Больше, чем вы знаете. Необычный взгляд на мир финансов

5. Christopher D. Carroll, “The Epidemiology of Macroeconomic Expectations”, Johns Hopkins Working Paper, July 9, 2002, http://www.econ.jhu.edu/people/

6. ccarroll/EpidemiologySFI.pdf. См. также: Michael J. Mauboussin, “Revisiting Market Efficiency: The Stock Market as a Complex Adaptive System”, Journal of Applied Corporate Finance 14. No. 4 (Winter 2002): 47–55.

7. См.: Joseph de la Vega, Confusion de Confusiones (1688); Charles MacKay, Extraordinary Popular Delusions and the Madness of Crowds (1841), Edwin Lefevre, Reminiscences of a Stock Operator (1932)[24].

8. Уоррен Баффет, ежегодное письмо к акционерам Berkshire Hathaway, 1987 г., http://www.berkshirehathaway.com/letters/1987.html.

9. Benjamin Graham and David L. Dodd, Security Analysis (New York: McGraw Hill, 1934), 11.

10. Irving Lester Janis, Groupthink: Psychological Studies of Policy Decisions and Fiascoes (New York: Houghton Mifflin, 1982).

Глава 38. Лестница на небеса для держателя акций

1. Jennifer Quellette, “Jackson Pollock – Mathematician”, The Fine Arts Magazine, January 25, 2002.

2. Один из примеров – Оливия, персонаж детской книжки. См.: Ian Falconer, Olivia (New York: Atheneum Books for Young Readers, 2000)[25].

3. Benoit B. Mandelbrot, “A Multifractal Walk Down Wall Street”, Scientific American, February 1999, 71.

4. Richard P. Taylor, B. Spehar, C. W. G. Clifford, and B. R. Newell, “The Visual Complexity of Pollock’s Dripped Fractals”, Proceedings of the International Conference of Complex Systems, 2002; http://materialscience.uoregon.edu/

5. taylor/art/TaylorCCS2002.pdf.

6. Richard P. Taylor, “Order in Pollock’s Chaos”, Scientific American, December 2002, http://materialscience.uoregon.edu/

7. taylor/art/scientificamerican.pdf.

8. Robert L. Axtell, “Zipf Distribution of U. S. Firm Sizes”, Science 293 (September 2001); 1818–1820; Youngki Lee, Luls A. Nunes Amaral, David Canning, Martin Meyer, and H. Eugene Stanley, “Universal Features in the Growth Dynamics of Complex Systems”, Physical Review Letters 81, no. 5 (October 1998): 3275–3278; http://polymer.bu.edu/hes/articles/lacms98.pdf.

9. Mandelbrot, “A Multifractal Walk Down Wall Street”. Изменения цен акций точнее можно описать как мультифрактальные. Мультифракталы требуют некоторых корректировок для получения статистического подобия на различных уровнях. Например, для цены активов производится сжатие или расширение времени (горизонтальной оси), чтобы показать подобие моделей на разных уровнях.

10. Bartley J. Madden, Michael J. Mauboussin, John D. Lagerman, and Samuel T. Eddins, “Business Strategy/Life Cycle Framework: Positioning Firm Strategy as the Primary Cause of Long-Term CFROIs and Asset Growth Rates”, Credit Suisse First Boston Equity Research, April 22, 2003.

11. Alfred Rappaport and Michael J. Mauboussin, Expectations Investing (Boston, Mass.: Harvard Business School Press, 2001).

12. Michael J. Mauboussin, Alexander Schay, and Patrick J. McCarthy, “Competitive Advantage Period (CAP): At the Intersection of Finance and Competitive Strategy”, Credit Suisse First Boston Equity Research, October 4, 2001.

13. Michael J. Mauboussin and Kristen Bartholdson, “Measuring the Moat: Assessing the Magnitude and Sustainability of Value Creation”, Credit Suisse First Boston Equity Research, December 16, 2002.

Заключение. Будущее – за синтезом инвестирования

1. J. Doyne Farmer and Fabrizio Lillo, “On the Origin of Power Law Tails in Price Fluctuations”, Quantitative Finance 4, no. 1 (2004): 7–11.

2. Duncan J. Watts, Small Worlds: The Dynamics of Networks Between Order and Randomness (Princeton N. J.: Princeton University Press, 1999).

3. James H. Brown and Geoffrey B. West, Scaling in Biology (Oxford: Oxford University Press, 2000).

Список литературы

Adamic, Lada A. “Zipf, Power-Laws, and Pareto – a Ranking Tutorial.” Information Dynamics Lab, HP Labs, Working Paper. http://ginger.hpl.hp.com/shl/papers/ranking/ranking.html.

Alvarez, A. Poker: Bets, Bluffs, and Bad Beats. San Francisco: Chronicle Books, 2001.

Anderson, Carl, and John J. Bartholdi III. “Centralized Versus Decentralized Control in Manufacturing: Lessons from Social Insects.” In Complexity and Complex Systems in Industry, ed. Ian P. McCarthy and Thierry Rakotobe-Joel, 92–105. Warwick: University of Warwick, 2000.