If you have read Benoit Mandelbrot’s book (with Richard Hudson)

These problems include fat tails (leptokurtosis), serial correlation, and volatility clustering. If you have read Benoit Mandelbrot’s book (with Richard Hudson), The (Mis)behavior of Markets: A Fractal View of Financial Turbulence, then you should note that C J is fractal in nature.Given data on the market, C J runs 2,000 simulations of the S 500 for periods as far as eighteen months into the future. I then use the results to assess the probability of various percentage changes in the S 500 Index.

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