Benoît Mandelbrot, critic of the EMH has died

cyberianpan

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Benoît Mandelbrot died Thursday

http://www.nytimes.com/2010/10/17/us/17mandelbrot.html?_r=1

He was a polymath mathematician, with work both in pure mathematics as well as economics and finance
Over nearly seven decades, working with dozens of scientists, Dr. Mandelbrot contributed to the fields of geology, medicine, cosmology and engineering. He used the geometry of fractals to explain how galaxies cluster, how wheat prices change over time and how mammalian brains fold as they grow, among other phenomena.
Decades ago he was regarded as a kook for decrying the Efficient Markets Hypothesis, as well as disproving it via formal abstract analysis , he also disproved it via empirical work.

Here's what Taleb had to say about his book "The (Mis)behavior of Markets ":

“The deepest and most realistic finance book ever published.”
-Nassim Nicholas Taleb

Here is a 2009 interview with him on the EMH
Sep 30: Why 'efficient markets' collapse - markets - FT.com

The best tribute to him, would be if the EMH died with him

cYp
 


CarnivalOfAction

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Benoît Mandelbrot died Thursday

http://www.nytimes.com/2010/10/17/us/17mandelbrot.html?_r=1

He was a polymath mathematician, with work both in pure mathematics as well as economics and finance


Decades ago he was regarded as a kook for decrying the Efficient Markets Hypothesis, as well as disproving it via formal abstract analysis , he also disproved it via empirical work.

Here's what Taleb had to say about his book "The (Mis)behavior of Markets ":

“The deepest and most realistic finance book ever published.”
-Nassim Nicholas Taleb

Here is a 2009 interview with him on the EMH
Sep 30: Why 'efficient markets' collapse - markets - FT.com

The best tribute to him, would be if the EMH died with him

cYp
Didn't know he was into so many areas. Tried to use his fractals to code images many years ago but didn't work out; however, JPEG2K seems to use something similar. Fractals make nice pics tho:
Patterns of Visual Math - Fractals in Nature
 

CarnivalOfAction

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Didn't know he was into so many areas. Tried to use his fractals to code images many years ago but didn't work out; however, JPEG2K seems to use something similar. Fractals make nice pics tho:
Patterns of Visual Math - Fractals in Nature
Just started reading that review of his book, incl:
"With his fractal tools, Mandelbrot has gotten to the bottom of how financial markets really work, and in doing so, he describes the volatile, dangerous (and strangely beautiful) properties that financial experts have never before accounted for. The result is no less than the foundation for a new science of finance."
Amazon.com: The (Mis)behavior of Markets (9780465043552): Benoit Mandelbrot, Richard L. Hudson: Books: Reviews, Prices & more

Jays, Damien Dempsey predicted the burst of the bubble in 2004; this geezer did it 40 years ago. Pity no-one told the maFFia when they were sneering at "economic illiterates".
 

ibis

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An extraordinary man - RIP.
 

hmmm

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If any of these mathematical methods had a practical application that worked it would be used right now by every quant hedge fund. The main one that is used is the EMH.

How's that hedge fund of Talebs working out? Still waiting for that hyperinflation to hit.
 

Cassandra Syndrome

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A great man, covering many areas. My personal favourite fractal is the one that looks like a pig.



He had notable influences in Behavioural Economics. His mathematical modeling was useful in conveying the many anomolies that occur as Neoclassical economics attempt to minimise irrationalirt when the derive their own models under the assumption that al humans are rational.

He was a Genius.

RIP

PS - Was it Mandelbrot that proved that the length of an entire coastline of an island is infinite?
 

Panopticon

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The best tribute to him, would be if the EMH died with him

cYp
cYp, how much have you made by betting against the EMH? Alternatively, how much more has Taleb made than if he used the EMH. If zero or less, then revert to EMH.
 

ibis

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If any of these mathematical methods had a practical application that worked it would be used right now by every quant hedge fund. The main one that is used is the EMH.
All sorts of approximations are used in all sorts of systems because they're mathematically easier to work with than the reality. That doesn't make them real - it just means they're handy 99% of the time. The other 1% of the time, relying on them gets you bridge failures, financial collapses, heart attacks, dam blowouts and a variety of other catastrophes, because the handy linear approximation only works for non-catastrophic situations.
 

Kalan

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Ideology lives

EMH will survive because neither logic nor empiricism nor the current economic debacle can defeat ideology.
 


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