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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
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148
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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
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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.
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164
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WWW M. & P.
M, Laurent CALVET, & Adlai FISHER 1997. The multifractal model of asset
returns. Cowles Foundation Discussion
Papers: 1164.
[ PDF (1.52 MB) ]
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165
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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) ]
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166
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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) ]
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WWW.
Les inattendus
des fractales. Pour la Science: 234, April, 1997, 10-12.
[ doc (54 KB) ]
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170
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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) ]
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169
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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) ]
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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) ]
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172
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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.
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173
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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.
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174
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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) ]
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175
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WWW K, M & P.
M 2001d. Scaling in financial prices, IV: Multifractal concentration. Quantitative Finance: 1, 641-649.
[ PDF (205 KB) ]
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176
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WWW M & P.
M 2001e. Stochastic volatility, power-laws and long memory. Quantitative Finance: 1, 558-559.
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177
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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) ]
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178
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WWW M. Julien BARRAL & M 2002. Multifractal products of
cylindrical pulses. Probability
Theory and Related Fields: 124, 409-430.
[ PDF (199.9 KB) ]
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179
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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) ]
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180
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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) ]
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181
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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) ]
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182
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Julien BARRAL, Marc-Olivier COPPENS, & M 2003. Multiperiodic multifractal martingale measures. Journal
des mathématiques pures et appliquées: 82, 1555-1589.
[ PDF (1.01 MB) ]
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183
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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) ]
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185
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Parallel cartoons of fractal models in finance.
Annals of Finance: 1, 179-192.
[ PDF (230 KB) ]
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186
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The inescapable need for fractal tools in
finance. Annals of Finance: 2, 193-195.
[ PDF (82 KB) ]
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187
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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)]
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188
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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
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