在读心理学的时候，有一门学科叫做心理物理学，当时觉得很神奇了，现在知道原来经济学里面也有一个分支叫做经济物理学。今天上海股市大跌，于是这些经济物理学家的预言成真了，这些经济物理学家的预测是：
2009年7月16日，瑞士苏黎世联邦理工学院 Didier Sornette 称，泡沫的预警信号是比指数增长更快的速度，这轮非线性增长是一种正回馈机制触发的。从去年10月起，上海沪指上升了69%，虽然并不清楚是否是正回馈机制导致了这次增长，但研究人员暗示它与中国政府制定的大幅度发放银行贷款以维持8%年度增长率有关。他们预测上海股市快速增长的趋势将在7月17日和27日之间停止。当然这只是预测，股票崩盘未必会在这两个日期之间发生。
现在看来，虽然晚了两天，还是比较准确的。大家要看到，经济物理学家说的是崩盘，而不是单纯的下跌。
原文如下，中文资料参考这里：
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
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