Multifractal Financial Markets : An Alternative Approach to Asset and Risk Management

by Yasmine Hayek Kobeissi

Multifractal Financial Markets explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity

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Year of publication:	2013
Authors:	Hayek Kobeissi, Yasmine
Publisher:	New York, NY : Springer
Subject:	Portfolio-Management \| Portfolio selection \| Finanzanalyse \| Financial analysis \| Theorie \| Theory \| Wirtschaftsmathematik
Description of contents:	Turbulence in the Financial Markets -- The Noisy Chaos Hypothesis -- The Mind Process -- Cycles -- Trading Multifractal Markets -- The Latest Normal Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

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Extent:	Online-Ressource (digital)
Series:	SpringerBriefs in Finance SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Multifractal Financial Markets; Preface: Pursuit of Certainty is Vain and Risky; Acknowledgments; Introduction; Figures, Diagrams and Tables; Contents; 1 Turbulence in the Financial Markets; Abstract; 1.1…(Mis)Behavior of Markets; 1.1.1 Heterogeneous Assimilation of Information; 1.1.2 Correlated Investments Horizons Time; 1.1.3 Cyclical Markets, Economies, and Human Nature; 1.2…Fractal Geometry in the Context of ''Roughness''; 1.2.1 Fractals; 1.2.2 Fractal Geometry; 1.3…Multifractal Properties in Finance; 1.3.1 Long-Term Memory Dependence and Extreme Changes 3.1.1 Stress Triggers and Intuition3.1.2 Relative Sense of TimeRelative Sense of Time; 3.1.3 Mind Gap; 3.2…Heuristics; 3.2.1 Representativeness; 3.2.1.1 Overconfidence Heuristic; 3.2.1.2 Valuation HeuristicHeuristicValuation Heuristic; 3.2.2 Availability HeuristicHeuristicAvailability Heuristic; 3.2.3 Anchoring and AdjustmentHeuristicAnchoring and Adjustment; 3.2.4 Framing Effect; 3.3…Multiple Heterogeneous Benchmark Utility FunctionsutilityMultiple Heterogeneous Benchmark Utility Functions; 3.4…Fuzzy Logic and BayesBayesrsquor Theorem; 3.4.1 Fuzzy LogicFuzzy logic 3.4.2 BayesBayesrsquor TheoremA.1. Appendix A: NASDAQ100 (2000--2001)Appendix: NASDAQ100 (2000--2001); 4 Macrostates Indicators; Abstract; 4.1…Delayed Response Mechanism; 4.2…Equity Market Indices, Consumer ConfidenceConsumer Confidence, and UnemploymentUnemployment; 4.3…Leverage and Market LiquidityLiquidity; 4.4…Socio-Economic and Other Key Indicators; 4.4.1 Society IndicatorSociety Indicator; 4.4.2 Other Key Indicators; 5 Trading Multifractal Markets; Abstract; 5.1…Strategies Diversification; 5.1.1 Directional Strategies; 5.1.2 Market Speed Strategies 5.2…Tail RiskTail Risk Hedging: Valuing Risks and Investing in Hedges5.2.1 The Conditional Value at Risk (CvaR) and the Extreme Value Theory; 5.2.2 Risk TaxonomyRisk Taxonomy and Risk CascadeRiskRisk Cascade Stress TestsStress Tests; 5.2.3 Tail Risk ManagementTail Risk Management; 5.3…Systematic Control and Offensive Approach; A.0. Appendix B: Equities Valuation (Hayek 2010) Appendix B: Equities Valuation (Hayek 2010); A.0.0 Financial Strength and Credit Rating; A.0.0 The Fundamental Convergent PriceFundamental Convergent Price; A.0.0 The Fundamental Value A.0.0 Market Premium/Discount and Limits of Technical Analysis 1.3.2 Multiscaling (The Power Law Dynamics)1.3.3 Pareto-Lévy Distributions; 1.3.4 The Hurst Exponent: The Index of Long-Range Dependence; 1.3.5 Multifractal Model of Asset Returns; 2 The ''Noisy Chaos'' Hypothesis; Abstract; 2.1…Financial Systems at the Edge of Chaos; 2.2…Constrained and Optimal Entropy Model in Noisy Information Systems; 2.2.1 Instability at n [Milliseconds; Days] and High Frequency Trading; 2.2.2 Lévy-Stable Process; 2.2.3 Bifurcation Entropy Process; 2.2.4 The System Learns, Changes, and Converges; 3 The Mind Process; Abstract; 3.1…On Mind Time: The Sixth Sense of Time
ISBN:	978-1-4614-4490-9 ; 978-1-4614-4489-3
Other identifiers:	10.1007/978-1-4614-4490-9 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014016113