Nesta fase, um tanto ou quanto "surpreendente" dos mercados, em que são apresentadas vários pontos de vista para a sua evolução no médio prazo por alguns Ilustres deste fórum (o Capa, o Cem, o Sol Dado etc.) não forçosamente coincidentes mas qualquer deles pertinentes :-), penso que é importante relembrar o estudo feito pelo Didier Sornette, um professor de geofísica, especializado na análise do comportamento de sistemas dinâmicos complexos não lineares.
Neste tipo de sistemas podem incluir-se fenómenos tais como os movimentos tectónicos, processos de rotura de materiais, processos metereológicos e aparentemente também o comportamento dos mercados financeiros, permitindo identificar "regimes bolha" resultantes de comportamentos de "rebanho" ("herding").
A primeira vez que vi referência a estes estudos foi num post do David Nichols (de princípios de Dezembro) gentilmente disponibilizado pelo Camisa Roxa ou pelo Eagle Eye - não tenho a certeza - no bolsainvest, em que mostrava também uma previsão gráfica da evolução do S&P segundo esse estudos (e ontem voltou a falar no assunto). Mais tarde houve alguém (não me recordo quem :-(), que no caldeirãodebolsa voltou a falar no assunto, tendo também aparecido um artigo no jornal Expresso com uma referência a este assunto em Janeiro ou Fevereiro, comentando o recente lançamento do livro do Sornette com a exposição da teoria - Why Stock Markets Crash.
Estes estudos enquadram-se numa abordagem quantitativa da dinâmica dos mercados, (creio que um dos assuntos predilectos do Cem) e como tal, em princípio independente de visões mais ou menos "apaixonadas" das análises dos mercados.
Nota: esta teoria foi aplicada a outros índices (Nikkey) com comportamentos do tipo "regime bolha" com aparentemente bons resultados identificando actualmente:
um "regime anti-bolha" (como o autor chama ao processo do desfazer da bolha) no S&P e índices correlacionados,
um "regime bolha" no mercado imobiliário do Reino Unido mas curiosamente, segundo ele, não no americano!
no livro também refere que estes resultados já foram utilizadas em "experiências" reais de trading.
vale a pena examinar o gráfico e compará-lo com todas as outras perpectivas: técnicas, fundamentais, cíclicas, "eliópticas" ou "gânnicas" - para meditar - pelo menos!!
Post do Nichols
Seismic Patterns
By David Nichols
I've long been fascinated by the "frequency doubling" evident in the long term chart of the S&P 500 throughout the bear market. Just at an eyeball glance, it's easy to see that the down and up swings seem to be doubling in length as we progress down the back-slope of the equity bubble.
Here's what I mean:
Such amplitude waves are not an unusual output pattern for a chaotic, non-linear dynamic system -- which the equity markets surely are.
Obviously I'm not the only one who's been observing this pattern in the stock markets. Indeed, a Professor of Geophysics at UCLA has used his statistical physics modeling -- generally used on earthquakes, and studies of rupture and growth processes in the natural world -- and applied them to the financial markets.
His results are fascinating, to say the least.
The Professor, Didier Sornette, and his post-doc research assistants have taken their equations on feedback processes in the natural world, and applied them directly to the S&P 500, to derive a model of its expected future path. These equations describe herding and imitative processes in crowd behavior.
Interestingly, these equations were developed while studying failure mechanisms in materials science. So the way in which cracks and flaws unfold in the natural world is perhaps similar to the way in which information spreads throughout the stock market.
After all, the inputs for the stock market -- human perceptions and emotions -- are just as natural as the weather, or earthquakes, or other natural dynamic processes. The market can and should be studied like any other natural system. Personally I have been moving down this path of study over the last few years. The market should be studied and analyzed like any other natural, chaotic system.l
So without further ado, here is Professor Sornette's prediction for the path of the S&P 500:
The blue dots are the closing prices of the S&P 500 from August 9, 2000 to November 21, 2002. The black line is his physics model of the expected future path as extrapolated from this prior price action. Or, in Professor Sornette's words, the black 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." (Oh.....that's it .... right.....exactly...)
The red line and its harmonic is the expected path as calculated by the equations as of August 24th. So you can see how this is an adaptive process.
Right now we are on the upswing that should last well into 2003, according to this model. It should go further and last longer than the bears are expecting; essentially, it should end up being roughly two times as long as last year's rally out of the September lows, and may perhaps carry the SP 500 up towards 1000.
The really interesting part comes after this rally phase, when the model calls for the market to tumble to dramatic new lows well into 2004.
Of course these same equations have been applied to the "poster child" of bubbles, the Nikkei average. Here's how that looks:
To me, his process and results are not only fascinating, but also make a lot of sense. I think we should keep these forecasts firmly in mind over the next few years. This would be a market path that would fool many people -- which is the market's job -- and if the reality comes even remotely close to this model than there will eventually be a massive washout coming for the S&P 500 -- to about 650, according to the current projections.
The bears make a great case that we're not even close to working off the excesses of the bubble, and that this process usually ends in just such massive price destruction, accompanied by investor dread and apathy. I don't doubt the wisdom in the bear argument, as history usually unfolds in this way -- my only problem with the argument is the bears feel that this has to happen right away.
Bear markets are tough on both long and short positions, as we've all learned over the past few years. It makes sense that this process should continue for another few years, with the biggest amplitude waves still ahead of us.
Personally, I think this forecast could be a real financial bonanza for us over the next few years. If sentiment and crowd behavior are going to continue to be the dominant market themes, then we should have a real advantage going forward, and should end up making very sizeable profits on this projected path.
If you would like more information on Professor Sornette's work, you can use the link above to click to his homepage, where you can find reprints of his articles. It's dense, but very interesting reading.
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