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Fractal Market Analysis: Applying Chaos Theory to Investment and Economics by Edgar E. Peters, Alan Ed. Peters 
The average investor is usually unaware of the theoretical bases and academic underpinnings of various investment strategies. Investment books and popular reference guides barely mention efficient market or random walk theory, and the mathematical aspect of portfolio management theory appears as little more than a footnote. Little actually new has been added to the field of investment and market theory for the last 30 years, but recently Peters introduced the landmark Chaos and Order in the Capital Markets (1991). Chaos theory is a branch of mathematics that, despite its name, attempts to make order out of seemingly random events and that has found application in the natural sciences. Market chaologists, as they have come to be known, have marshaled an array of formulas and computer models but have been criticized for not being able to explain their ideas in practical terms or to demonstrate how to apply these ideas. Fractals are the main mathematical tool of chaos theory, and Peters now shows how these can be applied to financial markets and trading. This book is unquestionably complex and relatively expensive, but all libraries with investment collections should consider purchasing at least one copy

Table of Contents

1	Introduction to Fractal Time Series	3
2	Failure of the Gaussian Hypothesis	18
3	A Fractal Market Hypothesis	39
4	Measuring Memory - The Hurst Process and R/S Analysis	53
5	Testing R/S Analysis	65
6	Finding Cycles: Periodic and Nonperiodic	86
7	Case Study Methodology	107
8	Dow Jones Industrials, 1888-1990: An Ideal Data Set	112
9	S&P 500 Tick Data, 1989-1992: Problems with Oversampling	132
10	Volatility: A Study in Antipersistence	143
11	Problems with Undersampling: Gold and U.K. Inflation	151
12	Currencies: A True Hurst Process	159
13	Fractional Noise and R/S Analysis	169
14	Fractal Statistics	197
15	Applying Fractal Statistics	217
16	Noisy Chaos and R/S Analysis	235
17	Fractal Statistics, Noisy Chaos, and the FMH	252
18	Understanding Markets	271
	Appendix 1: The Chaos Game	277
	Appendix 2: GAUSS Programs	279
	Appendix 3: Fractal Distribution Tables	287
	Bibliography	296
	Glossary	306
	Index	313