Edgar E. Peters

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Edgar E. Peters (born July 16, 1952), is an asset manager and writer on investment management topics. He is noted for his early contributions to the application of chaos theory and fractals to the financial markets. These works primarily dealt with fat tailed distributions originally discovered by Benoit Mandelbrot and expanded upon in Peters (1991 and 1994). These probability distributions are considered fractal because they are self-similar over different investment horizons once adjusted for scale.

Peters worked as an asset manager for PanAgora Asset Management, Inc., during which time he researched rescaled range analysis, and attempted to estimate the Hurst exponent of various financial markets. He has also taught at Babson College, Boston College and Bentley College, and contributed papers to the Journal of Portfolio Management and the Financial Analysts Journal.[1] He now works at First Quadrant LLP in California.[2]

His books include Chaos and Order in the Capital Markets (According to WorldCat, the book is held in 659 libraries,[3]) Fractal Market Analysis (held in 485 libraries[4]) and Patterns in the Dark: Understanding Risk and Financial Crisis with Complexity Theory. According to Google Scholar his books and articles have over 3000 references.[5][6]

His best known contribution is the Fractal Market Hypothesis (FMH) which was outlined in Peters (1994).[7]

Recent research has supported the FMH as well describing the Global Financial Crisis of 2008 as well as Tech Bubble of 2000.[8][9] The FMH is a model of investor behavior that unlike the Efficient Market Hypothesis assumes investors have multiple time horizons and interpret information based upon their horizon.

More recently he has contributed to the risk parity literature.

References[]

  1. ^ https://scholar.google.com/citations?user=1LHlIfoAAAAJ&hl=en&oi=ao
  2. ^ https://www.amazon.com/Edgar-E.-Peters/e/B001IU0DH6/ref=dp_byline_cont_book_1
  3. ^ WorldCat item record
  4. ^ http://www.worldcat.org/title/fractal-market-analysis-applying-chaos-theory-to-investment-and-economics/oclc/28508185&referer=brief_results
  5. ^ https://scholar.google.com/citations?user=1LHlIfoAAAAJ&hl=en&oi=ao
  6. ^ "Insight guides : Asia's best hotels & resorts /".
  7. ^ "What is FRACTAL MARKET HYPOTHESIS (FMH)? Definition of FRACTAL MARKET HYPOTHESIS (FMH) (Black's Law Dictionary)". 2012-10-19.
  8. ^ http://www.bankofengland.co.uk/research/Pages/fspapers/fs_paper23.aspx
  9. ^ Kristoufek, Ladislav (2013). "Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence". Scientific Reports. 3: 2857. doi:10.1038/srep02857. PMC 3790199. PMID 24091386.

Further reading[]

  • Peters, E. E. (1991). Chaos and order in the capital markets. John Wiley and Sons. ISBN 978-0-471-53372-6.
  • Peters, E. E. (1994). Fractal Market Analysis. John Wiley and Sons. ISBN 978-0-471-58524-4.
  • Peters, E. E. (1999). Patterns in the Dark. John Wiley and Sons. ISBN 978-0-471-23947-5.
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