Testing the Stability of the 2000-2003 US Stock Market "Antibubble"

Details Testing the Stability of the 2000-2003 US Stock Market "Antibubble" Testing the Stability of the 2000-2003 US Stock Market "Antibubble"

2003-10-05

arxiv.org/abs/cond-mat/0310092v2

Physica A 348 (2005) 428-452

Physics

Condensed Matter

Statistical Mechanics

17 Elsevier Latex (elsart.sty) text pages + 3 tables + 17 eps figures

Scientific paper

10.1016/j.physa.2004.09.032

Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF}, we have proposed to describe this phenomenon using the concept of a log-periodic power law (LPPL) antibubble, characterizing behavioral herding between investors leading to a competition between positive and negative feedbacks in the pricing process. A monthly prediction for the future evolution of the US S&P 500 index has been issued, monitored and updated in \cite{urlprediction}, which is still running. Here, we test the possible existence of a regime switching in the US S&P 500 antibubble. First, we find some evidence that the antibubble has exhibited a transition in log-periodicity described by a so-called second-order log-periodicity. Second, >...

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