Fractal Market Analysis 分形市场分析 混沌理论在投资与经济的应用

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Fractal Market Analysis分形市场分析


Applying Chaos Theory to Investment and Economics
混沌理论在投资与经济的应用

Edgar E. Peters--Wiley (1994)



Edgar E. Peters-Fractal Market Analysis_ Applying Chaos Theory to Investment and.pdf (9.61 MB, 需要: 5 个论坛币)

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分形与混沌理论应用
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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.


Table of Contents



PART ONE FRACTAL TIME SERIES.

Failure of the Gaussian Hypothesis.

A Fractal Market Hypothesis.



PART TWO FRACTAL (R/S) ANALYSIS.

Measuring Memory--The Hurst Process and R/S Analysis.

Testing R/S Analysis.

Finding Cycles: Periodic and Nonperiodic.



PART THREE 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.



PART FOUR FRACTAL NOISE.

Fractional Noise and R/S Analysis.

Fractal Statistics.

Applying Fractal Statistics.




PART FIVE NOISY CHAOS.

Noisy Chaos and R/S Analysis.

Fractal Statistics, Noisy Chaos, and the FMH.

Understanding Markets.



Appendices.

Bibliography.

Glossary.

Index.

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