanalysen. Er schildert einen Besuch im Handelsraum der Citi-Bank, woselbst ihm erklärt worden sei, dass sie 7,5 % Rendite erwirtschaften, indem sie immer dann kaufen, wenn der Wertpapierkurs den gleitenden Durchschnittskurs von unten nach oben durchbricht. Weil es eine Art ''Momentum'' gibt, funktioniere diese Citi-Bank Strategie. Hat ein Wertpapier erst einmal Schwung, dann ist es eine ganze Weile nicht zu bremsen. Er sieht das als ein Beleg dafür, dass vergangene Preise künftige beeinflussen.

Plausibel stellt er dar, dass extreme Kursschwankungen viel wahrscheinlicher sind als sie es bei Normalverteilung sein dürften und das Risiko an der Börse folglich viel größer ist, als es die Random Walk Theorie vorhersagt. Die tatsächliche Verteilungsfunktion müßte für die Extreme viel höhere Wahrscheinlichkeiten zeigen also einen ''fat tail'' besitzen. Außerdem ist die Varianz keinesfalls konstant sondern schwankt bekanntlich selbst. Er verschweigt nicht, dass es auch innerhalb der klassischen Lehrmeinung Ansätze gibt, die diese Einwände berücksichtigen (z.B: das GARCH-Modell). Er sagt, dass diese Modelle aber viel komplizierter und nicht so elegant sind, wie der Fraktal-Ansatz. Das mag so sein, lässt sich aber anhand des Buches nicht nachvollziehen.

''It is beyond belief that we know so little about how people get rich and poor, about how they dwell in comfort and health or die in penury and disease.'' - resümiert Hr. Mandelbrod auf Seite 254. Mir ist nicht ganz klar geworden, wie Hr. Mandelbrod glaubt zur Klärung dieser großen Fragen beizutragen.
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am 18. Februar 2006
Mandelbrot, a mathematician converted into an economics professor, describes some shortcomings of the classical understanding of financal markets. His anaylsis of a century's stock market data shows that especially two prevailing assumptions
- gauss distribution of price changes
- non-correlation of events
are not at all true. Taking some similies from the Bible he calls them
- Noah effect (existence of extremely large outliers; e.g.rainfall)
- Joseph effect (7 good years followed by 7 bad ones)

The book contains some explanations about fractals and a lot of history. Most chapters are humorously worded and real fun to read.

However, while conceptually very original, at some point the detailed description of his new model gets a little diffuse. Maybe this is part of the fractal legacy: interesting but by nature chaotic.
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am 5. Oktober 2008
As a PhD student in Economics interested in financial markets I have read NN Taleb's book (The Black Swan), then Riccardo Rebonato's (Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently, 2007) and Benoit Mandelbrot's ((Mis)behaviour of Markets: A Fractal View of Risk, Ruin and Reward, 2005). All books contain the same message: the assumptions underlying modern risk management models are wrong (and yes, this has something to do with the financial crisis). All books are worth reading, but if you know one, you know the others. Which leaves you with the question of which book to read.

Here is my recommendation: For economists and people with a mathematical background, I would suggest Mandelbrot. The story is very nice, and his explanations original. He was the first to suggest that stock prices resemble fractals, and not random walks. Since he had a co-author, the book is a good read, given some prior knowledge. For those without some intermediate knowledge of Economics or mathematics or both, I would suggest Riccardo Rebonato's book. It has a clear structure and is easy to understand. Still, it does the job and gets the point across. Now, for those who think they know a bit of philosophy, economics, mathematics and the universe in general, it's "The Black Swan" that I would recommend. Taleb is getting at the subject from a philosophical point of view, of course based on mathematics, and the story unfolds in a hilarious way. Taleb is smart and has a lot of knowledge of things that matter and things that don't. It's funny to see him bark at different groups of scientists (economists, philosophers,..). I have found no instance where his disappointment at people/theories is misplaced. Being outside the scientific establishment has its advantages.
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am 17. November 2012
B. Mandelbrot tears down the whole house of classic economy, showing how it stands on wrong fundaments.
Then goes on suggesting alternative foundations. I do hope someone is working on building an alternative edifice on this basis.
There's a prophetic passage at some point: when describing how the random variables in economic are far from memoryless, an old trader who lived through Black Friday and the Great Depression is quoted saying that once his generation will be gone, the caution they had will also disappear from Wall Street.
This was written well before 2008.
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am 3. Dezember 2007
It is always pleasant to access ideas from their originator: B.Mandelbrot is the one who introduced fractal geometry to the world and power laws in finance. In this book he presents in a very humble manner how these ideas occurred to him and demonstrates applicability of some of them. He also categorizes randomness in a very enlightening way (slow, mild, and wild).
Concepts are made easily accessible thanks to the illustrations. Just to give you a taste of it, volatility is modelled (hence not constant anymore!) via two simple illustrations depicting a multi-fractal construction.
B.Mandelbrot elegantly suggests ideas for further research. This book is a common reference and it really inspires respect and admiration toward such a rich ongoing scientific life.
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am 7. Januar 2017
This is an interesting book for people who are interested in why the normal distribution plays such an important role in mathematical finance and if this fixation on Normals/Gaussians is justified. The author gathers the arguments against the extensive use of normal distributions in a very insightful way.
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am 3. Dezember 2007
It is always pleasant to access ideas from their originator: B.Mandelbrot is the one who introduced Fractal Geometry to the world and Power Laws in Finance. In this book he presents in a very humble manner how these ideas occurred to him and demonstrates applicability of some of them. He also categorizes randomness in a very enlightening way (slow, mild, and wild).
Concepts are made easily accessible thanks to the illustrations. Just to give you a taste of it, volatility is modelled (hence not constant anymore!) via two simple illustrations depicting a multi-fractal construction.
B.Mandelbrot elegantly suggests ideas for further research. This book is a common reference and it really inspires respect and admiration toward such a rich ongoing scientific life.
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am 22. Mai 2009
Mandelbrot's mathematical genius is beyond any question. Apart from that, this book could have been left unwritten. It takes no genius to understand that any Ponzi scheme will fail soon, and that the recent bubble was just another Ponzi scheme. However, Professor Doktor Doktor Mandelbrot still feels the need to demonstrate that he is the real-life version of Hari Seldon. But what he really demonstrates is just that modern scientists are so low on self-esteem that they don't waste any chance to fawn upon the finance world: Look, I may be only a lowly scientist, but I have something to say that is relevant to the True World® of finance!
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