{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

ssrn-id1693217 - BENOIT MANDELBROT 1924 1910 A Greek among...

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
Electronic copy available at: http://ssrn.com/abstract=1693217 BENOIT MANDELBROT 1924 1910 A Greek among Romans Fernando Estrada Nassim Nicholas Taleb yields the best posthumous tribute to Benoit Mandelbrot to call it: A Greek among Romans . In the second half of the twentieth century few mathematicians achieved universal influence as remarkable as Mandelbrot. The international scientific community will not cease to mourn the death of one of its finest sons. In this brief note describes the trajectory of the fractal models / multifractal F / M by Benoit Mandelbrot. The promise was discovered by the geometry of Mandelbrot covers a broad area of research fields, from meteorology and mathematical physics to the individual and collective behavior in society, besides his contributions to the analysis of the financial crisis in his wonderful essay on The (mis) Behavior of Markets. A fractal view of Risk, Ruin and Reward (2004). Mandelbrot's arguments have revealed significant anomalies in the prevailing paradigms. Is this a new paradigm in Kuhn's sense as stated by the same Mandelbrot? Mandelbrot's hypothesis has been extended creatively to the field of financial modeling, the mathematical approach to the markets since the fractals geometric structures of various levels of size, each of which repeats a small scale the overall structure. The hypothesis suggests that Mandelbrot fractal rough measures reflect the nature and allow an approach non-Euclidean: geometric structures such as clouds, coast, wind gusts and conferences in the bags. To Mandelbrot the main feature in a market price, as in various phenomena of culture and nature, is the fractal geometry. Summarizing his argument is as follows: The fractal geometry of roughness measured intrinsically. Thus marking the beginning of a specific quantity theory: the roughness in all its manifestations [Mand05] The roughness behavior translates ubiquitous in nature and in culture (including financial markets). Fractality is scattered everywhere as fractal geometry objects are multiform. An overview of fractals and multifractal is described by Mandelbrot in a long chapter [Mand02]. Despite its unquestionable antiquity, the study of roughness has been quite behind when compared with older concepts of physics as a slope (of a road or trend), weight, tone, warmth, color and similar categories. The problem, as
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Electronic copy available at: http://ssrn.com/abstract=1693217 emphasized by Mandelbrot is that the density of roughness was not measured. Work in this direction had to wait until the author.
Background image of page 2
Image of page 3
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}