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The Misbehavior of Markets: A Fractal View of Financial Turbulence (英語) ペーパーバック – 2006/3/7

5つ星のうち 4.5 2件のカスタマーレビュー

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   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。 --このテキストは、絶版本またはこのタイトルには設定されていない版型に関連付けられています。

内容紹介

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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  • ペーパーバック: 368ページ
  • 出版社: Basic Books (2006/3/7)
  • 言語: 英語
  • ISBN-10: 0465043577
  • ISBN-13: 978-0465043576
  • 発売日: 2006/3/7
  • 商品パッケージの寸法: 15.5 x 2 x 23.4 cm
  • おすすめ度: 5つ星のうち 4.5 2件のカスタマーレビュー
  • Amazon 売れ筋ランキング: 洋書 - 140,648位 (洋書の売れ筋ランキングを見る)
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5つ星のうち 4.5
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形式: ペーパーバック
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.
コメント 5人のお客様がこれが役に立ったと考えています. このレビューは参考になりましたか? はい いいえ 評価を送る...
フィードバックありがとうございました。
申し訳ありませんが、お客様の投票の記録に失敗しました。もう一度試してください。
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投稿者 zigeunerweisen VINE メンバー 投稿日 2010/6/8
形式: ペーパーバック Amazonで購入
標準的なファイナンス理論とは、一味もふた味も違うマンデルブローのフラクタル理論的解釈によるマーケット理論である。
現代ファイナンスリオンに取って代わる一般化ないしは体系化の可能性は低いが、知的刺激に富んだ高級な読み物である。
何はともあれ、マンデルブローが世紀の天才の一人には違いない。
コメント 2人のお客様がこれが役に立ったと考えています. このレビューは参考になりましたか? はい いいえ 評価を送る...
フィードバックありがとうございました。
申し訳ありませんが、お客様の投票の記録に失敗しました。もう一度試してください。
違反を報告

Amazon.com で最も参考になったカスタマーレビュー (beta)

Amazon.com: 5つ星のうち 4.0 149 件のカスタマーレビュー
8 人中、8人の方が、「このレビューが参考になった」と投票しています。
5つ星のうち 4.0 A Random Walk Gets More "Wiggly" 2014/7/12
投稿者 mtspace - (Amazon.com)
形式: ペーパーバック Amazonで購入
Mandelbrot sets out to demolish most of the theoretical bases of financial theory that led to several of the financial crises in the last several decades, foremost of which is that the random motions in prices of commodities and stocks can be assumed to be normally distributed. This sounds like an esoteric sort of argument, but anyone who wishes to win in any game of chance must have some solid notion of how to deal with risk. If one uses the standard model employing the normal (Gaussian) distribution, one will always underestimate the probability of rare events. This can lead to ruin, sometimes on a small scale. As an example, Mandelbrot talks about the rise and fall of the mother of all hedge funds - Long Term Capital Management which took a measly $3.6 billion bailout in the late 1990's because it underestimated risk. But it can happen on a much larger scale as in the crash of 2008 when many large financial institutions in the US held leveraged positions in mortgage security debt instruments. Long story short, everyone underestimated the risk of the unexpected happening, and it nearly crashed western civilization. The cost of that mistake will be measured in the $trillions.

Mandelbrot goes through the models that set up the whole thing: Bachelier, Sharpe, Black-Scholes, and standard portfolio theory. He briefly discusses their power. It's a great, if somewhat sketchy overview of what tools financiers and bankers often use. But in each case, lurking in the background are the assumptions of normality in price movements, and of statistical independence between time periods and between different asset classes.

There is no question that Mandelbrot proves that cotton price fluctuations are badly described by the normal distribution. The quantitative and qualitative information he brings to other asset classes is much less robust. He gives us very good arguments as to why other classes behave as does cotton; but It is hard to say that he brings the same level of quantitative rigor to these. For those of us who want the argument to end with everyone believing the fractal story, it's a bit of a disappointment. What he does do, though, is to describe the Cauchy distribution function which, with some slight generalizations can produce distribution functions that will accurately characterize time series price data whose variation obeys power-laws in the tails of the distribution. The upshot is that anyone with a solid understanding of college level statistics could go on to derive their own Black-Scholes formula.

