Summary
Good book on the subject with reasonably clear explanation. College level math a requirement to read the book. Not a book for traders in general. More like a book for academics interested in analyzing market behaviours from afar.
Book Information
Fractal Market Analysis: Applying Chaos Theory to Investment and Economics
Written by Edgar E. Peters
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Review
Have this book since it was published. It is one of the first few books that started the fractal analysis meme. To read this book, some college level math is required.
This book is an overview of the mathematics needed to apply fractal analysis on market data. In this aspect it functions like a text book where you can find all the basics on the subject with the important equations listed there. For anyone who wanted to apply fractal analysis on market data, this book will give you the proper foundation quickly.
The suggested fractal market hypothesis proposed in the book is an attempt to replace the efficient market hypothesis with something that incorporate randomless and market structure into its consideration. It is a reasonably good attempt but it does not offer traders a way to utilize the information.
The analysis on S&P tick data was a good one. It illustrates that more data may not be better in terms of research effort. You have to know what you are looking for so that you can choose the data resolution wisely.
Overall, it is a good book on the subject and probably a necessary reference if you are studying college courses on mathematics of finance. This book, however, is not useful for market participants who are looking for practical tools to deal with the markets on a daily basis.
