Benoit Mandelbrot, mathematician and inventor of fractal geometry, dies at 85...

This Guardian article is a nice survey of Mandelbrot's career and the development of his best-known contribution: fractal geometry. 

What The Guardian doesn't mention, however, is Mandelbrot's equally interesting work on price behavior, which he presented in a relatively recent book, The (Mis)Behavior of Markets.  Mandelbrot's basic thesis is that prices have "infinite variance" and are not normally distributed.  In other words, a set of price data ultimately won't fit into a bell-curve-like distribution, but instead looks more like a bell curve that gets wider at both extremes.  It's essentially the "fat-tail" idea that has recently become popular in other fields applied specifically to price data.  Mandelbrot began developing this theory while researching the price of cotton-  analyzing price data going all the way back to the 19th century.  Ironically, the price of cotton just hit a 140-year high- an extreme that surely lies far out on the right hand extreme of a distribution of historical cotton prices.

Here is an interesting video from FT.com about Mandelbrot's impact on financial theory.

Here's another video in which Mr. Mandelbrot himself talks about how his thinking differs from the theory of efficient markets.