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Footprints of Chaos in the Markets
Analyzing non-linear time series in financial markets and other real systems

Richard. Urbach

In Detail

The ability to predict and profit from the movements of the financial markets is a long sought-after goal.

But if price action is considered to be the product of a random walk only unpredictable news can affect prices, and it is therefore impossible to accurately predict market movement. This line of thought has prompted the growth in passive investing and tracker funds.

Richard Urbach counters this thinking by applying a new set of mathematical techniques to the financial markets, arguing that it is possible to accurately analyze the time series (or 'footprints') of chaotic real systems, map their underlying patterns, and predict future trends.

Many of the techniques of dynamical systems analysis have previously been described only in the dispersed and relatively inaccessible outputs of scientific research. There has been little practical interpretation of non-linear dynamics and its application to financial markets.

Footprints of Chaos is the first book to examine the opportunities presented by this new thinking, and is aimed directly at the investment analysts who can benefit from it.

Reviews

"Richard Urbach's book is essential reading for financial market participants, particularly risk management professionals. Identifying and tracking the path of chaotic systems is central to our ability to accurately forecast the evolution of asset prices. Richard Urbach provides us with the tools to do so in his book" Michael Cohn, Panther Capital Management Limited, and member of Barons 500 Leaders for the 21st Century

"This comprehensively researched and conscientiously written book is particularly strong in that it will appeal to a broad spectrum of reader from generalist fund managers to specialist financial engineers" David Schwartz, Consultant, Norman Broadbent

The Author

Richard M.A. Urbach is a leading US expert in the application of quantitative methods to investment banking and trading. Now based in London, he has co-managed a L110m investment fund at Panther Capital Management, and held senior positions at UBS Securities, Morgan Stanley and Citibank. He has a PhD, in Mathematical Statistics and Operations Research, from Columbia University, New York.

This title is made available on demand

326 pages