Four features in appreciation of the life and work of Benoit Mandelbrot

Excerpted (via Money Science)

Benoit B. Mandelbrot (1924–2010): a father of Quantitative Finance
M. A. H. Dempster
…Mandelbrot was sponsored by John von Neumann at the Institute for Advanced Study in Princeton for the 1953-54 academic year. He told me that one long afternoon he and von Neumann were working together trying to prove a difficult theorem. As their conversation advanced, von Neumann asked Mandelbrot several times to take notes on their progress. Each time Mandelbrot grandly replied that he would remember everything and write it up the next day. But the next morning he woke up and could not remember any of the key steps in the proof they had been developing…

The unsmooth trajectory of Benoit Mandelbrot
J. Doyne Farmer
…It is difficult to be a generalist in the modern world. Mandelbrot was a mathematician, a physical scientist, a social scientist and an engineer, all at once, and so had no clear identifying label. He was a unique kind of researcher who contributed to all fields without ever being admitted to any of the clubs associated with them. There was no track toward obtaining a Nobel Prize, no matter how good his research was (though in a just world he would have received one in economics). It is a tribute to IBM that they recognized his genius and nutured it…

Benoit Mandelbrot and the vindication of his ideas
Alan Kirman
…What is particularly remarkable is that Eugene Fama who might be considered as the high priest of the efficient markets hypothesis had, as his thesis adviser, Benoit Mandelbrot! Indeed, Mandelbrot lamented the fact that his best students decided to overlook the basic weaknesses of the Gaussian foundations of financial theory and became more interested in making money than in seeking the truth…

Benoit Mandelbrot: a personal tribute
Jean-Philippe Bouchaud
…what I admire most is his genuine curiosity for empirical data, and the role that data analysis played in his intellectual journey – quite remarkable for a mathematician. He was of course the first one to take seriously the presence of fat tails and long memory in financial data, and he wisely demurred when the Brownian ‘virus’ (as Christian Walter calls it) spread across the financial mathematics community…

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03. February 2011 by Miguel Barbosa
Categories: Complex Systems, Curated Readings | Leave a comment

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