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Details about Benoît B. Mandelbrot

This author is deceased (2010-10-14).

Access statistics for papers by Benoît B. Mandelbrot.

Last updated 2019-11-05. Update your information in the RePEc Author Service.

Short-id: pma1336


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Working Papers

2011

  1. A Multifractal Model of Asset Returns
    Working Papers, HAL
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (8)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) Downloads View citations (75)
  2. Large Deviation Theory and the Distribution of Price Changes
    Working Papers, HAL
  3. Multifractality of US Dollar/Deutsche Mark Exchange Rates
    Working Papers, HAL

2001

  1. Multifractal Products of Cylindrical Rules
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2000

  1. Cartoons of the Variation of Financial Prices and of Brownian Motions in Multifractal Time
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

1999

  1. Survey of Multifractality in Finance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)

1997

  1. Large Deviations and the Distribution of Price Changes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (22)
  2. Multifractality of Deutschemark/US Dollar Exchange Rates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (33)

Journal Articles

2005

  1. Parallel cartoons of fractal models of finance
    Annals of Finance, 2005, 1, (2), 179-192 Downloads View citations (4)
  2. The inescapable need for fractal tools in finance
    Annals of Finance, 2005, 1, (2), 193-195 Downloads View citations (1)

2003

  1. Fractal geometry of critical Potts clusters
    The European Physical Journal B: Condensed Matter and Complex Systems, 2003, 34, (4), 479-487 Downloads View citations (1)

2001

  1. Scaling in financial prices: I. Tails and dependence
    Quantitative Finance, 2001, 1, (1), 113-123 Downloads View citations (10)
  2. Scaling in financial prices: II. Multifractals and the star equation
    Quantitative Finance, 2001, 1, (1), 124-130 Downloads View citations (5)
  3. Scaling in financial prices: III. Cartoon Brownian motions in multifractal time
    Quantitative Finance, 2001, 1, (4), 427-440 Downloads View citations (9)
  4. Scaling in financial prices: IV. Multifractal concentration
    Quantitative Finance, 2001, 1, (6), 641-649 Downloads View citations (5)
  5. Stochastic volatility, power laws and long memory
    Quantitative Finance, 2001, 1, (6), 558-559 Downloads View citations (20)

1999

  1. Renormalization and fixed points in finance, since 1962
    Physica A: Statistical Mechanics and its Applications, 1999, 263, (1), 477-487 Downloads View citations (3)

1996

  1. Alternative micropulses and fractional Brownian motion
    Stochastic Processes and their Applications, 1996, 64, (2), 143-152 Downloads View citations (4)

1995

  1. A class of micropulses and antipersistent fractional Brownian motion
    Stochastic Processes and their Applications, 1995, 60, (1), 1-18 Downloads View citations (19)

1992

  1. Plane DLA is not self-similar; is it a fractal that becomes increasingly compact as it grows?
    Physica A: Statistical Mechanics and its Applications, 1992, 191, (1), 95-107 Downloads
  2. Self-similarity of harmonic measure on DLA
    Physica A: Statistical Mechanics and its Applications, 1992, 185, (1), 77-86 Downloads View citations (1)

1991

  1. Fractal aggregates, and the current lines of their electrostatic potentials
    Physica A: Statistical Mechanics and its Applications, 1991, 177, (1), 589-592 Downloads
  2. Multifractality of the harmonic measure on fractal aggregates, and extended self-similarity
    Physica A: Statistical Mechanics and its Applications, 1991, 177, (1), 386-393 Downloads

1990

  1. New “anomalous” multiplicative multifractals: Left sided ƒ(α) and the modelling of DLA
    Physica A: Statistical Mechanics and its Applications, 1990, 168, (1), 95-111 Downloads View citations (2)

1973

  1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: Comment
    Econometrica, 1973, 41, (1), 157-59 Downloads View citations (12)

1972

  1. Correction of an Error in "The Variation of Certain Speculative Prices" (1963)
    The Journal of Business, 1972, 45, (4), 542-43 Downloads View citations (2)

1971

  1. When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models
    The Review of Economics and Statistics, 1971, 53, (3), 225-36 Downloads View citations (100)

1969

  1. Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
    International Economic Review, 1969, 10, (1), 82-111 Downloads View citations (15)

1967

  1. On the Distribution of Stock Price Differences
    Operations Research, 1967, 15, (6), 1057-1062 Downloads View citations (44)
  2. The Variation of Some Other Speculative Prices
    The Journal of Business, 1967, 40, 393 Downloads View citations (87)

1965

  1. Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models
    The Journal of Business, 1965, 39, 242 Downloads View citations (5)

1964

  1. Random Walks, Fire Damage Amount and Other Paretian Risk Phenomena
    Operations Research, 1964, 12, (4), 582-585 Downloads

1963

  1. New Methods in Statistical Economics
    Journal of Political Economy, 1963, 71, 421 Downloads View citations (121)
  2. The Variation of Certain Speculative Prices
    The Journal of Business, 1963, 36, 394 Downloads View citations (1350)
    See also Chapter (2015)

1962

  1. Paretian Distributions and Income Maximization
    The Quarterly Journal of Economics, 1962, 76, (1), 57-85 Downloads View citations (15)

Chapters

2015

  1. The Variation of Certain Speculative Prices
    Chapter 3 in THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, 2015, pp 39-78 Downloads
    See also Journal Article in The Journal of Business (1963)

1972

  1. Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis
    A chapter in Annals of Economic and Social Measurement, Volume 1, number 3, 1972, pp 259-290 Downloads View citations (95)
 
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