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SCRAPBOOK OF “SELECTA” BOOKS FOREWORDS REVIEWS
Benoit B. Mandelbrot
September 29, 2006
THIS FILE IS IN FIVE PARTS,
EACH DEVOTED TO ONE OF THE FOLLOWING BOOKS
SE Fractals and Scaling in Finance: Discontinuity, Concentration, Risk.
New York: Springer, 1997, x+551pp.
SFE Fractales, hasard et finance (1959 - 1997).
Paris: Flammarion (Collection Champs), 1997, 246pp.
SN Multifractals and 1/f Noise : Wild Self-affinity in Physics.
New York: Springer. 1999, viii + 442 pp.
SH Gaussian Self-Affinity and Fractals: Globality, the Earth, 1/f, and R/S.
New York: Springer. 2002, ix + 654 pp.
SC Fractals and Chaos: the Mandelbrot Set and Beyond.
New York: Springer. 2004, xii + 308 pp.
FRACTALS AND SCALING IN FINANCE
Foreword by Ralph E. Gomory
(President, Sloan Foundation)
In 1959-61, while the huge Saarinen-designed research laboratory at Yorktown Heights was being built, much of IBMs Research was housed nearby. My group occupied one of the many little houses on the Lamb Estate complex which had been a sanatorium housing wealthy alcoholics.
Even in a Lamb Estate populated exclusively with bright research-oriented people, Benoit always stood out. His thinking was always fresh, and I enjoyed talking with him about any subject, whether technical, political, or historical. He introduced me to the idea that distributions having infinite second moments could be more than a mathematical curiosity an a source of counter-examples.
This was a foretaste of the line of thought that eventually led to fractals and to the notion that major pieces of the physical world could be, and in fact could only be, modeled by distributions and sets that had fractional dimensions. Usually these distributions and sets were known to mathematicians, as they were known to me, as curiosities and counter-intuitive examples used to show graduate students the need for rigor in their proofs.
I can remember hearing Benoit assert that day-to-day changes of stock prices
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