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Chaos & Fractals In Financial Markets

Application of fractals and chaos theory to predict financial markets.

(Information taken from various sources)

James Orlin Grabbe, who passed away in his home in Costa Rica on March 15th, 2008, was a Harvard Ph.D. with an extensive background in, among other things, high finance, education, technology and a number of other key areas. From 1981 to 1986 he was Professor, Department of Finance, The Wharton School, University of Pennsylvania, where he taught an MBA course in international financial markets. In 1995 he published "International Financial Markets" (ISBN-10: 0132069881) which ran to three editions. He wrote a number of short stories and essays and maintained website, regarded as one of the earliest 'conspiracy' sites, whose aim was that of "inspecting the global underbelly: privacy, money laundering, espionage." It has been described as "a bizarre amalgamation of disparate information including neuroscience, technology, conspiracy theory, finance, politics, and soft-core porn." The writer has not been able to obtain his date of birth or even a photo of him.

From 1999 to 2003 he wrote a series of chapters for an ongoing book named "Chaos & Fractals In Financial Markets" which were freely downloadable from his website. Fractals were novel then and he endeavours to use them to explain market movements. Although his website is no longer up, this book can still be found on the Web. The PDF version included here was assembled before Grabbe published his last chapter (8); this is included in the HTML version. One is left with the feeling that the book was never completed.

"Mr. Grabbe has a strong taste for conspiracy theory and conclusions that I regard as erroneous, so his work on chaos and finance deserves some level of skepticism. I have only carefully looked at the web page on the Hurst exponent, referenced above. The material does seem to be accurate." -Ian Kaplan, www.bearcave.com.

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download includes both the PDF version (Chapters 1-7) and the archived HTML version (with Chapter 8), as well as background material on this eccentric, outspoken individual.

Here's the Java source code for the applets he used (24 Kb):

Couple mirrors

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