Renormalization and fixed points in finance, since 1962

Physica A: Statistical Mechanics and its Applications

Volumn 263, Issue 1-4, 1999, Pages 477-487

  Mandelbrot, Benoit B ^a  

^a YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0006968114     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(98)00520-2     Document Type: Article

References (10)

1. B. B. Mandelbrot, Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (Selecta, Volume E) (Springer-Verlag, New York, 1997).
2. B. B. Mandelbrot, Fractals, hasard et finance, (Selecta, Volume FE) Flammarion (Collection Champs), Paris, 1997.
3. B. B. Mandelbrot, The Fractal Geometry of Nature (W. H. Freeman and Company, New York, 1982).
4. B. B. Mandelbrot, Multifractals and 1/f Noise: Wild Self-Affinity in Physics, (Selecta, Volume N) Springer-Verlag, New York, 1998.
5. B. B. Mandelbrot, Gaussian Fractals and Beyond (Selecta, Volume H) (Springer-Verlag, New York, Expected in 1998 or 1999).
6. B. B. Mandelbrot, L. Calvet & A. Fisher, The Multifractal Model of Asset Returns. Large Deviations and the Distribution of Price Changes. The Multifractality of the Deutschmark/US Dollar Exchange Rate. Three Discussion Papers. (Cowles Foundation for Economics, Yale University, New Haven, CT, September 1997.) Main Internet address: http://papers.ssrn.com/sol3/paper.taf? ABSTRACT. Additional data on the first paper: ABSTRACT ID=78588. Second paper: ABSTRACTJD=78608. Third paper: ABSTRACT ID=78628
7. B. B. Mandelbrot, Sur certains prix spéculatifs: faits empiriques et modèle basé sur les processus stables additifs de Paul Lévy. Comptes Rendus Académie des Sciences (Paris): 254 (1962) 3968-3970. Photographic reproduction in [2].
8. B. B. Mandelbrot, The variation of certain speculative prices. The Journal of Business of the University of Chicago 36 (1963) 394-419. Reprinted in [1] and photographic reproduction in [10].
9. B.B. Mandelbrot, Une classe de processus stochastiques homothétiques à soi: Application à la loi climatologique de H. E. Hurst. Comptes Rendus Académie des Sciences (Paris): 260 (1965) 3274-3277.
10. P. H. Cootner(ed), The Random Character of Stock Market Prices (MIT Press, Cambridge, MA,1964).