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At 15:49 12.9.1999 , you wrote:
>At 11:09 AM -0400 9/10/99, Jim Johnson wrote:
>
>>I've read a bit on chaos but not as it relates to finance, prices etc.
>>
>>Which of the following should I start with?
>>
>>B. Mandelbrot: Fractals and Scaling in Finance, 1997
>>E. Peters: Chaos and Order in the Capital Markets, 1996
>>E. Peters: Patterns in the Dark, 1999
>>E. Peters: Fractal Market Analysis, 1994
>>C. May: Nonlinear Pricing, 1999
>
>I liked:
>
> E. Peters: Chaos and Order in the Capital Markets, 1996
>
>Very convincing evidence that markets are fractal but no clue about how to
>use that fact to make money, but interesting. I do not have the latest
>peters book but he writes well so I may get it. The Mandelbrot book seemed
>pretty obscure to me.
>
>Bob Fulks
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Hi,
I accidentally deleted the original posting, so I'm glad to have found
someone else's response to it.
While "Chaos and Order in the Capital Markets" (2nd ed. 1996) may be a good
introductory text on this topic (though
somewhat lengthy and simplistic at times), I clearly prefer his second book
("Fractal Market Analysis") due to its
mathematically more thorough and rigid treatment of the matter. There's no
need to read both of them, since they are
largely redundant. One has to be aware of the errors and typos in Peter's
books. An author-approved errata list for
"Fractal Market Analysis" can be found at
http://www.oara.org/mpc/fma/errata.htm
I don't know if the articles at the home page of Peter's firm
http://www.panagora.com/Resindex.htm are useful in
shedding further light on his approach.
The Mandelbrot book is a compilation of his papers from the 1960s to the
90s and quite heavy mathematical stuff.
Some of its contents can be recommended only to an advanced reader familiar
with such sort of texts. Many of the
included articles were ground-breaking and are of fundamental importance in
finding a new approach to understanding
market characteristics.
I don't know the other two books ("Patterns in the Dark" and "Nonlinear
Pricing"), but have been deterred from buying
them by the many negative ratings by readers found at http://www.amazon.com
(search for the respective entries there).
Another book I like is Robert Trippi's "Chaos & Nonlinear Dynamics in the
Financial Markets: Theory, Evidence, and
Applications", 1995. This one is again a compilation of research papers by
various authors, some of which I found useful.
As to further reading, plenty of articles on nonlinear dynamics can be
found on the Internet, some related to financial
applications. Here are a few possible starting points just taken from my
bookmarks list:
http://www.wu-wien.ac.at/usr/h91/h9150945/artificial.html
http://ourworld.compuserve.com/homepages/FTPub/
http://www.cevis.uni-bremen.de/english/CeVis/research/timeseries/
Henry.
mode.lurk:=on;
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