Nutshell review – 10+ years after reading this book for the first time I still find the material fascinating. It offers an engaging tour through the worlds of random walks, fractals, chaos and nonlinear dynamic systems for the layman. The author’s approach is primarily a conceptual discussion of the topics under review rather than taking a mathematical approach and so it will be accessible to most all readers.
The real message to take away from this book is not whether the markets can be described using fractal geometry or whether the market is a chaotic, nonlinear system. Rather it is that if you are a believer in the efficient market hypothesis, the capital asset pricing model, and the random walk models of market behaviour then you might be in for a nasty surprise.
Other very interesting books in this vein are The Black Swan: The Impact of the Highly Improbable by Nassim Nicholas Taleb, and The (MIS)Behaviour of Markets: A Fractal View of Risk, Ruin, and Reward by Benoit B. Mandelbrot.