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

摘要

Since August 2000, the stock market in the USA as well as most other westernmarkets have depreciated almost in synchrony according to complex patterns ofdrops and local rebounds. In \cite{SZ02QF}, we have proposed to describe thisphenomenon using the concept of a log-periodic power law (LPPL) antibubble,characterizing behavioral herding between investors leading to a competitionbetween positive and negative feedbacks in the pricing process. A monthlyprediction 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, wetest 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 inlog-periodicity described by a so-called second-order log-periodicity. Second,>...