Newsletter: The Fractal Market Hypothesis, the Infinite Variance Syndrome and the Nature of Risk
Markowitz and Mandelbrot were both right. Previously unpublished research.
Topic
Fractal Market Hypothesis
A collection of 38 issues
Blog: Implied Vols may be losing their power
In the Market Uncertainty State Indicator (MUSI), I use implied volatility indices to measure equity risk, and an additional one for liquidity risk. They are the S&P VIX, the EuroStoxx VSTOXX, and the Oil OVX. For liquidity I combine these with the MOVE index, a measure of US
Blog: Recognition for Dr. Harry Markowitz - the Founder of Quantitative Finance.
Harry Markowitz was not just the father of Modern Portfolio Theory.
Blog: Is the Fed truly "Anchoring" Inflation Expectations?
"Well anchored" inflation expectations to the 2% target are another Fed pipe dream particularly if viewed using the Fractal Market Hypothesis.
Blog: The VIX-One of these things is not like the others . . .
The VIX diverges from fundamental risks, for now.
Newsletter: Fuzzy Sets and AI - Measuring Market Uncertainty
As complexity rises, precise statements lose meaning and meaningful statements lose precision. - The Law of Incompatibility, Lofti Zadeh
In this month’s newsletter, I’m discussing the use of fuzzy set principals embedded in the Market Climatology model. Fuzzy sets are a sub-set of artificial intelligence (AI) that mimics
Blog: This year's Debt Limit Crisis is different, to markets.
Will this debt limit crisis lead to a bout of "creative destruction" in the Austrian economics sense?
Blog: Is Equity Risk Declining? Or is it just wishful thinking?
The falling VIX may be a sign that “fear” is declining. But risk has multiple dimensions and its other facets don't agree.
Newsletter: Liquidity and the MOVE Index - An Early Warning Signal of Financial Crisis
Liquidity has been in the media a lot lately. It’s one of those things we take for granted, until it’s dried up. In Fractal Market Analysis (1994) I made the point that markets don’t exist to give you a fair price (an assumption of the Efficient Market