Benoit Mandelbrot is a Polish mathematician famous for his work on fractals, self similarity and power laws. His work in finance has focused on the distribution of extreme returns which he first observed to have fatter tails than a normal distribution by observing cotton prices.
Professor Mandelbrot is currently Battelle Fellow, Pacific Northwest National Laboratory, Sterling Professor Emeritus of Mathematical Sciences Mathematics Department, Yale University and IBM Fellow Emeritus T.J. Watson Research Center.
- Mandelbrot, B 1963. The variation of certain speculative prices. The Journal of Business of the University of Chicago 36, 394-419 Download
- Mandelbrot, B 1982 The Fractal Geometry of Nature. W H Freeman & Co. ISBN 0-716-71186-9
- Mandelbrot, B & Hudson, RL 2004 The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin, and Reward. Basic Books ISBN 0-465-04355-0
- Mandelbrot, B & Taleb, NN 2006 A focus on the exceptions that prove the rule. Financial Times, March 23, 2006. Download