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Mandelbrot’s Multi-Fractal


 Sheng Li, Senior FICC Trader at Guotai Junan Securities Co., Ltd

 Friday, May 24, 2013

There was a lot of talking about the embeded error created by the false assumption in the modern financial theories. At the same time, there are also a lot of talking about how Mandelbrot's nulti-fractual model offers a better solution in modeling. Can someone suggest any useful paper/ actual application of this theory? I would be interested to see what you think? Thanks.


5 comments on article "Mandelbrot's Multi-Fractal"


 Richard Goers, Risk Adviser at Fiducian Portfolio Services

 Saturday, June 8, 2013

I think I do, at a core emotional level

excuse me for the following stream of consciousness - inelegant as it maybe

I work in the derivative trading space [FX CFD margin brokers]: I see the worst the financial service industry can offer:

- the only constant no-one benefits but the shareholders-managers of FX margin brokers or hedge funds-active fund managers

- they do what they do because they can [sell the dream to become a nightmare]

- the next constant I see is that the punters remain poorer for the experience

- I see the financial services industry incapable of changing or adding value because they cannot, unwilling, or the theories are all irrelevant

- economic theory hasnt evolved to be able to understand the functions-interactions of the economy or people after endless centuries of analysis

- the industry continues to focus or concentrating on the tweaking of the model parameters - just creating distractions, endless noise = not progress

= the odds remain stacked against the punter, but do we tell them that, or do they care even if they knew


 Mark Leeds, quantitative analyst/statistical consultant

 Saturday, June 8, 2013

Hi Ian and Richard: My mistake because I think we're all in agreement. Ian: definitely

I see a place for risk management but , as you said, just not in the area where it's mostly

needed. Math can't model people's greed. All the best.


 Almas C., Research scientist in physics

 Sunday, June 9, 2013

Thanks, Richard, for these two enlightening posts. They nearly close the thread. If the risk is evaluated correctly, the allowed leverage could then happen to be just one at maximum, which is unacceptable for the industry and punters because, paraphrasing Mark's summary, human greed is more powerful than maths.


 Borut Skok, Market Analyst

 Saturday, June 29, 2013

Isn't worth. Mandelbrot is far away from everything in finance. His latest book known to me T(M)BofM didn't offer practically nothing except ridiculous schemes. He wasn't able to build the simplest effective generator of anything. But according to basics of multifractals the generator even it is not the main problem. The main problem obvieslly unknowen to Mandelbrot is the mathematical environment in which the data and the generator have to cooperate syumlatneously and proportionally. There are no such findings in Mandelbrot's work.


 Richard Goers, Risk Adviser at Fiducian Portfolio Services

 Saturday, June 29, 2013

For me Mandelbrot created new ideas on the financial markets structure from EMT, the dominant theory at the time and still is with [economists] - from his research findings in the 1960s, new research following along his ideas and extending them have created a framework where you can now confidently predict market price behaviour = even if you dont know it as such, in that you are looking for trading concepts within your mind set

- the big ideas are out there, you need to look [time, $, patience, frustration, wrong turns etc etc]

- but whether they suit your needs for trading or creating wealth or understanding of the market is the next question

- as with Mandelbrot, same with the Santa Fe Institute non linear studies, Arrow, Sornettes risk research unit, Taleb, and too numerous to name physists working in and extending financial market theory-to-practice in wall street - not Mandelbrot alone, but with Mandelbrot in mind, or his picture on the inside of your dunnie door

- then I suggest it will then depend on your trading style - Mandelbrots concepts may not be your cup of tea, or milo

- also if you can find the ultimate answer, you either keep it to yourself [and chuckle when you read these blogs] or if you do come across it you are sharing it with others who are on the same track and so 'IT' is in the market for everyone to use

- to completely void Mandelbrot and his concepts is a bit tough on a man who did redefine how the financial markets work - he did have disruptive ideas some 30 + years ago = mainstream now

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