His publisher appears to have set two rules: 1) no math of any sort in the body of the book, and 2) only simple algebraic equations in the notes. These prohibitions have several consequences. One is that the book is quite readable to anyone, even someone who has not finished eighth grade algebra. A reader can get a vague sense for what Mandelbrot is saying without the math. The flip side is that people who have finished eighth grade algebra may find the arguments hand-wavy when they could be much more solid. Anyone who has a solid background in statistics is likely to be able to fill in the gaps much better, but they will find the arguments fall far short of the kind of proof that one would expect in a 300 page book written by a world-famous mathematician. The people who have studied Black-Scholes, understand its derivation, and use it everyday will likely want a little bit more data and a lot more math before they kill the beast that writes their paychecks. Specifically, they will want a replacement method, which Mandelbrot only hints at.

I found the text here to be a little bit discursive and somewhat repetitive. I often enjoyed his anecdotes, but I did find myself skipping paragraphs, pages, and even chapters. I bought the book knowing that markets have fractal behavior, and hoping to be able to make my own mathematical models based on information in this book. It did allow me to make the intuitive connection between power-law behavior and fractal behavior. And I believe the book has gotten me to the point where I can do all the steps required to price risk and characterize random motions in the prices of assets; although I think a six page monograph that admitted mathematical notation would have been more than sufficient.
1 人中、1人の方が、「このレビューが参考になった」と投票しています。
5つ星のうち 4.0 Educating Read! 2017/3/14
投稿者 Brendan Chong - (Amazon.com)
形式: ペーパーバック Amazonで購入
Great book (albeit incomplete if you're looking for definitive answers) that discusses the shortcomings of risk assessments for financial products and portfolios. As others have said, the author has posed several questions regarding the validity of financial practitioners' existing tools in corporate finance (valuation), options, and portfolio theory. One answer: multifractal theory; which the author posits could be the foundation for the next class of financial economists (best case).

My key takeaway from this book is that market participants' tools underassess risk and thus market participants should be wary of becoming model-dependent.

Additionally, supporting research and proofs are in the appendix or on the book's designated website for the more curious readers.
5つ星のうち 5.0 Looking at Risk in the Eye. 2016/1/25
投稿者 Luca Columbu - (Amazon.com)
形式: Kindle版 Amazonで購入
The Risk associated with any investment, including mutual funds, retirement plans, stocks, and options, is currently calculated with inadequate tools, by all the major banking institutions. Over and over, crash after crash, unprotected investments resulted in disastrous consequences for the whole population. Mandelbrot's incidental encounter with the strange Cotton price trends brought him to the Fractal theory in the 70s, and brought in a new approach of financial risk management, free of dogmas and bad approximations, and based on pure observation, which is necessary more than ever to everyone involved, if we want to build a more stable and secure economic system.
1 人中、1人の方が、「このレビューが参考になった」と投票しています。
5つ星のうち 5.0 everything you were ever taught about finance is a lie! 2011/8/21
投稿者 muddy glass - (Amazon.com)
形式: ペーパーバック Amazonで購入
everything you were ever taught about finance is a lie! (or maybe not.) "the (mis)behavior of markets" is an excellent introduction to mandelbrot's unorthodox ideas on the house of modern finance. this book was written for a general audience and was written late in mandelbrot's life, after he's had decades to polish his thoughts. if you want an introductory book to read about how the stock market is possibly related to fractals, then this is the book to pick up.

