主题：【原创】笔记15 -- 万里风中虎

经济物理学家预测中国股市崩溃日期

[淘股吧]

瑞士苏黎世联邦理工学院Didier Sornette称，他们已经从上海股市指数反常的增长中发现了警告信号，指出此轮泡沫的破灭日期将发生在7月17日到27日之间。遗憾的是他没有给出具体的理由。希望引起读者的警惕。

经济物理学家预测中国股市崩溃日期

根据一项新的经济物理学预测，上海综合指数将在7月17日和27日之间崩溃。

经济繁荣和萧条的本质是现今世界上一个最令人困惑的问题。在过去一年左右的时间里，很多人学到了：当泡沫破灭之时，他们的企业，工作甚至生计都会受到连累。他们为此付出了高昂的代价。

因此，一个显而易见的问题出现了：我们能不能发现泡沫何时发生，并预测它们何时破裂吗？有一群理论家们说，他们可以而且已经使用他们的技术作了一次独到的预测。

首先，他们说他们已经在上海综合股价指数的增长速度中发现了泡沫警示标志。其次，他们说这个泡沫将会在7月17日和27日之间破裂。

这是一个大胆的举动。让我们细细看来。这一预测背后的理论家是位于苏黎世的瑞士联邦理工学院Didier Sornette。他是研究市场泡沫的先驱者。去年，他用自己探查泡沫的方法，发现了石油价格下跌的危险。

他说，泡沫警示标志是一种快于指数增长的讯号，由产生非线性增长的正反馈机制造成。

指数上长过快比较容易被发现。根据Sornette团队的分析，上海综合指数肯定已增长过速－－自去年10月至今已有69％的上涨。

这种增长是否是由不可持续的正反馈机制造成的，目前还不清楚。 Sornette与合作者暗示，中国政府的旨在保持其经济增长率8％而大规模贷款的热潮是主要原因。而中国保持这样的增长已有多年了。

让我们假定泡沫已经形成。它将何时破裂？具体精确到哪一天并不清楚，但无论该机制如何运作，这一预测举动更具投机性。

对于象股市、地震和森林火灾等复杂的系统，物理学家们了解的一点是，当变化发生时，它们的规模不变。

这意味着，如果你要删除轴线图上描绘此行为的数字，你就无法通过观看图表来确定事件的规模。这表明，今天股市上的一个小小变化与明天的一个灾难性变化在原则上实在没有差别。

这使得预测任何事件变得极其困难，更不用说即将崩溃的泡沫。因此，仅仅用impossible一个词来形容是不够的。

Sornette和他的合作者们没有告知他们是如何预测的，但他们躲躲闪闪地说：“一场崩溃或比较温和的泡沫紧缩将导致政权的改变。”

尽管如此，他们依然在预测介于7月17日和27日之间上海综合指数超速增长的结束点。当然，这一增长的变化某一天会发生，但你必须有充分的理由。可是，这些理由不见了。

我要说，这是一个难以作出的预测。我准备打赌，赌Sornette错了。拿什么打赌？一个arXiv博客棒球帽和T恤衫。

编号： arxiv.org/abs/0907.1827 ：在中国股市泡沫：准备爆破

[顶楼] 引用 Tuesday, July 14, 2009

[淘股吧]

Econophysicist Predicts Date of Chinese Stock Market Collapse

The Shanghai Composite Index will burst between July 17 and 27, according to a new econophysics forecast.

The boom and bust nature of economics is one of the most puzzling aspects of the modern world. In the last year or so, many people have learned to their cost that when bubbles burst, businesses, jobs, and livelihoods can go with them.

So an obvious question arises: can we spot bubbles when they occur and predict when they are about to burst? One group of theorists say that they can and have used their techniques to make an extraordinary prediction.

First, they say that they've found the telltale signs of a bubble in the growth rate of the Shanghai Composite stock-market index. And second, they say that this bubble will burst between July 17 and 27.

That's a brave move, so let's look at it in more detail. The theorist behind this prediction is Didier Sornette at the Swiss Federal Institute of Technology, in Zurich, who has pioneered the study of market bubbles. Last year, he used his method for spotting bubbles to reveal that oil prices where dangerously inflated.

The telltale sign of a bubble, he says, is a faster than exponential growth rate caused by a positive feedback mechanism that generates this nonlinear growth.

The faster than exponential growth rate is relatively easy to spot. According to the analysis done by Sornette and a few mates, the Shanghai Composite Index certainly seems to have had a faster than exponential growth--a 69 percent rise since October of last year.

Whether an unsustainable positive feedback mechanism is causing this growth isn't so clear. Sornette and co suggest that what is responsible is the Chinese government's massive lending spree designed to maintain its economic growth rate at 8 percent a year. China has maintained that kind of growth for some years now.

Let's take at face value the idea that a bubble has formed. What of the prediction that it is about to burst? Just how this team arrives at such a precise date isn't clear, but whatever the mechanism, this is a much more speculative move.

One thing that physicists have learned about complex systems, such as stock markets, earthquakes, and forest fires, to name just a few, is that when changes occur they are scale invariant.

That means that if you were to remove the numbers from the axes of a graph plotting this behavior, there is no way that you could identify the scale of the events by looking at the plot. This implies that there is really no difference in principle between a small change in the stock market today and catastrophic change tomorrow.

That makes predictions of almost anything, let alone the imminent collapse of a bubble, extremely hard to make. Impossible may not be too strong a word for it.

Sornette and co do not say how they make their prediction, but they do hedge it by saying, "This will lead to a change in regime which may be a crash or a more gentle bubble deflation."

But they're still predicting an end to this faster than exponential growth in the Shanghai Composite Index between July 17 and 27. That change in growth will of course happen one day, but you'd have to have very good reasons to say that it will occur between those two dates. Those reasons are missing from this paper.

I say that this is a prediction that is impossible to make. And I'm prepared to bet Sornette that he's wrong. The stakes? Let's say an arXiv blog baseball cap and T-shirt.

Ref: arxiv.org/abs/0907.1827: The Chinese Equity Bubble: Ready to Burst

[第29楼]

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