Multifractal financial markets. An alternative approach to asset and risk management (Q456903): Difference between revisions

The book presents and discusses the application to risk and portfolio management of some intuitive ideas arising from the theory of fractals, particularly multifractals, and apparently inspired by conversations with Mandelbrot himself. As fractals are geometric figures whose parts reproduce the same shape of the whole process, the approach proposed is intrinsically geometrical and suggests to focus on regularly occurring patterns hidden in financial time series. The author's claim, rather controversial, is that this approach highlights aspects which are typically neglected in traditional models. In the reviewer's opinion, however, the exposition is purely heuristical and completely non-mathematical.