fractals are the by now familiar mathematical objects that display self-similarity when scaled larger or smaller. their progenitors are those weird constructs, such as peano's space-filling curve and the cantor set, that were introduced in the late nineteenth century and subsequently sparked a revolution in logic. all of these animals of pure mathematical fancy were designed to challenge the conventional notions of the time and forced mathematicians to revisit the foundations of their craft. indeed, this line of thought led to the strange notion of non-integer fractional dimensions.

so what does all of this have to do with finance? the dimension of a fractal is given by a power law. a lot of economic and financial data seem to fit power laws as well. fractals are characteristically self-similar. charts of stock prices exhibit self-similarity. yada yada yada and thus, markets are governed by fractals. wait a minute. that's actually not quite logical!

ok, so there are some speculative aspects fueling this enterprise. this is the source of most of the negative criticism mandelbrot receives for this book. in my opinion, laying out some speculative avenues of thought is not a crime. scientists should dare to dream! mandelbrot himself acknowledges that this circle of ideas is merely in its infancy. he hopes others will pursue this path of inquiry and continue his life's work. and just why would anybody pick up that banner? well, because our current understanding of finance is deeply flawed while mandelbrot offers a (very rough) potential alternative.

in the first part of the book, mandelbrot does an outstanding job presenting data contradicting conventional financial theories. the punchline: markets are much riskier than people think. in particular, he attacks the use of the so-called "normal" probability distributions in finance. this foundational attack threatens modern portfolio theory, the capital asset pricing model, the black-scholes formula for pricing options, etc. essentially, all the major developments in finance in the second half of the twentieth century are in jeopardy. some of the creators of these theories have won nobel prizes in economics, so a lot is at stake here. (an understatement!) note that mandelbrot's arguments in part one are valid even if the fractal speculations presented afterward turn out to be unfounded.

mandelbrot uses plain language and analogies in his exposition throughout the book. he purposefully avoided equations, but he partially makes up for it through the use of pictures. mandelbrot was a very visual thinker and it shows in this book. for example, on p.179 mandelbrot offers a diagram of what "removing the trend" means in hurst's research. stare at the picture for a little while and the meaning should become clear to anyone with an interest in math and science. similarly, mandelbrot doesn't really explain how multifractal time works since the given father-mother-child analogy is fuzzy at best. however, the "fractal market cube" diagram on p.214 explains the concept of multifractal time in one picture. anyone familiar with projections should be able to understand this diagram without any problems. this compromise approach of offering analogies for a general audience while providing supplementary mathematical content in the pictures is suitable for an introductory book aimed at a wide audience, in my opinion.

the best feature of this book for me was the autobiographical chronicling of a sharp mathematical mind at work. mandelbrot was able to see patterns and connections between seemingly unrelated fields and then he pursued these links relentlessly over decades of time. his individuality and perseverance allowed him to carry on even when the rest of the establishment were pursuing contrary ideas. mandelbrot also doesn't hide the moments when he was in the dark or when he saw connections that turned out to be trickier than his first instinct suggested. after all, this train of thought spanned a lifetime. and amazingly, some of his greatest insights came from pure serendipity. mandelbrot received a major breakthrough from reading a paper that was pulled out of a garbage can!

in the interest of fairness, there are some relatively minor oversights in this book. this was the only real negative i could think of and it's easily forgivable. for example, mandelbrot incorrectly states that peter lynch's stellar performance as manager of fidelity's magellan fund was most significant when the fund was small. it's actually the opposite: market impact costs become a burden when a mutual fund grows too large, making it much easier to outperform the market when a fund's assets are small, especially with lynch's trading style. in spite of this minor criticism, i found this book to be a page turner written by an obviously extraordinary thinker.

it's always a good idea to read the masters. if you want to understand the spirit of passive investing, read jack bogle. if you want to partake in value investing, read ben graham. and if you want to know why the house of modern finance might stand on shaky foundations, read mandelbrot. read, think, then judge for yourself. lastly, if you were hoping to make a fortune from fractals, read the following quote from p.6 of the book:

