Die Chaostheorie erfreut sich in der Investmentbranche zwar großer Beliebtheit, aber bislang konnte niemand so recht sagen, wie man mit ihrer Hilfe Aktienkurse und Gewinne prognostizieren kann. Dieses Buch zeigt auf der Basis praktischer Methoden, daß Aktienkurse mit Hilfe der nichtlinearen Theorie zumindest teilweise vorhersehbar sind. Es wird anschaulich erläutert, wie verschiedene nichtlineare Techniken wie z.B. genetische Algorithmen, Fuzzy Logic und nichtlineare Dynamik anzuwenden sind. Hierbei läßt der Autor, der diese Methoden selbst gewinnbringend einsetzt, seine eigenen Erfahrungen mit einfließen. Das erste Buch zu diesem Thema, das reale, praxisnahe Anwendungen bietet. (01/99)

One of the many striking applications of nonlinear technology in recent years, nonlinear pricing uses cutting-edge technology to identify and exploit patterns hidden within the seemingly helter-skelter rise and fall of daily stock prices. Nonlinear Pricing sheds much needed light on the principles behind this innovative view of reality and provides clear explanations of how it is employed to predict-at least partially-the unpredictable.

Beginning with an incisive introduction to the topic, May presents the roots of nonlinearity through the examples of calendrics, geometry, and music. He then illustrated the application and integration of various nonlinear technologies, including genetic algorithms, fuzzy logic, fractal imaging, and nonlinear dynamics, to such essentials as trading strategies, asset allocation, risk management, and derivative pricing and hedging. Along with practical methodologies and a wealth of real-world examples, this comprehensive resource contains a glossary of terms, a bibliography and in-depth information on:

Fractal analysis-power law distributions, fractional Brownian motion, and their relationships
The Hurst Exponent-the KAOS screen and its practical implementation
Resonance-time domain versus frequency domain, Brownian motion, and the Gaussian distribution
Advanced concepts-Soros's Reflexivity, non-equilibrium economics, kernel of theoretical nonlinear pricing, May's Law, resolution and resonance

Written by one of the few practitioners using this breakthrough methodology to trade the markets successfully, Nonlinear Pricing fills an important niche in investment literature. It is a must read for anyone seeking to understand-and capitalize on-twenty-first century financial economics.

CHRISTOPHER MAY (New York, NY) runs TLB Partners, LP, an onshore hedge fund and May Nonlinear US Equity Fund, an offshore fund.

Autorentext

Christopher T. May is the author of Nonlinear Pricing: Theory and Applications, published by Wiley.

Zusammenfassung
One of the most striking applications of chaos theory in recent years, non-linear pricing uses genetic algorithms, fuzzy logic, fractal imaging and other cutting-edge technologies to identify and exploit patterns hidden within the seemingly helter-skelter rise and fall of daily stock prices.

Inhalt

A Toy Story for Wall Street. Nonlinearity: A Retrospective. Nonlinearity: A Prospective. Fractal Analysis. Results of the Hurst Exponent. Nonlinear Technology. Biology and the S&P. Father Time. Nonlinear Pricing-Advanced Concepts. The Last Word-Resonance. Appendix. Glossary. Bibliography. Index.