# Benoit B. Mandelbrot (1924–2010): a father of Quantitative Finance

@article{Dempster2011BenoitBM, title={Benoit B. Mandelbrot (1924–2010): a father of Quantitative Finance}, author={Michael A. H. Dempster}, journal={Quantitative Finance}, year={2011}, volume={11}, pages={155 - 156} }

Centre for Financial Research, University of Cambridge & Cambridge Systems Associates LimitedBenoit Mandelbrot was a father of Quantitative Financein two senses.The better known – and most important – sense is ofcourse related to his fundamental insights into the realworld behaviour of asset prices – discontinuities, powerlaw tails, trading time, subordination, long memory,fractional Brownian motion, multi-fractal processes (seeMandelbrot 1997 for a detailed exposition of these ideas).In this… Expand

#### One Citation

Mandelbrot Market-Model and Momentum

- Mathematics
- 2015

Mandelbrot was one of the first who criticized the oversimplifications in finance modeling. In his view, markets have long-term memory, were fractal and thus much wilder than classical theory… Expand

#### References

SHOWING 1-10 OF 14 REFERENCES

The Misbehavior of Markets: A Fractal View of Risk, Ruin, and Reward

- Mathematics
- 2004

This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don’t act now. Fractal geometry is the mathematics of roughness: how to reduce the outline… Expand

Fractals and Scaling In Finance: Discontinuity, Concentration, Risk

- Mathematics
- 2010

Mandelbrot is world famous for his creation of the new mathematics of fractal geometry. Yet few people know that his original field of applied research was in econometrics and financial models,… Expand

Scaling in financial prices: III. Cartoon Brownian motions in multifractal time

- Mathematics
- 2001

This article describes a versatile family of functions that are increasingly roughened by successive interpolations. They reproduce, in the simplest way possible, the main features of financial… Expand

Scaling in financial prices: I. Tails and dependence

- Economics
- 2001

The scaling properties of financial prices raise many questions. To provide background - appropriately so in the first issue of a new journal! - this paper, part I (sections 1 to 3), is largely a… Expand

A Multifractal Model of Asset Returns

- Economics
- 1997

This paper presents the multifractal model of asset returns ("MMAR"), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two… Expand

Scaling in financial prices: IV. Multifractal concentration

- Mathematics
- 2001

In the Brownian model, even the largest of N successive daily price increments contributes negligibly to the overall sample variance. The resulting 'absent' concentration justifies the role of… Expand

Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Selecta Volume E

- Mathematics
- 1997

List of Chapters.- El Introduction (1996).- E2 Discontinuity and scaling: scope and likely limitations (1996).- E3 New methods in statistical economics (M 1963e).- E4 Sources of inspiration and… Expand

Multifractality of Deutschemark / Us Dollar Exchange Rates

- Economics
- 1997

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type… Expand

Scaling in financial prices: II. Multifractals and the star equation

- Mathematics
- 2001

This is a direct continuation of the preceding paper, with which it shares the front material and the numbering of the sections. A little repetition makes it possible to read this paper, part II, by… Expand

Stochastic volatility, power laws and long memory

- Economics
- 2001

Benoit B Mandelbrot comments on the paper by Blake LeBaron, on page 621 of this issue, by tracing the merits and pitfalls of power-law scaling models from antiquity to the present.