Chaos and Order in the Capital Markets

Description

Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today's markets and descriptions of cutting-edge technologies - genetic algorithms, wavelets, complexity theory - and hot innovations, such as fuzzy logic and artificial intelligence. Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in-depth exploration of random walks and efficient markets - the development of the efficient market hypothesis (EMH) and modern portfolio theory; the linear paradigm - why it has failed; nonlinear dynamic systems - phase space, the Henon Map, Lyapunov exponents; applying chaos and nonlinear methods - neural networks, genetic algorithms; dynamical analysis of time series - reconstructing a phase space, the fractal dimension; and Tonis Vaga's Coherent Market Hypothesis - the theory of social imitation, control parameters, Vaga's implementations.