Benoit B. MANDELBROT

 

Vita, Awards, and Publications

Books by BBM

Chronicles

Scrapbooks of Reviews

Links

 

 

 

Benoit Mandelbrot

RECENT PUBLICATIONS

VIRTUAL SELECTA

 

 

 

 

This open-ended webbook will be extended
as needs and opportunities arise.
It consists in links to the
author’s recent publications that
are found in this home site
http://www.math.yale.edu/mandelbrot


TABLE OF CONTENTS

 

148

M 1995h. Introduction to fractal sums of pulses. Lévy Flights and Related Phenomena in Physics (Nice, 1994). Edited by Michael F. Shelsinger, George Zaslawsky, & Uriel Frisch.
(Lecture Notes in Physics: 450.) New York: Springer, 110-123

• WWW. Updated version. Fracal sums of pulses and a practical challenge to the distinction between local and global dependence. Long Range Dependent Stochastic Processes: Theory and Applications (Bengalor, India, 2002). Edited by Govindan Rangarajan & Ming Ding. (Lecture Notes in Physics: 621.) New York: Springer, 2003, 118-135.

 

 

164

WWW M. & P. M, Laurent CALVET, & Adlai FISHER 1997. The multifractal model of asset returns. Cowles Foundation Discussion Papers: 1164.
[ PDF (1.52 MB) ]

 

 

165

WWW M. & P. Laurent CALVET, Adlai FISHER, & M 1997. Large deviations and the distribution of price changes. Cowles Foundation Discussion Papers: 1165.
[ PDF (327 KB) ]

 

 

166

WWW M. & P. Adlai FISHER, Laurent CALVET, & M 1997. Multifractality of the Deutschmark/US Dollar exchange rates. Cowles Foundation Discussion Papers: 1166.
[ PDF (311 KB) ]

 

 

 

WWW. Les inattendus des fractales. Pour la Science: 234, April, 1997, 10-12.
[ doc (54 KB) ]

 

 

170

WWW M. & R. Marc-Olivier COPPENS & M 1999. Easy and natural generation of multifractals: multiplying harmonics of periodic functions. Fractals in Engineering (Delft, 1999). Edited by Jacques Lévy-Véhel, Evelyne Lutton, & Claude Tricot. New York: Springer, 113-122.
[ PDF (207.5 KB) ]

 

 

169

WWW P. M 1999p. Renormalization and fixed points in finance, since 1962. Statistical Physics 20, International IUPAP Conference (Paris, 1998). Edited by D. Iagolnitzer. Physica: A263, 1999, 477-487.
[ PDF (4.50 MB) ]

 

 

 

WWW. The Encyclopedia of Physical Science and Technology, in Fifteen Volumes (San Diego CA: Academic). Fractals, First edition (1987): 5, 579-593. Third edition (2001): (M & M.L. Frame), 6, 185-208.
[ PDF (1.03 MB) ]

 

 

172

WWW M & P. M 2001a. Scaling in financial prices, I: Tails and dependence. Quantitative Finance: 1, 113-123.
[ PDF (261 KB) ]

• Reprint: Beyond Efficiency and Equilibrium. Edited by Doyne Farmer & John Geanakoplos, Oxford UK: The University Press, 2004.

 

 

173

WWW M & P. M 2001b. Scaling in financial prices, II: Multifractals and the star equation. Quantitative Finance: 1, 124-130.
[ PDF (108 KB) ]

• Reprint: Beyond Efficiency and Equilibrium. Edited by Doyne Farmer & John Geanakoplos, Oxford UK: The University Press, 2004.

 

 

174

WWW K, M & P. M 2001c. Scaling in financial prices, III: Cartoon Brownian motions in multifractal time. Quantitative Finance: 1, 427-440.
[ PDF (224 KB) ]

 

 

175

WWW K, M & P. M 2001d. Scaling in financial prices, IV: Multifractal concentration. Quantitative Finance: 1, 641-649.
[ PDF (205 KB) ]

 

 

176

WWW M & P. M 2001e. Stochastic volatility, power-laws and long memory. Quantitative Finance: 1, 558-559.

