Nonlinear Pricing : Theory & Applications (Wiley Trading)
Editorial Reviews
Review
"A lively and intriguing book from a writer who can range from Zen to mathematics."—Adam Smith, author of The Money Game and Paper Money
"Nonlinear Pricing is an eminently readable book which I found satisfied both the theorist and the practitioner in me. For the theorist, there are new insights into the relationship between complexity and the markets. For the practitioner, there are practical ideas on how to fashion investment strategies. I highly recommend Nonlinear Pricing to all students of the markets."—Edgar E. Peters, Chief Investment Strategist, PanAgora Asset Management; author, Chaos and Order in the Capital Markets
"Nonlinear Pricing goes further than any book I am aware of in drawing a connection between the real world of economics and the new ideas about economics coming from the science of self-organized systems. Written in a lively, informal style, this is a wonderful read for those of us who have been wondering whether anyone understands anything at all about how markets work."—Lee Smolin, PhD, Department of Physics, Pennsylvania State University
"Required reading for the enlightened financial professional. Enjoyable for the intelligent investor. A dash of physics, bite-sized pieces of nonlinear concepts, and a broth of hands-on experience make this a cookbook for the modern trader."—Richard E. Morley, Potts Medal recipient and founder of the Breakfast Club
"A real eye-opener—Nonlinear Pricing explains a complex subject in easy terms and makes the reader aware of the many opportunities offered by this new technology." —Richard Olsen, founder, Olsen and Associates, Zurich
"I, of course, think highly of this book as it credits Dance of the Money Bees with inventing 'swarm theory', now a discipline in computer science. There are many other splendid insights." —John Train, author and President of the Montrose Fund
"An extraordinary tour d'horizon, this book challenges conventional thinking about finance, investing, and much else besides. Brimming with ideas and eye-opening connections, it makes a powerful case for our need to understand the extent to which nonlinearity shapes our lives." —Andrew Freeman, Managing Editor, Financial Services, The Economist Intelligence Unit; co-author, Seeing Tomorrow: Rewriting the Rules of Risk
"Nonlinear Pricing: Theory & Application by Christopher T. May makes nice reading even for people like me who are not economists. This is an ambitious book as it presents economics starting from fundamental physics. It deserves a large readership." —Ilya Prigogine, 1977 Nobel Laureate, Chemistry; author, The End of Certainty; and the world's foremost non-equilibrium scientist
This book is best digested in small morsels as the content is very rich and varied. It is not a book on the implementation of non-linear methods, as the title might imply. It is a personal view on how relatively new techniques such as chaos, fractals, genetic algorithms, and fuzzy logic, and their connections to modern finance can be understood.
Above all, market analysis books should explain. They should be well-balanced tomes that bring readers forward in understanding the topic at an even pace, with as few confusing digressions as possible. If an author's mission is to cover all subject matter exhaustively simply to show the world he's mastered his subject, it's his editor's obligation to prevent him from doing so.
This book is best digested in small morsels as the content is very rich and varied. It is not a book on the implementation of non-linear methods, as the title might imply. It is a personal view on how relatively new techniques such as chaos, fractals, genetic algorithms, and fuzzy logic, and their connections to modern finance can be understood.
The author, who has many years trading experience, proposes the total replacement of the classical approaches with these new non-linear methods. Maybe he took this iconoclastic approach because of his perception of how deep-rooted the resistance is to the introductions of these new techniques. Perhaps, deep down, he believes just as much that progress lies with the refinement of the classical methodologies. In either case, the book is targeted at the non-technical reader and many of the qualitative explanations of technical concepts- one might argue- are misleading. In defence of the author I suggest that the primary aim of the book is to communicate the potential significance of the concepts to a very general audience.
The scope of the book is enormous. Chapter one sets the scene and style - sketching the problems that the author sees with the standard approaches and indicating where he feels the solutions lie. Chapter two looks at the historical development the linear and non-linear approaches. By the time we reach chapter three we begin to have our imagination stretched with examples drawn from many disciplines - astrophysics, music, evolution and quantum physics. Fractal analysis and the Hurst exponent are discussed in the next two chapters in particular with reference to the KAOS screen on Bloomberg that the author helped to develop. In the remaining chapters, we are made to work hard, as we are taken on a fascinating exploration of many other new tools and techniques. Genetic algorithms and fuzzy logic are dealt with in some detail, as are the relationships between models and reality. Insights are drawn from physics, biology and computation.
In summary, if you approach this book with an open mind, it is worth the effort. There are hidden gems for everyone her-- (Les Clewlow, School of Finance and Economics, University of Technology, Sydney Financial Options Research Centre, Warwick Business School Lacima Consultants Ltd.)
Above all, market analysis books should explain. They should be well-balanced tomes that bring readers forward in understanding the topic at an even pace, with as few confusing digressions as possible. If an author's mission is to cover all subject matter exhaustively simply to show the world he's mastered his subject, it's his editor's obligation to prevent him from doing so. In Nonlinear Pricing, Christopher T. May does an excellent job of describing the philosophical and historical aspects of this new paradigm in financial theory. He argues well the point that it is sure to conquer the analytical world in the coming decades. He thoroughly describes how his approach fits into a new world order of chaos and complexity theory that is more likely to impact our lives as our computers become faster and computer power more readily available. Unfortunately, May does too good a job, which results in a book too long, with too much "base covering." The journalistic expression "kill your darlings," which suggests that as soon as the writer thinks he has nailed it, he has probably overdone it, is apropos here. This one book comprises the foundations for many more. As it is, all the gunpowder is used up for one big blast instead of for several smaller ones that could have made a larger impact.
Another disappointment is the misleading title; the book holds far more theory than application. Indeed, it presents only two practical examples: one on the Deutsche mark and one on the components of the S&P 500 index. Further, both studies were performed on too little data, leaving the robustness of the results suspect.
Nonetheless, this book is a long-awaited contribution to the goal of finding practical uses for nonlinear models that for years scientists have argued explain the world far better than our worn and torn linear tools. Despite its drawbacks, Nonlinear Pricing is a must read for all traders who have ever tried (or would like to try) to understand this very intricate topic. For nothing else, after reading May's well-targeted, if ill-executed, effort, you'll be more prepared to avoid the shameless hucksters who use terms such as "chaos" and "nonlinear" as buzz words to make a cheap buck.--(Thomas Stridsman Trading Systems Advisor)
Adam Smith, author of The Money Game and Paper Money
"A lively and intriguing book from a writer who can range from Zen to mathematics."
Nonlinear Pricing : Theory & Applications (Wiley Trading)
Nonlinear Pricing : Theory & Applications (Wiley Trading),Christopher T. May,Wiley,0471245518,Accounting - General,Business & Economics,Business / Economics / Finance,Business/Economics,Finance,Investment Finance,Investments & Securities - General,Pricing,Sales & Selling - Management,Business & Economics / Finance,Chaos theory,Investment & securities,Microeconomics
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