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“New Learning” Barnard’s Inn Hall Holborn London EC1N 2HH Tel: +44 (0) Fax: +44 (0) © Gresham College 2005 Mercers’ School Memorial Professor of Commerce Michael Mainelli Perceptions Rather Than Rules: The (Mis)Behaviour Of Markets

© Gresham College 2005 Outline It’s All About People Systems Theory At Home Stochastic Systems Theory The Edges of Chaos Complexity Predictably Chaotic Fed-Forward Fat Tails Bubble, Bubble, Toil and Trouble “Get a detailed grip on the big picture.” Chao Kli Ning

© Gresham College 2005 Governance Monitoring Feed-forward Feed-back Process Output Input Systems Theory - IPOFMFG

© Gresham College 2005 Governance Monitoring Feed-forward Feed-back Process Output Input Please Don’t Try To Do Systems Theory At Home!

© Gresham College 2005 Global Warming Goes For A Random Walk

© Gresham College 2005 Heating System Tries To Hit 20ºC

© Gresham College 2005 Person Knows Up/Down, Tries To Hit 20ºC

© Gresham College 2005 Person And Heating System Working Together … hmmm

© Gresham College 2005 Person With Perfect Foreknowledge, Tries To Hit 20ºC

© Gresham College 2005 Person And Heating System With Perfect Foreknowledge, Try To Hit 20ºC

© Gresham College 2005 Looks Like A Market - 1?

© Gresham College 2005 Looks Like A Market - 2?

© Gresham College 2005 Looks Like A Market – 3?

© Gresham College 2005 Looks Like A Market – 4?

© Gresham College 2005 Governance Monitoring Feed-forward Feed-back Process Output Input Stochastic Systems Theory

© Gresham College 2005 Husband And Wife In Strife?!?

© Gresham College 2005 The Edges of Chaos Mandelbrot Set, Z n+1 =Z n 2 +C, image courtesy of Evercat and Wikipedia

© Gresham College Years Seem Like 10 Days

© Gresham College 2005 Spot The Fake 1.Fake – Bachelier random walk 2.Fake – random walk, Mandelbrot adjustments 1.Fake – Bachelier random walk 2.Fake – random walk, Mandelbrot adjustments 3.Fake – random walk, Mandelbrot adjustments 1.Fake – Bachelier random walk 2.Fake – random walk, Mandelbrot adjustments 3.Fake – random walk, Mandelbrot adjustments 4.Fake - Mandelbrot multifractal 5.Real - IBM share prices 1.Fake – Bachelier random walk 2.Fake – random walk, Mandelbrot adjustments 3.Fake – random walk, Mandelbrot adjustments 4.Fake - Mandelbrot multifractal 1.Fake – Bachelier random walk 2.Fake – random walk, Mandelbrot adjustments 3.Fake – random walk, Mandelbrot adjustments 4.Fake - Mandelbrot multifractal 5.Real - IBM share prices 6.Real - Dollar-Deutsche Mark 1.Fake – Bachelier random walk 2.Fake – random walk, Mandelbrot adjustments 3.Fake – random walk, Mandelbrot adjustments 4.Fake - Mandelbrot multifractal 5.Real - IBM share prices 6.Real - Dollar-Deutsche Mark 7.Fake - Mandelbrot multifractal 1.Fake – Bachelier random walk 2.Fake – random walk, Mandelbrot adjustments 3.Fake – random walk, Mandelbrot adjustments 4.Fake - Mandelbrot multifractal 5.Real - IBM share prices 6.Real - Dollar-Deutsche Mark 7.Fake - Mandelbrot multifractal 8.Fake - Mandelbrot multifractal

© Gresham College 2005 Life Is A Bit Complex

© Gresham College 2005 Dynamic Systems Feed- Back/Feed- Forward Systems Theory Stochastic Systems Theory Emerging Order Chaos Theory Complexity

© Gresham College 2005 Predictably Chaotic Fractal image courtesy of Noel Giffin, spanky.triumf.ca

© Gresham College ,000 Fed-Forward Maniacs

© Gresham College 2005 Leptokurtic Fat Tails

© Gresham College 2005 Once In 300 Years? 99.7% 68% 95%  

© Gresham College 2005 Bubbles

© Gresham College 2005 Discussion 1. Can you suggest a market with no feed- forward? 2. Is some physical phenomenon a good analogue for markets? 3. How can we share information and retain diverse opinion? “Get a big picture grip on the details.” Chao Kli Ning

© Gresham College 2005 Perceptions Rather Than Rules Thank you!