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Multifractal Financial Markets explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity.
- Sales Rank: #3821146 in Books
- Brand: Brand: Springer
- Published on: 2012-07-21
- Released on: 2012-07-21
- Original language: English
- Number of items: 1
- Dimensions: 9.25" h x .35" w x 6.10" l, .50 pounds
- Binding: Paperback
- 128 pages
Features
- Used Book in Good Condition
Review
From the reviews:
“This book introduces an alternative approach to asset and risk management. … it could be useful to those who want to assess recent risk management practices, new trends in the financial industry, and the timeline of the 2007–09 U.S. financial crisis.” (Youngna Choi, Mathematical Reviews, November, 2013)
About the Author
Yasmine Hayek Kobeissi has been working as a financial consultant for large banks and hedge funds since 1995. Her clients have included such well-known institutions as the Europe Arab Bank, Gulf International Bank, and Groupe Société Générale. She obtained her Ph.D. in Finance from Université Paris IX Dauphine, and is a frequent lecturer on Futures & Derivatives at St. Joseph University (Beirut).
Most helpful customer reviews
3 of 3 people found the following review helpful.
A reference manual for finance professionals
By FredP
This is a smart, dense reference manual for finance professionals with a solid academic background in the field. Some parts are difficult to read for an outsider, but even in this case going through to capture the conceptual essence is really worth it. The author summarizes various models of financial markets based on hard science, develops arguments for diversification in strategies and not only in assets, makes a point on versatile hedging tactics, and illustrates her work with an in-depth description of some historical events. If a next edition is planned, an epistemological paragraph would be welcome to point out the limits of probabilistic and determinist models in studying human group behaviours.
3 of 4 people found the following review helpful.
Did we read the same book?
By Amazon Customer
First: I oversee all risk modeling and risk solutions for a multinational bank with trillions of assets on its platforms. Because I build so many different solutions targeted to a diverse client base of asset owners, I appreciate conceptual material that helps me think about risk.
Dr. Hayek's book accomplished this. I had read Mandelbrot when it first came out but hadn't thought about applying it so this book sent me back to Mandelbrot.
More than this, however, some of the insights in the book, including the lines the previous reviewer specifically cited to pan the book, resonated with me and broadened my view. Coherence is a major issue in risk modeling. Some asset classes have specialized characteristics, e.g., asset-backed securities, that make extra demands on a risk model. I appreciate the necessity for strategic views of risk (macro views at the multi-strat level) and more detailed views (micro views at the single strategy level). The author's insights were clear to me and helped me think things through.
Yes, it isn't written quite as precisely as Dr. Hayek thinks (full disclosure: I met her after reading the book and had the benefit of asking her a few questions). It was, however, sufficiently clear to me to benefit me greatly and suggest farther reading.
The fundamental characteristic of markets is that participants need not have the same view. That applies to writings about the financial markets as well. I do appreciate the fact that reviewers take the time to express their views. It helps all of us. My view of this book is radically different.
6 of 8 people found the following review helpful.
Maybe We Wait for the English Translation?
By Redbeard
As I first read through this book, I was excited. Its structure suggests it will be an important extension of Mandelbrot's theories (see The Misbehavior of Markets). Dr. Kobeissi is a quantitative analyst who provides cutting-edge Mandelbrot-type analysis of risk and other investment issues to the big financial firms. And, they love this stuff: Hurst exponent, entropy calculations, extreme value theory, upper partial moments, etc. Many of the sexy, modern buzzwords have their own section.
And then I got down to reading. It's impossible to follow the wandering, fractured syntax. Much of the text reads like a stream of consciousness. Run-on sentences abound. Equations appear in various formats with minimal context. Charts and graphs of price time series are said to "show" things that they don't show at all. Key factors are discussed only in theory: we are told why extreme value theory is popular, but we never see it in action. The reader gets no insights into how to calculate any of this stuff, let alone how to interpret it.
Let me give you a quote: "Develop two risk interfaces, one at the strategic level and the other at the detailed level and think in terms of discrete changes attaining critical levels. In a sense, the devil is always in the details, so watch out not to override your strategic model because of ever changing details."
I'm left wondering: does she really understand this stuff? Is she actually a mathematical innovator who is giving us a rare glimpse into modern finance? Or is she just parroting some equation-strewn BS point paper intended to sell an intentionally opaque concept to a busy trading house executive.
See all 3 customer reviews...
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