“A Multifractal Walk down Wall Street”. by Benoit B. Mandelbrot, Scientific American, Feb. , pp. Portfolio theory is flawed. The customary theory holds. Mandelbrot, B.B. () A Multifractal Walk Down Wall Street. Scientific American , , has been. A Multifractal Walk Down Wall Street “The geometry that describes the shape of coastlines and the patterns of galaxies also elucidates how stock prices soar and .

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Financial market charts, however, are far from being self-similar. Graph 1 – Correlation Stats. The pricing of futures.

Of course, they never do. The ratios of the interpolated section lengths can be adjusted as a parameter. The Logic Of Pivot Trading by Jim White This methodology takes advantage of the short-term trends in the market and applies a pivot trading technique to earn superior Multfiractal information. The unifractal U chart shown here before any shortening corresponds to the becalmed markets postulated in the portfolio theorists model.

A Multifractal Walk down Wall Street

In illustration 2the first piece of the unifractal generator is progressively shortened, which also provides room to lengthen the second piece. But they do create a more realistic picture of market risks.

As a result, predictions of future market movements become muktifractal. The second presumption is that all price changes are distributed in a pattern that conforms to the standard bell curve. Individual investors and professional stock and currency traders know better than ever that prices quoted in any financial market often change with heart-stopping swiftness.


Search all the public and authenticated articles in CiteULike. Interpolations Forever Only the first stages are shown in the illustration, although the same process continues. A few selected generators yield so-called unifractal curves that exhibit the relatively tranquil picture of the market encompassed by modern portfolio theory.

Each time the first piece of the generator is further shortened—and the process of successive interpolation is undertaken—it produces a chart that increasingly resembles the characteristics of volatile markets illustration 4. Objects, animals, buildings, humans. Further reading suggested at the article’s end: Expect the Unexpected 1 Expect the unexpected. You can also specify a CiteULike article id. In finance, this concept is not a rootless abstraction but a theoretical reformulation of a down-to-earth bit of market folklore— namely, that movements of a stock or currency all look alike when a market chart is enlarged or reduced so that it fits the same time and price scale.

Multifractals and the Market An extensive mathematical basis already exists for fractals and multifractals. Developed by Charles Dow.

For a price chart, this transformation must shrink the time-scale the horizontal axis more than the price scale the vertical axis. Do financial data neatly conform to such assumptions? These techniques do not come closer to forecasting a price drop or rise on a specific day on the basis of past records.


These revisions, however, are inadequate, except under certain special market conditions. The customary theory holds that changes in prices follow a “random walk” that follows the normal distribution.

A Multifractal Walk Down Wall Street

Johns Bluff Road So. Reproduction, translation, or distribution in any form or by any means, or storage in a data base. FX Options Pricing, what does it Mean?

But the picture it presents does not reflect reality, if one agrees that major events are part of the remaining 5 percent.

a multifractal walk down wall street pdf

Intrinsic value and time value Revisionists correct the questionable premises of modern portfolio theory through small fixes that.

Overview The time value of money is fundamental to all aspects of business decision-making. Developed by Charles Dow More information. The intervals themselves are chosen arbitrarily; they may represent a second, an hour, a day or a year. First, they suggest that price changes are statistically independent of one another: