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 Chaos theory is an interdisciplinary area of Scientific method, scientific study and branch of mathematics. It focuses on underlying patterns and Deterministic system, deterministic Scientific law, laws of dynamical systems that are highly sens ...

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 PanAgora Asset Management (PanAgora) is an American investment management firm based in Boston. The firm is noted for its usage of quantitative analysis in its approach to investing. It is a direct subsidiary of Great-West Lifeco and its ultim ...

, Inc., during which time he researched rescaled range analysis, and attempted to estimate the

Hurst exponent The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases. Studies involving the Hurst expo ...

of various financial markets. He has also taught at

Babson College Babson College is a Private university, private business school in Wellesley, Massachusetts, United States specializing in entrepreneurship education. Founded in 1919 by Roger Babson, the college was established as the Babson Institute in his We ...

Boston College Boston College (BC) is a private university, private Catholic Jesuits, Jesuit research university in Chestnut Hill, Massachusetts, United States. Founded in 1863 by the Society of Jesus, a Catholic Religious order (Catholic), religious order, t ...

and

Bentley College Bentley University is a private university in Waltham, Massachusetts, United States. It was founded in 1917 as a school of accounting and finance in Boston's Back Bay neighborhood. Bentley has one undergraduate school which offers 17 business ma ...

, and contributed papers to the Journal of Portfolio Management and the Financial Analysts Journal. His current venture is "Fractal Market Cycles and Regimes" at www.edgarepeters.com. His books include ''Chaos and Order in the Capital Markets'' (According to WorldCat, the book is held in 813 libraries,) ''Fractal Market Analysis'' (held in 580 libraries) and ''Patterns in the Dark: Understanding Risk and Financial Crisis with Complexity Theory''. According to Google Scholar his books and articles have over 6000 references. The fractal market hypothesis (FMH) was proposed by Peters (1994). That hypothesis suggests that financial markets are stable and efficient when participants have diverse investment horizons, that that prices reflect the interplay of these horizons, and market instability arises when short-term investors dominate and disrupt that balance. Recent research has supported the FMH as well describing the

2008 financial crisis The 2008 financial crisis, also known as the global financial crisis (GFC), was a major worldwide financial crisis centered in the United States. The causes of the 2008 crisis included excessive speculation on housing values by both homeowners ...

as well as Tech Bubble of 2000. The FMH is a model of investor behavior that unlike the

efficient-market hypothesis The efficient-market hypothesis (EMH) is a hypothesis in financial economics that states that asset prices reflect all available information. A direct implication is that it is impossible to "beat the market" consistently on a risk-adjusted basis ...

assumes investors have multiple time horizons and interpret information based upon their horizon. More recently he has contributed to the

risk parity Risk parity (or risk premia parity) is an approach to investment management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. The risk parity approach asserts that when asset allocations are ad ...

literature.

References

Further reading