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Benoît B. Mandelbrot
(Benoit B. Mandelbrot)

(deceased)

Personal Details

This person is deceased (Date: 14 Oct 2010)
First Name:Benoit
Middle Name:B.
Last Name:Mandelbrot
Suffix:
RePEc Short-ID:pma1336
http://en.wikipedia.org/wiki/Beno%C3%AEt_Mandelbrot

Research output

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Jump to: Working papers Articles Chapters

Working papers

  1. Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Large Deviation Theory and the Distribution of Price Changes," Working Papers hal-00601869, HAL.
  2. Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Multifractality of US Dollar/Deutsche Mark Exchange Rates," Working Papers hal-00601871, HAL.
  3. Julien Barral & Benoit B. Mandelbrot, 2001. "Multifractal Products of Cylindrical Rules," Cowles Foundation Discussion Papers 1287, Cowles Foundation for Research in Economics, Yale University.
  4. Benoit B. Mandelbrot, 2000. "Cartoons of the Variation of Financial Prices and of Brownian Motions in Multifractal Time," Cowles Foundation Discussion Papers 1256, Cowles Foundation for Research in Economics, Yale University.
  5. Benoit Mandelbrot, 1999. "Survey of Multifractality in Finance," Cowles Foundation Discussion Papers 1238, Cowles Foundation for Research in Economics, Yale University.
  6. Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation for Research in Economics, Yale University.
  7. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
  8. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

Articles

  1. Benoit B. Mandelbrot, 2005. "Parallel cartoons of fractal models of finance," Annals of Finance, Springer, vol. 1(2), pages 179-192, October.
  2. Benoit B. Mandelbrot, 2005. "The inescapable need for fractal tools in finance," Annals of Finance, Springer, vol. 1(2), pages 193-195, October.
  3. J. Asikainen & A. Aharony & B. Mandelbrot & E. Rausch & J.-P. Hovi, 2003. "Fractal geometry of critical Potts clusters," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 34(4), pages 479-487, August.
  4. B. B. Mandelbrot, 2001. "Scaling in financial prices: II. Multifractals and the star equation," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 124-130.
  5. B. B. Mandelbrot, 2001. "Stochastic volatility, power laws and long memory," Quantitative Finance, Taylor & Francis Journals, vol. 1(6), pages 558-559.
  6. B. B. Mandelbrot, 2001. "Scaling in financial prices: III. Cartoon Brownian motions in multifractal time," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 427-440.
  7. B. B. Mandelbrot, 2001. "Scaling in financial prices: I. Tails and dependence," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 113-123.
  8. B. B. Mandelbrot, 2001. "Scaling in financial prices: IV. Multifractal concentration," Quantitative Finance, Taylor & Francis Journals, vol. 1(6), pages 641-649.
  9. Mandelbrot, Benoit B., 1999. "Renormalization and fixed points in finance, since 1962," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 263(1), pages 477-487.
  10. Cioczek-Georges, R. & Mandelbrot, B. B., 1996. "Alternative micropulses and fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 64(2), pages 143-152, November.
  11. Cioczek-Georges, R. & Mandelbrot, B. B., 1995. "A class of micropulses and antipersistent fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 1-18, November.
  12. Evertsz, Carl J.G. & Mandelbrot, Benoit B., 1992. "Self-similarity of harmonic measure on DLA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 185(1), pages 77-86.
  13. Mandelbrot, Benoit B., 1992. "Plane DLA is not self-similar; is it a fractal that becomes increasingly compact as it grows?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 191(1), pages 95-107.
  14. Evertsz, Carl J.G. & Mandelbrot, Benoit B., 1991. "Fractal aggregates, and the current lines of their electrostatic potentials," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 177(1), pages 589-592.
  15. Mandelbrot, Benoit B. & Evertsz, Carl J.G., 1991. "Multifractality of the harmonic measure on fractal aggregates, and extended self-similarity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 177(1), pages 386-393.
  16. Mandelbrot, Benoit B., 1990. "New “anomalous” multiplicative multifractals: Left sided ƒ(α) and the modelling of DLA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 168(1), pages 95-111.
  17. Mandelbrot, Benoit B, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: Comment," Econometrica, Econometric Society, vol. 41(1), pages 157-159, January.
  18. Mandelbrot, Benoit B, 1972. "Correction of an Error in "The Variation of Certain Speculative Prices" (1963)," The Journal of Business, University of Chicago Press, vol. 45(4), pages 542-543, October.
  19. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-236, August.
  20. Mandelbrot, Benoit, 1969. "Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 82-111, February.
  21. Benoit Mandelbrot & Howard M. Taylor, 1967. "On the Distribution of Stock Price Differences," Operations Research, INFORMS, vol. 15(6), pages 1057-1062, December.
  22. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393-393.
  23. Benoit Mandelbrot, 1965. "Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models," The Journal of Business, University of Chicago Press, vol. 39, pages 242-242.
  24. Benoit Mandelbrot, 1964. "Random Walks, Fire Damage Amount and Other Paretian Risk Phenomena," Operations Research, INFORMS, vol. 12(4), pages 582-585, August.
  25. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394-394.
  26. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71(5), pages 421-421.
  27. Benoit Mandelbrot, 1962. "Paretian Distributions and Income Maximization," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 76(1), pages 57-85.

Chapters

  1. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
  2. Benoit B. Mandelbrot, 1972. "Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290, National Bureau of Economic Research, Inc.

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