I was saddened to hear that Benoit Mandelbrot had passed away this weekend. I guess even more so, because he was a key figure in the development of chaos theory, yet his passing has (and probably will) receive very little attention from those outside the scientific community. His research has, indirectly, had an enormous impact in the computer industry and in the financial markets. So much so, in fact, awareness of the Mandelbrot set is almost a requirement in consideration of models that we develop for our financial market clients.
I feel fortunate to have heard him speak at a TED Conference, and since his work has become an important part of our marketing / research efforts, it seemed appropriate to present a review of his works here.
Benoit Mandelbrot, one of the most original and influential mathematicians of the 20th century, has died of cancer at the age of 85. He was the father of fractal geometry – finding underlying patterns in roughness and irregularity – and was a key figure in the broader field of chaos theory. A fractal is essentially a fragmented shape whose structure remains the same however much it is blow up or scaled down. Fractal analysis has become a powerful tool to measure and model apparently chaotic shapes and patterns. It is used in the computer industry, in aerospace and in the financial markets. His most famous creation is the “Mandelbrot set,” a mathematical creation of infinite complexity. The patterns created have brought mathematics into popular culture, and fractals have become a standard of school curriculums.
Mandelbrot had enormously wide interests. Over a 60-year career, working first in France and then the US, he applied his findings to physics, biology and economics, publishing devastating critiques of modern mathematical finance. His family said Mandelbrot saw himself as a scientific “maverick,” “moving across many disciplines at once to find new insights, and seeking always a measure of order in physical, mathematical or social phenomena that are characterized by abundant data but wild variability.”
Benoit Mandelbrot was born in Warsaw on November 20, 1924, but moved as a child with his Jewish family to France, where he survived the second world war and began his mathematical career with the Centre National de la Recherche Scientifique in Paris. Nicolas Sarkozy, the French president, said Mandelbrot’s was “a powerful , original mind that never shied away from innovation and battering preconceived ideas.” In 1958 Mandelbrot emigrated to the US, where he spent most of his professional life working for IBM at its main research center at Yorktown Heights, New York. Toward the end of his career, after leaving IBM, Mandelbrot taught mathematics at Yale University. At the age of 75, he finally accepted a tenured academic job in 1999 at Yale as Sterling Professor of Mathematical Sciences, one of the oldest people ever to begin his first full-time professorship.
Mandelbrot published several books, of which the most celebrated was The Fractal Geometry of Nature in 1982. Financial mathematics became a pressing interest during the last decade of his life. In 2004 he published with Richard Hudson The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin and Reward – a devastating attack on the failure of mainstream economists and mathematicians to understand the likelihood of wild swings in prices and the risk of financial disaster. Mr. Hudson, publisher of the Science Business media group, described his co-author as “the ultimate interdisciplinary scientist. The scientific world is built in silos, and he made a career out of going into other people’s silos uninvited and coming up with insights they did not have. In economics he was an outsider – and often not a welcome one.”
Mandelbrot is survived by his wife Aliette, sons Laurent and Didier, both medical doctors, and three grandchildren.
Financial Times – Clive Cookson.