Nonlinear Pricing Theory and Applications
Nonlinear Pricing Theory and Applications by Christopher T. May, published by John Wiley & Sons on February 22, 1999, spans 384 pages and is presented in English. This book explores the innovative concept of nonlinear pricing, utilizing advanced technology to uncover patterns in the fluctuating nature of daily stock prices. May provides a foundational introduction to nonlinearity, illustrating its roots through examples from various fields and demonstrating its application in trading strategies, asset allocation, and risk management.
Readers will find a comprehensive resource that delves into various nonlinear technologies, including genetic algorithms and fuzzy logic, alongside practical methodologies and real-world examples. The book also includes a glossary of terms and a bibliography, covering advanced concepts such as fractal analysis and the Hurst Exponent. Nonlinear Pricing serves as a valuable guide for those interested in understanding and applying modern financial economics within the context of business and finance.
Official synopsis Publisher
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.
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