fractals – An Autonomous Agent

The Misbehavior of Markets: A Fractal View of Financial Turbulence – Benoit Mandelbrot

anautonomousagent — Wed, 27 Aug 2014 23:45:00 +0000

I’ve been wanting to read The Misbehavior of Markets: A Fractal View of Financial Turbulence by Benoit Mandelbrot for a number of years. Mandelbrot helped to change the way people view financial market dynamics. This book is definitely a must read for people working in the financial industry. However, Mandelbrot was not the first. It is a little surprising that Mandelbrot did not talk in detail about the work of R.N. Elliott or Robert Prechter, among others, which I think complement Mandelbrot’s work on financial fractals. Patrick Harris wrote a short paper discussing whether Mandelbrot should have cited Elliott (link to paper).

To me, the idea of infinite memory processes is one of the most important concepts touched on by Mandelbrot in this book. It suggests that economists and traders should be developing models and theories which value the importance of price series and data going back decades. And it makes sense to me that people and prices do not change their fundamental behavior over extended periods of technological evolution. However, I suspect that organisms do change their fundamental behavior if the time horizon is thousands or millions of years. I am very curious to read more about Hurst’s studies of the Nile.

The Elliott Wave Principle

anautonomousagent — Sun, 03 Nov 2013 14:36:00 +0000

In the financial industry many models are based on Geometric Brownian Motion. However, these models tend to be inadequate and breakdown when the assumptions are violated. Searching for better stochastic models to model the market, I recently ran across an interesting topic in the field of market prediction and structure — the ideas of Ralph Nelson Elliott. It is remarkable that his ideas of market waves and structure were formulated in the 1930’s. His ideas were popularized by Robert Prechter who has numerous books and articles written on the subject. In this post I have introduced these ideas and will post all the articles and books I have and will read on this subject. I hope to develop these ideas further.

Books:

Harmonic Elliott Wave: The Case for Modification of R. N. Elliott’s Impulsive Wave Structure – Ian Copsey

Mastering Elliott Wave Principle: Elementary Concepts, Wave Patterns, and Practice Exercises – Constance Brown

Elliott Wave Principle: Key to Market Behavior

The Wave Principle of Human Social Behavior and the New Science of Socionomics

Articles:

An Introduction to the Elliott Wave Principle – Jordan Kotick

Multi-classifier based on Elliott wave’s recognition

Fuzzy time-series based on Fibonacci sequence for stock price forecasting

Elliott Wave Theory and neuro-fuzzy systems, in stock market prediction: The WASP system

Unconscious Herding Behavior as the Psychological Basis of Financial Market Trends and Patterns

Videos:

Mastering Elliott Wave – Jamie Saettele

Big Think Lectures and Interviews

anautonomousagent — Sun, 19 May 2013 00:09:00 +0000

Steven Pinker talking about how language helps scientists understand cognition.
Steven Pinker: Linguistics as a Window to Understand the Brain

Nicholas Christakis talks about important revolutions in understanding the social sciences.
Nicholas Christakis: The Sociological Science Behind Social Networks and Social Influence

Benoit Mandelbrot interview, talking about fractals.
Big Think Interview with Benoit Mandelbrot

Richard Dawkins interview, talking about evolution and other related topics.
Richard Dawkins – Evolutionary Biologist – Big Think – discussing a multitude of scientific topics

First time I have heard about Stewart Brand; really smart and wise guy.
Big Think Interview With Stewart Brand

Why Stock Markets Crash – Didier Sornette

anautonomousagent — Tue, 01 Jan 2013 21:50:00 +0000

Why Stock Markets Crash by Didier Sornette could be one of the most creative and unique scientific approaches to understanding the stock market I have read. The approach lies in complexity theory and involves identifying properties of critical self-organizing systems. I highly recommend this book for any reader interested in complexity theory, self-organization, and financial markets.

Hofstadter’s Butterfly

anautonomousagent — Tue, 01 Jan 2013 21:08:00 +0000

Hofstadter’s Butterfly, what a beautiful self-repeating pattern! Discovered by Douglas Hofstadter.

Credit

Infinity Imagined

anautonomousagent — Sun, 30 Dec 2012 05:44:00 +0000

Possibly my favorite website: Infinity Imagined. The pictures and themes posted are incredibly beautiful and insightful. Pictures range from the entire universe to the inside of an atom; from animal cells to river deltas; fractals; physics biology, and chemistry – all portrayed in images.