 

 

177

WWW. M, Boaz KOL & Amnon AHARONY 2002. Angular gaps in radial diffusion-limited aggregation: fractal dimensions and nontransient deviations from linear self-similiarity. Physical Review Letters: 88, 055501-1-4.
[ PDF (173.6 KB) ]

 

 

178

WWW M. Julien BARRAL & M 2002. Multifractal products of cylindrical pulses. Probability Theory and Related Fields: 124, 409-430.
[ PDF (199.9 KB) ]

 

 

179

WWW M. M 2003f. Multifractal power-law distributions, other “anomalies,” and critical dimensions, explained by a simple example. Journal of Statistical Physics: 110, 739-777.
[ PDF (451 KB) ]

 

 

180

WWW P. M 2003r. Heavy tails in finance for independent or multifractal price increments. Handbook on Heavy Tailed Distributions in Finance. Edited by Svetlozar T. Rachev (Handbooks in Finance: 30, Senior Editor: William T. Ziemba): 1, 1-34.
[ PDF (295.1 KB) ]

 

 

181

WWW. J. ASIKAINEN, Amnon AHARONY, M, Erik RAUSCH, & Juha-Pekka HOVI 2003. Fractal geometry of critical Potts clusters. European Physical Journal: B34 (4), 479-487.
[ PDF (703 KB) ]

 

 

182

Julien BARRAL, Marc-Olivier COPPENS, & M 2003. Multiperiodic multifractal martingale measures. Journal des mathématiques pures et appliquées: 82, 1555-1589.
[ PDF (1.01 MB) ]

 

 

183

Julien BARRAL & M 2004a. Introduction to multifractal products of independent random functions: Fractal Geometry and Applications: A Jubilee of Benoit Mandelbrot. Edited by Michel L. Lapidus & Machiel van Frankenhuijsen (Proceedings of Symposia on Pure Mathematics: 72, Part 2: Multifractals, Probability and Statistical Mechancis, Applications.) Providence RI: American Mathematical Society, 3-16.
[ PDF (316 KB) ]


Julien BARRAL & M 2004a. Non-degeneracy, Moments, Dimension, and Multifractal Analysis for Random Multiplicative Measures: Fractal Geometry and Applications: A Jubilee of Benoit Mandelbrot. Edited by Michel L. Lapidus & Machiel van Frankenhuijsen (Proceedings of Symposia on Pure Mathematics: 72, Part 2: Multifractals, Probability and Statistical Mechancis, Applications.) Providence RI: American Mathematical Society, 17-52.
[ PDF (508 KB) ]


Julien BARRAL & M 2004a. Techniques for the Study of Infinite Products of Independent Random Functions: Fractal Geometry and Applications: A Jubilee of Benoit Mandelbrot. Edited by Michel L. Lapidus & Machiel van Frankenhuijsen (Proceedings of Symposia on Pure Mathematics: 72, Part 2: Multifractals, Probability and Statistical Mechancis, Applications.) Providence RI: American Mathematical Society, 53-90.
[ PDF (499 KB) ]

 

185

Parallel cartoons of fractal models in finance. Annals of Finance: 1, 179-192.
[ PDF (230 KB) ]

 

186

The inescapable need for fractal tools in finance. Annals of Finance: 2, 193-195.
[ PDF (82 KB) ]

 

187

M & Michael FRAME 2007a. A primer of negative test dimensions and degrees of emptiness of latent sets.  Submitted to American Mathematical Monthly.
[ PDF (523 KB)]

 

188

Julien Barral & M. 2007 Bilateral canonical cascades: multiplicative refinement paths to Wiener’s and variant fractional Brownian limits. Submitted to Annals of Probability. arXiv:math.PR0702644v1 22-2-07