Fractal Market Analysis

Applying Chaos Theory to Investment and Economics

Edgar E. Peters (Autor)

Buch | Hardcover

336 Seiten

1994
John Wiley & Sons Inc (Verlag)
978-0-471-58524-4 (ISBN)

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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.

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.

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.

Erscheint lt. Verlag	2.3.1994
Reihe/Serie	Wiley Finance
Verlagsort	New York
Sprache	englisch
Maße	158 x 244 mm
Gewicht	587 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Mathematik / Informatik ► Mathematik ► Geometrie / Topologie
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	0-471-58524-6 / 0471585246
ISBN-13	978-0-471-58524-4 / 9780471585244
Zustand	Neuware