AI
Sunday, May 18, 2003 3:49:13 PM
*** Prediction: The future of the USA stock market ***
Hi Zeev,
Admittedly, being beyond my plane of conscious understanding, Sornette's paper seemed to me to be 'right up your alley' while adequately fulfilling the requisite academicism's disdain for excessive verbiage.
Obviously a dood who doesn't get paid by the word...... <G>
The link below links to some of his past predictions which also eluded my comprehension. I best stick to gold. LOL!
Would appreciate any thoughts, comments, or translations you might care to share with us normal folk. <VBG>
Prediction: The future of the USA stock market
Prediction Date:
April 18, 2003
Based on a theory of cooperative herding and imitation working both in bullish as well as in bearish regimes, we have detected the existence of a clear signature of herding in the decay of the US S&P500 index since August 2000 with high statistical significance, in the form of strong log-periodic components.
Please refer to the following paper for a detailed description: D. Sornette and W.-X. Zhou, The US 2000-2002 Market Descent: How Much Longer and Deeper? Quantitative Finance 2 (6), 468-481 (2002) (e-print at http://arXiv.org/abs/cond-mat/0209065).
For a general presentation of the underlying concepts, theory, empirical tests and concrete applications, with a discussion of previous predictions, see Why Stock Market Crash?.
This figure shows 8 years of the evolution of the Japanese Nikkei index and 7 years of the USA S&P500 index, compared to each other after a translation of 11 years has been performed. The years are written on the horizontal axis (and marked by a tick on the axis) where January 1 of that year occurs. This figure illustrates an analogy noted by several observers that our work has made quantitative. The oscillations with decreasing frequency which decorate an overall decrease of the stock markets are observed only in very special stock markets regimes, that we have terms log-periodic ``anti-bubbles''. By analyzing the mathematical structure of these oscillations, we quantify them into one (or several) mathematical formula(s) that can then be extrapolated to provide the prediction shown in the two following figures.
Fig. 1 shows the predictions of the future of the US S&P 500 index performed on Aug.24,2002. The continuous line is the fit and its extrapolation using the super-exponential power-law log-periodic function derived from a first order Landau expansion of the logarithm of the price. The dashed line is the fit and its extrapolation by including in the function a second log-periodic harmonic. The two fits are performed using the index data from Aug.9,2000 to Aug.24 2002 that are marked as black dots. The blue dots show the daily price evolution from Aug.25,2002 to Apr.18,2003. The large (respectively small) ticks in the abscissa correspond to January 1st (respectively to the first day of each quarter) of each year.
Fig. 2 shows the new predictions of the future of the US S&P 500 index using all the data from Aug.9,2000 to Apr.18,2003, illustrated by (continuous and dashed) black lines. Again, the continuous line is the fit and its extrapolation using the super-exponential power-law log-periodic function derived from the first order Landau expansion of the logarithm of the price, while the dashed line is the fit and its extrapolation by including in the function a second log-periodic harmonic. We also present the two previous fits (red lines) performed on Aug.24,2002 (shown in Fig. 1) for comparison, so as to provide an estimation of the sensitivity of the prediction and of its robustness as the price evolves. The blue dots show the daily price evolution from Aug.9 ,2000 to Apr.18,2003. The large (respectively small) ticks in the abscissa correspond to January 1st (respectively to the first day of each quarter) of each year.
In mid-January 2003, we proposed an extension of our previous log-periodic power law model of the ``anti-bubble'' regime of the USA market since the summer of 2000, in terms of the renormalization group framework to model critical points. We are thus able to accurately model the five ``crashes'' that punctuated the overall market descent since August 2000 in a fully consistent way with no additional parameters (actually with one parameter less than the most parsimonious formula used previously).
Please refer to the following paper for a detailed technical description and for more detailed results: W.-X. Zhou and D. Sornette, Renormalization group analysis of the 2000-2002 anti-bubble in the US S&P 500 index: Explanation of the hierarchy of 5 crashes and Prediction (eprint at http://arXiv.org/abs/physics/0301023).
Fig. 3 shows the predictions of the future of the US S&P 500 index applying the so-called ``zero-phase' Weierstrass-type function. The continuous black line is the forward prediction using all the data from Aug.9,2000 to Apr.18,2003, while the dashed black line is the past prediction using the data from Aug.9,2000 to Aug.24,2002. Both lines are reconstructed and extrapolated from the fits using a six-term zero-phase Weierstrass-type function. We also present the two previous fits (red lines) performed on Aug.24,2002 (shown in Fig. 1) for comparison. The blue dots show the daily price evolution from Aug.9,2000 to Apr.18,2003. The large (respectively small) ticks in the abscissa correspond to January 1st (respectively to the first day of each quarter) of each year.
