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Monday, October 03, 2005



Just a heads-uy - Zimran at Winterspeak has a first-hand account from a PhD candidate who attended Barro's lecture there on the topic.


Has anyone checked out Mandelbrot's opinion, founder of fractal geometry? In his book, "The (Mis)Behavior of Market" (2004), he argues (quite convincingly) that the use of Gaussian distribution (normal distribution) in CAPM is not justified. Historical prices rarely if ever converge to a mean; therefore, orthodox calculations of risk and return have been inaccurate. Using Guassian estimations, a catastrophic event would occur once every hundred years (ie drastic price declines fall several deviations from the mean) but, in fact, empirical data shows that the frequency of such "improbable" losses is far greater than predicted. Goeztmann confirms Mandelbrot's assesment via cross country analysis showing that, of 39 countries (mostly developed), only one or arguably two have not experienced a permanent break in the market. "The U.S is the exception, not the rule." Mandelbrot suggests a more accurate probablity distribution.... using fractals. (I will do my best to describe this momentarily)

Aşk mektupları

Thank you for this wonderful article ... really very nice - there are such things
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