"i see a pattern in these price movements -- not a pattern, to be sure, that will make anybody rich; i agree with the orthodox economists that stock prices are probably not predictable in any useful sense of the term."
2 人中、2人の方が、「このレビューが参考になった」と投票しています。
5つ星のうち 3.0 Good overall, but it just didn't settle things for me. 2010/11/3
投稿者 Leib Gershon Mitchell - (Amazon.com)
形式: ハードカバー Amazonで購入
I know that authors who write books are constantly treading a fine line between too many graphs and no readers vs. no graphs at all but a book that reads like a "Bert and Ernie" book. For a book with this many mathematical concepts, it would not have hurt to have a few problems put in the book to concept check the ideas that the author was trying to convey. They need not have been included in the chapters. They might have worked just as well as appendices. One gets the impression that the author assumed an understanding of not much more than 10th grade Algebra II. If a person has enough of a curiousity to pick up a book like this, then I'm sure that they have made it through enough math to understand a few equations (one equation is sometimes worth even MORE than 1,000 words).

This book had so much information, that I can only write about the things that left me the deepest impressions.

Impressions:

1. Could this book have been rewritten as a discussion of the limitations of modeling? There are echoes of books that I have read before (notably, Paul Ormerod's "Butterfly Economics") about how the assumptions that go into econometric modeling are not true. The authors seems to go back and forth between showing the limits of academic Economics (one thing) and Finance (a very different thing). I wonder if the book could have been better put together in the aforementioned way and made to flow a bit more smoothly.

2. This guy has a *humongous* ego a la Nassim Taleb. I noticed this right away between pages 5-7 when I went back and counted the word "I" 22 times over those 3 pages.

3. The author did a yeoman's work measuring price change data from 1916-2003. That alone earned my respect and made this book worth reading. 87 years. 365 days per year. That works out to 31,755 data points to deal with.

4. I see where Taleb got his ideas of "Mediocristan" and "Extremistan" from. It's just that he babbled on about those concepts for much longer than Mandelbrot (who did it in something like 3 pages). (I find the earliest date of publication of "The Black Swan" to be something like 2007-- three years before this book came out.) Maybe Mandelbrot was also not the first one to notice that the Gaussian Distribution is not appropriate for many/ most issues of finance. But just the same, this foreshadows Taleb's work, and even makes it look a bit derivative.

5. I had heretofore never thought about what fractals represented graphically. This book started with the basics of that idea, but I might have liked more discussion thereon.

6. The book was very easy and light to read for about the first 3/4. In the last 1/4, the pages just dragged on by. There are also some problems with the organization. He put "In the Lab" and "Ten Heresies of Finance" at the back of the book. But since those are the problem to be answered, why didn't they go in the front of the book? Even after ALL THAT discussion, he comes up with (p. 255): (a) he doesn't know and; (b) that the problem needs further research? Huh?

7. There were some interesting lines of reasoning opened up by this book (that fractals can be used to describe market behavior), and the case might have even been more solid than what it seems. But, then again, there may have been nonsense uttered with seeming profundity (economists are very good at this). After it was all said and done, this was just not settled for me. It may be that Economics is neither Gaussian nor fractal but simply chaotic.

8. The book does not do much talking about prediction. And that is important. For example, on p. 219, he says that "prices scale as the model predicts," but now what? Yes, you can take the known data and go back and make a model for them, but what about using the model to go forward to predict prices? And better yet, why not work through a few different data sets and demonstrate how your model predicts where the other ones failed (and *why* they failed) in prediction? A question on prediction that arose during the book: A physicist might believe that he can predict the future given knowledge of the position, velocity, and direction of each particle as of a given time. But that information is not forthcoming. Is Benoit saying that he could predict prices in that same way with fractals? And that it's just a matter of limited information?

9. If there is a correct calculation to be made, and IF someone finds the correct way to make it, then won't other people find the same solution? And then won't the price on the stock fall back to reality? And then won't we be right back where we started?

This is worth the secondhand purchase price.
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