Fractal Market Analysis

Applying Chaos Theory to Investment and Economics

Edgar E. Peters

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English

John Wiley & Sons Inc
12 January 1994

Investment & securities; Fractal geometry; Chaos theory

Series: Wiley Finance

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.

By: Edgar E. Peters
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions: Height: 244mm, Width: 158mm, Spine: 28mm
Weight: 587g
ISBN: 9780471585244
ISBN 10: 0471585246
Series: Wiley Finance
Pages: 336
Publication Date: 12 January 1994
Audience: College/higher education , Professional and scholarly , Further / Higher Education , Undergraduate
Format: Hardback
Publisher's Status: Active

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.

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.