From: John Conover <email@example.com>
Subject: Re: Article in Worth magazine...
Date: Sat, 22 Mar 1997 12:05:21 -0800
Rick McGeer writes: > > By the way, there's an interesting article in this month's Worth magazine > on SFI. Interesting perspective on why fractal analysis predicts the > market. > Essentially (the claim is) a market composed of traders imbued with liberal > amounts of fear and greed, and incomplete information, will produce a > fractal market. >  goes into the formal arguments in depth, with intuitive examples. As pointed out by Arthur, "... [these systems] become self-referential and deductively indeterminate. This indeterminacy pervades economics and game theory."  should be required reading for anyone in industry, because it is argued that industrial markets are fractal, as is all business, as argued in, as is the economy in general, as argued in. The tsinvest program works just fine operating on P&L data, the US GDP, or semiconductor market growth/dynamics, as well as equity markets. John If you want to persue it further, much of Brian Arthur's work is on line:  W. Brian Arthur. "Complexity in Economic and Financial Markets." Complexity, 1, pp. 20-25, 1995. Also available from http://www.santafe.edu/arthur, February 1995.  W. Brian Arthur. "Competing Technologies, Increasing Returns, and Lock-In by Historical Events." Econ Jnl, 99, pp. 106-131, 1989. Also available from http://www.santafe.edu/arthur, Jun, 1988.  W. Brian Arthur. "Increasing Returns and the Two Worlds of Business." To appear in Harvard Business Review, July-Aug., 1996, under the title "Increasing Returns and the New World of Business," forthcoming. Also available from http://www.santafe.edu/arthur", Apr, 1996.  W. Brian Arthur. "Inductive Reasoning and Bounded Rationality." Amer Econ Rev, 84, pp. 406-411, 1994. Session: "Complexity in Economic Theory", chaired by Paul Krugman. Available from http://www.santafe.edu/arthur.  W. Brian Arthur. "Positive Feedbacks in the Economy", Scientific American, Feb. 1990. Also available from http://www.santafe.edu/arthur, Nov, 1989. And, while you are at http://www.santafe.edu, pick up:  William A. Brock and Pedro J. F. de Lima. "Nonlinear time series, complexity theory, and finance." To appear in "Handbook of Statistics Volume 14: Statistical Methods in Finance," edited by G. Maddala and C. Rao. New York: North Holland, forthcoming. Also available from http://www.santafe.edu/sfi/publications, March 1995. which is a survey of fractal and chaotic methodologies used in analyzing financial time series. Everyone has their favorite, and it is turning into a botany of concepts, methods and approaches. -- John Conover, firstname.lastname@example.org, http://www.johncon.com/