User:Oceanflynn/sandbox/The (Misbehavior) of Markets

The Misbehavior of Markets: A Fractal View of Financial Turbulence is a book for a general audience by Richard L. Hudson and Benoit B. Mandelbrot (1924 – 2010), who pioneered fractal geometry, revealed the lack of robustness of a set of mathematical assumptions that dominates the way of thinking about market behaviour in business and finance.

Authors
Richard L. Hudson, a Harvard graduate, was a reporter, journalist and editor with the Wall Street Journal for twenty five years. He continued his work as science and technology journalist in Europe for 25 years. He is CEO of Science Business Publishing in London which "covers early-stage investment in R&D, and helps academic researchers in Europe connect with industrial and private investors."

Benoît B. Mandelbrot is best known as the "founder of fractal geometry – the first broad attempt to investigate quantitatively the ubiquitous notion of roughness." He was a Sterling Professor Emeritus of Mathematical Sciences at Yale University and IBM Fellow Emeritus (Physics) at the IBM Research Center.

Mandelbrot worked at the IBM Thomas J. Watson Research Center from 1958 to 1993. By 1961 he was studying self-similarity with a focus on cotton price fluctuations. He entered data on cotton prices from 1900 on IBM's computers. In his book entitled Chaos: Making a New Science, James Gleick summarized Mandelbrot's results,

""The numbers that produced aberrations from the point of view of normal distribution produced symmetry from the point of view of scaling. Each particular price change was random and unpredictable. But the sequence of changes was independent on scale: curves for daily price changes and monthly price changes matched perfectly. Incredibly, analyzed Mandelbrot's way, the degree of variation had remained constant over a tumultuous sixty-year period that saw two World Wars and a depression.""

- James Gleick, Chaos - Making a New Science

Mandelbrot then analyzed other phenomena such as coastlines, and in 1967 his article entitled "How long is the coast of Britain?" was published in Science.

""Seacoast shapes are examples of highly involved curves with the property that - in a statistical sense - each portion can be considered a reduced-scale image of the whole. This property will be referred to as 'statistical self-similarity.'""

- Mandelbrot 1967