scientific article; zbMATH DE number 1091847

zbMATH Open1005.91001MaRDI QIDQ4367302FDOQ4367302

Authors: Benoît B. Mandelbrot 

Publication date: 26 November 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

riskconcentrationfractalsscalingfinancial time series analysismultifractal model of asset returnsspeculative prices

Mathematics Subject Classification ID

Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Fractals (28A80)

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• Characteristic time scales in the American dollar-Mexican peso exchange currency market
• Generalized entropy approach to stable Lévy distributions with financial application
• Monte Carlo simulations of a trader-based market model
• Zipf-Mandelbrot scaling law for world track records
• Persistent scale free fluctuation in market recovery and recession
• On discrete stochastic processes with long-lasting time dependence in the variance
• Roughness and finite size effect in the NYSE stock-price fluctuations
• Diffusion on multifractals
• Nonparametric reconstruction of a multifractal function from noisy data
• A capital asset pricing model under stable Paretian distributions in a pure exchange economy
• A model for distribution of high-tax payers.
• A new approach to fractional Brownian motion of order \(n\) via random walk in the complex plane
• Uniform convergence for complex [0,1]-martingales
• Multiresolution analysis of S\&P500 time series
• Heterogeneous information-based artificial stock market
• Quantum gas distribution prescribed by factorization hypothesis of probability
• A pentatonic classification of extreme events
• Self-affine fractal functions and wavelet series
• Option pricing under residual risk and imperfect hedging
• Self-similarity in financial markets: a fractionally integrated approach
• Renewal of singularity sets of random self-similar measures
• Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system
• Multifractal formalism of oscillating singularities for random wavelet series
• Information-based multi-assets artificial stock market with heterogeneous agents
• Financial multifractality and its subtleties: An example of DAX
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• Pointwise smoothness of space-filling functions
• Metaheuristic optimization-based identification of fractional-order systems under stable distribution noises
• Quantifying complexity of financial short-term time series by composite multiscale entropy measure
• Convergence of complex multiplicative cascades
• Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
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• Quality signals in information cascades and the dynamics of the distribution of motion picture box office revenues
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• Elements for a theory of financial risks
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• Classical ergodicity and modern portfolio theory
• Multifractal analysis of complex random cascades
• The beneficial role of random strategies in social and financial systems
• Inference about the tail of a distribution: improvement on the Hill estimator
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• Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
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• Option overlay strategies
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Long range dependence in financial markets
• Multifractal Products of Stationary Diffusion Processes
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• Regenerative processes in supercooled liquids and glasses
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• Vertical transmission of culture and the distribution of family names
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• Towards a stochastic multi-point description of turbulence
• The bounds of heavy-tailed return distributions in evolving complex networks
• Stochastic averaging of quasi-non-integrable Hamiltonian systems under fractional Gaussian noise excitation
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• Strong, weak and false inverse power laws

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