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The Misbehavior of Markets: A Fractal View of Financial Turbulence
 
 
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The Misbehavior of Markets: A Fractal View of Financial Turbulence (ペーパーバック)

by Benoit Mandelbrot (著), Richard L. Hudson (著) "IN THE SUMMER OF 1998, the improbable happened ..." (more)
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Product Description

Book Description

   市場の仕組みについての私たちの理解を覆す、フラクタル幾何学創始者による画期的な新理論。

   今世紀最大の影響力を持つ数学者のひとり、ブノワ・B・マンデルブローは、誰もが知っているのにユークリッド以下の幾何学者らが決して理解しなかった事実――「雲は丸くないし、山は円錐ではないし、海岸線は滑らかではない」――を数学的に説明したことで世界的に知られている。私たちはいま、この有名なフレーズにもうひとつ新たな例を加えることができる。「市場はブローカーが言うほど安全な賭けではない」。マンデルブローは初めて一般読者向けに書いた本書（リチャード・L・ハドソンとの共著）の中で、市場の動きに関する支配的な考え方――世界中のすべてのMBA取得者や投資家がいまだに勉強している、100年前に立てられた1組の数学的仮説――がなぜ役に立たないかを教えてくれる。

   名著『The Fractal Geometry of Nature』（邦題『フラクタル幾何学』）で自然界について行ったように、マンデルブローは本書でもフラクタル幾何学を用いて、市場の動きを説明する新しくより正確な方法を提示している。IBM株価やドル-ユーロ相場の複雑な変動もいまやシンプルな公式に還元され、従来よりはるかに優れたリスクモデルを導くことができるのだ。マンデルブローはフラクタル・ツールを使って金融市場の真の仕組みを解明するとともに、これまで専門家たちが決して説明しなかった、その気まぐれで危険な（そして不思議に美しい）性質も明らかにする。金融の新しい科学の礎となる貴重な1冊。 --This text refers to the ハードカバー edition.

内容説明

Mathematical superstar and inventor of fractal geometry, Benoit Mandelbrot, has spent the past forty years studying the underlying mathematics of space and natural patterns. What many of his followers don't realize is that he has also been watching patterns of market change. In The (Mis)Behavior of Markets, Mandelbrot joins with science journalist and former Wall Street Journal editor Richard L. Hudson to reveal what a fractal view of the world of finance looks like. The result is a revolutionary reevaluation of the standard tools and models of modern financial theory. Markets, we learn, are far riskier than we have wanted to believe. From the gyrations of IBM's stock price and the Dow, to cotton trading, and the dollar-Euro exchange rate--Mandelbrot shows that the world of finance can be understood in more accurate, and volatile, terms than the tired theories of yesteryear.The ability to simplify the complex has made Mandelbrot one of the century's most influential mathematicians. With The (Mis)Behavior of Markets, he puts the tools of higher mathematics into the hands of every person involved with markets, from financial analysts to economists to 401(k) holders. Markets will never be seen as "safe bets" again.
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Product Details

  • ペーパーバック: 368 pages
  • Publisher: Basic Books; annotated edition edition (2006/3/6)
  • Language: 英語, 英語, 英語
  • ISBN-10: 0465043577
  • ISBN-13: 978-0465043576
  • Release Date: 2006/3/6
  • Product Dimensions: 9.1 x 6.1 x 0.9 inches
  • Average Customer Review: 4.5 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon.co.jp Sales Rank: #9,570 in 洋書 (See Bestsellers in 洋書)

    Popular in these categories:

    #32 in  洋書 > Business & Investing > Marketing & Sales > Marketing
    #62 in  洋書 > Professional & Technical > Professional Science > Mathematics > Pure Mathematics
    #64 in  洋書 > Science > Mathematics > Pure Mathematics

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Inside This Book (Learn More)
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IN THE SUMMER OF 1998, the improbable happened. Read the first page
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15 of 17 people found the following review helpful:
4.0 out of 5 stars ランダムウォーク仮説をひっくり返す。, 2004/8/17
By h.yamagata (世界各地) - See all my reviews
(TOP 500 REVIEWER)   
このレビューの引用元: The Misbehavior of Markets: A Fractal View of Risk, Ruin, and Reward (ハードカバー)
ベノワ「フラクタル」マンデルブロが、自分が構築に大きく寄与した効率的市場仮説を自らひっくり返したに等しい本。いや、ひっくり返してはいないんだけれど、そのいまの形式の前提になっている、ランダムウォーク仮説をひっくり返す。株価の変動はランダムウォークではなく、フラクタルに従うのだ、という。そしてこれにより変動はランダムウォークから得られるものより大きくなる。というか、平均値に近い部分が増える代わりに、裾野が広がる。だからこれまで思われていたよりも市場は安定しているけれど、でもこれまで思われていたより派手にふれることがある、という話。ただ、なぜそうなるか、という理屈は説明できていない。それが弱点かな。とはいえランダムウォークだって、なぜそうなるかは特に明快な理論もないわけだし。これが発展すれば、いまのファイナンス理論はかなり修正を余儀なくされるかも。
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3 of 3 people found the following review helpful:
5.0 out of 5 stars A Book on Risk in Financial Markets by Superstar Mathematician, 2008/4/2
By Value Investor (港区六本木) - See all my reviews
A book on risk in financial markets, written by superstar mathematician and inventor of fractal geometry Benoit Mandelbrot. If you are curious about how relevant scaling, power laws, fractality, fat tails, long-term dependence, concentration, and discontinuity are to financial markets, this is the book to read. The central idea on the book is that financial markets are far riskier than mainstream finance theory assumes. Recent turmoil in financial markets is a timely vindication of Mandelbrot's view of financial markets.
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