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I analyzed more than a century of data on U. The results were clear and irrefutable. Far from being well-behaved and normal as the standard theory then predicted, cotton prices jumped wildly around. Their variance, rather than holding steady as expected, gyrated a hundred-fold and never settled down to a constant value.

In the world of financial theory, that was a bombshell. He recounts visiting a fellow academic at Harvard in who has been studying cotton prices for years.. I try to measure the volatility. It changes all the time. Everything changes. Nothing is constant. I would take over the cotton prices. He handed me cardboard boxes of computer punch-card, to which the prices had been transferred. If I could make sense of them, good luck. Remember the standard models.

If cotton price-changes fit the standard theory, they would be like grains of sand in a heap; somewhat different sizes, but all sand grains, nonetheless. Some days, cotton prices hardly budged from the previous close: those are small sand grains. Other days, the prices leaped a few percentage points; those are the boulders. Some days there was no news in the market: quiet prices, sand grains again.

Other days — perhaps word of a drought in Missouri finally reached New York — the news was big: wild price moves, statistical boulders. Together, all this news big and small, all these price changes big and small, mix together in the crucible of a marketplace.

And so it was oddly fitting that Mandelbrot passed away on the very day cotton prices hit an all-time daily high.

The day after, prices jumped and then fell precipitously and trading curbs kicked in. Theories abound about why your cotton underwear is about to become a lot more expensive. But we know the truth…Cotton-traders, your homage to Mandelbrot is much appreciated. Regular readers are familiar with a line of hedge fund research that examines the odd lack of very small monthly losses in hedge fund data example.

We also wondered about the source of this non-normal occurrence and suspected that certain manager discretion over valuations may have indeed played as role. Yet, check out the dearth of. Maybe hedge fund managers and major baseball players share more in common than exorbitant salaries. Maybe they both get an extra burst of energy from the thought of just missing the mark. Or maybe they just know when to add a bit of cork….

Click here to cancel reply. Name required Email required Website. What About Beta? Or maybe they just know when to add a bit of cork… Be Sociable, Share!

Leave A Reply Click here to cancel reply. Name required Email required Website Comment. Conflicting pension fund studies? One: "Small is beautiful. Newly Added What about beta? All Rights Reserved. User ID. Remember Me. Forgot ID or password? Having trouble logging in? Get in touch.


Guide to the Benoit Mandelbrot Papers M1857

Benoit B. In , while he was a child, Mandelbrot's family emigrated to France from Warsaw , Poland. After World War II ended, Mandelbrot studied mathematics, graduating from universities in Paris and the United States and receiving a master's degree in aeronautics from the California Institute of Technology. He spent most of his career in both the United States and France, having dual French and American citizenship. At Harvard, following the publication of his study of U. Because of his access to IBM's computers, Mandelbrot was one of the first to use computer graphics to create and display fractal geometric images, leading to his discovery of the Mandelbrot set in


Cotton’s homage to Mandelbrot (and another weird statistic)

Alejandro Nadal. Lightning in the sky does not follow a straight line. Neither the straight lines, nor the smooth curves of that geometry exist in nature. But after the wonderful work of Benoit Mandelbrot it is now possible to get closer to a theory of the manifold wrinkles and rough surfaces that are the stuff of our universe. And our economies. Ten days ago this great mathematician, the creator of fractal geometry and other wonders closely related to chaos theory, passed away. The word fractal , coined by Mandelbrot, denotes a logical semi-geometric figure that can be divided as many times as desired and every time you zoom in on these smaller fractions you end up looking at a replica of the original figure.


Benoit Mandelbrot




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