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Fractal Market Analysis by Edgar E.Peters
Fractal Market Analysis by Edgar E.Peters
Description
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
FRACTAL TIME SERIES.
Failure of the Gaussian Hypothesis.
A Fractal Market Hypothesis.
FRACTAL (R/S) ANALYSIS.
Measuring Memory–The Hurst Process and R/S Analysis.
Testing R/S Analysis.
Finding Cycles: Periodic and Nonperiodic.
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.
FRACTAL NOISE.
Fractional Noise and R/S Analysis.
Fractal Statistics.
Applying Fractal Statistics.
NOISY CHAOS.
Noisy Chaos and R/S Analysis.
Fractal Statistics, Noisy Chaos, and the FMH.
Understanding Markets.
Appendices.
Bibliography.
Glossary.
Index.
Salepage : Fractal Market Analysis by Edgar E.Peters
About Author
Edgar Peters
Edgar Peters is a Partner and Co-Director of Global Macro at First Quadrant, LLP in Pasadena, CA. He is involved in all aspects of product development: model building, risk measurement, risk allocation, and portfolio optimization. Prior to joining First Quadrant he spent 23 years with PanAgora Asset Management where he was over time an equity portfolio manager, Director of Tactical Asset Allocation, CIO of Macro Investments, and CIO. Prior to joining PanAgora, Ed was Investment Technology Manager at Interactive Data Corporation and an equity analyst/trader at Mutual Benefit Life. He has lectured extensively in the classroom as well as in conference settings. The author of numerous articles in investment journals, Ed is also the author of three books: Chaos and Order in the Capital Markets (Wiley, 1991, 1996), Fractal Market Analysis (Wiley, 1994), and Patterns in the Dark (Wiley, 1999). Ed holds an MBA from Rutgers University.
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