Fractal Market Analysis

Applying Chaos Theory to Investment and Economics

Inbunden, Engelska, 1994

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A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena.

Produktinformation

Utgivningsdatum1994-03-02
Mått158 x 244 x 28 mm
Vikt587 g
FormatInbunden
SpråkEngelska
SerieWiley Finance
Antal sidor336
FörlagJohn Wiley & Sons Inc
ISBN9780471585244

Tillhör följande kategorier

Tillämpad matematik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och Ledarskap
Matematik inom Naturvetenskap och teknik

EDGAR E. PETERS is an expert on chaos theory and its financial applications. He is Chief Investment Strategist and Director of Systematic Asset Allocation for PanAgora Asset Management, Inc., a global investment management firm. He is a frequent lecturer on market theory, and has taught investment and portfolio management at Babson College, Boston College, and Bentley College. In addition to the first edition of Chaos and Order in the Capital Markets, he is the author of Fractal Market Analysis and numerous articles in professional journals.

FRACTAL TIME SERIES. Failure of the Gaussian Hypothesis. A Fractal Market Hypothesis. FRACTAL (R/S) ANALYSIS. Measuring Memory--The Hurst Process and R/S Analysis. Testing R/S Analysis. Finding Cycles: Periodic and Nonperiodic. APPLYING FRACTAL ANALYSIS. Case Study Methodology. Dow Jones Industrials, 1888-1990: An Ideal Data Set. S&P 500 Tick Data, 1989-1992: Problems with Oversampling. Volatility: A Study in Antipersistence. Problems with Undersampling: Gold and U.K. Inflation. Currencies: A True Hurst Process. FRACTAL NOISE. Fractional Noise and R/S Analysis. Fractal Statistics. Applying Fractal Statistics. NOISY CHAOS. Noisy Chaos and R/S Analysis. Fractal Statistics, Noisy Chaos, and the FMH. Understanding Markets. Appendices. Bibliography. Glossary. Index.