To view the author's bio or review his past predictions:
http://www.ess.ucla.edu/faculty/sornette/prediction/index.asp#predi
Regards,
Dan
Hi Zeev,
Admittedly, being beyond my plane of conscious understanding, Sornette's paper seemed to me to be 'right up your alley' while adequately fulfilling the requisite academicism's disdain for excessive verbiage.
Obviously a dood who doesn't get paid by the word...... <G>
The link below links to some of his past predictions which also eluded my comprehension. I best stick to gold. LOL!
Would appreciate any thoughts, comments, or translations you might care to share with us normal folk. <VBG>
Prediction: The future of the USA stock market
Prediction Date:
April 18, 2003
Based on a theory of cooperative herding and imitation working both in bullish as well as in bearish regimes, we have detected the existence of a clear signature of herding in the decay of the US S&P500 index since August 2000 with high statistical significance, in the form of strong log-periodic components.
Please refer to the following paper for a detailed description: D. Sornette and W.-X. Zhou, The US 2000-2002 Market Descent: How Much Longer and Deeper? Quantitative Finance 2 (6), 468-481 (2002) (e-print at http://arXiv.org/abs/cond-mat/0209065).
For a general presentation of the underlying concepts, theory, empirical tests and concrete applications, with a discussion of previous predictions, see Why Stock Market Crash?.
This figure shows 8 years of the evolution of the Japanese Nikkei index and 7 years of the USA S&P500 index, compared to each other after a translation of 11 years has been performed. The years are written on the horizontal axis (and marked by a tick on the axis) where January 1 of that year occurs. This figure illustrates an analogy noted by several observers that our work has made quantitative. The oscillations with decreasing frequency which decorate an overall decrease of the stock markets are observed only in very special stock markets regimes, that we have terms log-periodic ``anti-bubbles''. By analyzing the mathematical structure of these oscillations, we quantify them into one (or several) mathematical formula(s) that can then be extrapolated to provide the prediction shown in the two following figures.
Fig. 1 shows the predictions of the future of the US S&P 500 index performed on Aug.24,2002. The continuous line is the fit and its extrapolation using the super-exponential power-law log-periodic function derived from a first order Landau expansion of the logarithm of the price. The dashed line is the fit and its extrapolation by including in the function a second log-periodic harmonic. The two fits are performed using the index data from Aug.9,2000 to Aug.24 2002 that are marked as black dots. The blue dots show the daily price evolution from Aug.25,2002 to Apr.18,2003. The large (respectively small) ticks in the abscissa correspond to January 1st (respectively to the first day of each quarter) of each year.
Fig. 2 shows the new predictions of the future of the US S&P 500 index using all the data from Aug.9,2000 to Apr.18,2003, illustrated by (continuous and dashed) black lines. Again, the continuous line is the fit and its extrapolation using the super-exponential power-law log-periodic function derived from the first order Landau expansion of the logarithm of the price, while the dashed line is the fit and its extrapolation by including in the function a second log-periodic harmonic. We also present the two previous fits (red lines) performed on Aug.24,2002 (shown in Fig. 1) for comparison, so as to provide an estimation of the sensitivity of the prediction and of its robustness as the price evolves. The blue dots show the daily price evolution from Aug.9 ,2000 to Apr.18,2003. The large (respectively small) ticks in the abscissa correspond to January 1st (respectively to the first day of each quarter) of each year.
In mid-January 2003, we proposed an extension of our previous log-periodic power law model of the ``anti-bubble'' regime of the USA market since the summer of 2000, in terms of the renormalization group framework to model critical points. We are thus able to accurately model the five ``crashes'' that punctuated the overall market descent since August 2000 in a fully consistent way with no additional parameters (actually with one parameter less than the most parsimonious formula used previously).
Please refer to the following paper for a detailed technical description and for more detailed results: W.-X. Zhou and D. Sornette, Renormalization group analysis of the 2000-2002 anti-bubble in the US S&P 500 index: Explanation of the hierarchy of 5 crashes and Prediction (eprint at http://arXiv.org/abs/physics/0301023).
Fig. 3 shows the predictions of the future of the US S&P 500 index applying the so-called ``zero-phase' Weierstrass-type function. The continuous black line is the forward prediction using all the data from Aug.9,2000 to Apr.18,2003, while the dashed black line is the past prediction using the data from Aug.9,2000 to Aug.24,2002. Both lines are reconstructed and extrapolated from the fits using a six-term zero-phase Weierstrass-type function. We also present the two previous fits (red lines) performed on Aug.24,2002 (shown in Fig. 1) for comparison. The blue dots show the daily price evolution from Aug.9,2000 to Apr.18,2003. The large (respectively small) ticks in the abscissa correspond to January 1st (respectively to the first day of each quarter) of each year.
To view the author's bio or review his past predictions:
http://www.ess.ucla.edu/faculty/sornette/prediction/index.asp#predi
Regards,
Dan
Dan 
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