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
| dc.creator | Zhou, W. -X. | |
| dc.creator | Sornette, D. | |
| dc.date | 2003-01-13 | |
| dc.date | 2003-08-07 | |
| dc.date.accessioned | 2026-07-07T12:07:28Z | |
| dc.date.available | 2026-07-07T12:07:28Z | |
| dc.description | We propose a straightforward extension of our previously proposed 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. Using a previous work by Gluzman and Sornette (2002) on the classification of the class of Weierstrass-like functions, we show that the five crashes that occurred since August 2000 can be accurately modelled by this approach, in a fully consistent way with no additional parameters. Our theory suggests an overall consistent organization of the investors forming a collective network which interact to form the pessimistic bearish ``anti-bubble'' regime with intermittent acceleration of the positive feedbacks of pessimistic sentiment leading to these crashes. We develop retrospective predictions, that confirm the existence of significant arbitrage opportunities for a trader using our model. Finally, we offer a prediction for the unknown future of the US S&P500 index extending over 2003 and 2004, that refines the previous prediction of Sornette and Zhou (2002). | |
| dc.description | Latex document, 11 eps figures and 1 table | |
| dc.identifier | https://arxiv.org/abs/physics/0301023 | |
| dc.identifier | http://arxiv.org/abs/physics/0301023 | |
| dc.identifier | Physica A 330 (2003) 584-604 | |
| dc.identifier | doi:10.1016/j.physa.2003.09.022 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208983 | |
| dc.subject | Physics and Society | |
| dc.subject | Soft Condensed Matter | |
| dc.subject | General Physics | |
| dc.subject | General Finance | |
| dc.title | 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 | |
| dc.type | text |