Fractals and Scaling In Finance: Discontinuity, Concentration, Risk

By Benoit B. Mandelbrot. 2010

456 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/81fd15746e363b06b0862d37120394f6aa876ae4

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In Economics and Econometrics

Citations in the corpus

A Tail-Index Analysis of Stochastic Gradient Noise in Deep Neural Networks (2019, background): “, 1995), oceanic fluid flows (Woyczyński, 2001), finance (Mandelbrot, 2013), biological evolution (Jourdain et al.”
Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series (2011, background): “The search for scaling behaviors in financial markets is nowadays a very rich discipline [1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11] where the growing amount of empirical data is continuously advancing the understanding of markets behaviors.”
Unravelling the Trading Invariance Hypothesis (2016, unknown): “He was the first to propose the idea of scaling in this context [2], a concept that in fact blossomed in statistical physics before getting acceptance in economics and finance (for a review, see [3]).”
Modelling skewness and kurtosis with the BCPE density in GAMLSS (2012, background): “This class of distributions was defined by Mandelbrot 14 .”
Continuous cascade models for asset returns (2008, methodology): “They have been first used in empirical finance by Calvet, Fisher and Mandelbrot [7] [8] [9].”
Lessons from "a first-principles approach to understanding the internet's router-level topology" (2019, background): “Mandelbrot [36] that suggest that power-law (or more accurately, scaling) distributions should be no more suprising than Gaussians when dealing with high variance data [35].”
Portfolio diversification and value at risk under thick-tailedness (2009, unknown): “This stream of literature goes back to Mandelbrot (1963) (see also the papers in Mandelbrot 1997 and Fama 1965b), who pioneered the study of heavy-tailed distributions with tails declining as x , 40, in these fields.”