The Black Swan: The Impact of the Highly Improbable · chapter 8 · id the-black-swan-c8-06-mandelbrot-proposed-that-finan
“Mandelbrot proposed that financial markets exhibit fractal properties: price movements show self-similarity across time scales, meaning the statistical pattern of daily returns looks similar to monthly or yearly returns, with the same fat-tailed character at every scale.”
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Mandelbrot and Fama: The Emergence of Econophysicssource alive
Mandelbrot found that price movements exhibited patterns indifferent to scale: the curve described by price changes for a single day was similar to a month's curve. These patterns of self-similarity were present during the entire period 1900-1960.
Cont (2024), 'Benoit Mandelbrot in Finance', HAL Archivessource alive
Mandelbrot's multifractal model of financial markets captures both the fat-tailed returns and the long-range dependence (volatility clustering) observed in empirical data.
Mandelbrot (2001), 'Scaling in Financial Prices', Yalecheck errored · retry queued
Financial price changes exhibit scaling behavior across time scales. Wild prices, fat tails, and long-term memory effects led Mandelbrot to view financial series as fractal series with self-similar statistical properties.
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