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The Financial Bubble Experiment:Advanced Diagnostics and Forecasts of Bubble Terminations
Volume III–Assets Document
R. Woodard, D. Sornette, M. Fedorovsky
(The Financial Crisis Observatory)∗
Department of Management, Technology and Economics,ETH Zurich, Kreuzplatz 5, CH-8032 Zurich, Switzerland
(Dated: 11 November 2010)
This is the third installment of the Financial Bubble Experiment. We identify 27 bubbles in 27different global assets; for 25 of these assets, we present windows of dates of the most likely endingtime of each bubble. This current document, which will be made public on 2 May 2011 is the onewhose digital fingerprint is provided in the accompanying master document [1], made public on 11November 2010.
I. INTRODUCTION
The Financial Bubble Experiment (FBE) aims at testing the following two hypotheses:
• Hypothesis H1: Financial (and other) bubbles can be diagnosed in real-time before they end.
• Hypothesis H2: The termination of financial (and other) bubbles can be bracketed using probabilistic forecasts,with a reliability better than chance.
In a medical context, H1 corresponds to the diagnostic of cancer and H2 to the forecast of remaining life expectancy.These are embedded hypotheses, in that H1 includes H2 and we test them here separately. The “end of a bubble” isinterpreted in terms of dynamical systems as a “change of regime” or “turning point”. This qualitative terminologyis supported by quantitative measures [3].
We began this experiment in November 2009 with the publication of diagnoses of three distinct bubbles in threedistinct assets, followed in December 2004 with a fourth. We only published the digital fingerprints of electronicdocuments containing our forecasts in November and December 2009. On 3 May 2010 we revealed the four assetsand published the original documents. In each of the four original documents, we presented a range of dates of themost likely end of the bubbles. In the follow-up report in May 2010, we presented quantitative analysis measuringthe quality of our forecasts. The background theory and methodology, as well as these previous results—the originaldocuments, the digital fingerprints and the follow-up analysis—are publicly available online at the URL given in [3].We continued the FBE with 7 more assets, whose key was published in May 2010 and revealed in November 2010 [2].
This report is a continuation of the FBE in that we offer the digital fingerprint of an electronic document containing27 assets that we find to be in bubbles at the time of writing. We published the original document itself on 11 November2010. As in the second installment, we create only a single document containing the information on the 27 assets.We continue with testing separately H1 by itself and H1 in combination with H2.
We present a collection of 27 assets that our methods indicate support H1 (Sections II-III, Tables I-II). For 25of these assets, we also provide forecast windows of the most likely ending of the bubbles, which would support H2(Section III, Table II). Further, we categorize the assets by type: Index, Equity, Commodity and Foreign Exchange.Note that in our Equity category, we mean products that can be traded on an exchange. This is why, for instance,Ishares Singapore Index, with ticker symbol EWS appears under our Equity category and not under the Index category.
2
2 H1 Assets (identified bubble)
Category Asset Ticker
Index MERVAL Buenos Aires ^MERV (Y)
Equity AUTOZONE AZO (Y)
TABLE I. 2 H1 assets of the Financial Bubble Experiment as of 11 November 2010. All listed assets are candidates for H1(identified bubble phase). In the Ticker column, (B) stands for Bloomberg and (Y) for Yahoo Finance.
25 H1 and H2 Assets (identified bubble)
Category Asset Ticker tc 20% - 80% tc 5% - 95%
Index
BSE SENSEX, Bombay ^BSESN (Y) 2010-11-03 - 2010-12-01 2010-10-27 - 2010-12-10
Dow Jones-AIG Commodity Index ^DJC (Y) 2010-11-16 - 2010-12-04 2010-11-09 - 2010-12-10
FTSE 100 ^FTSE (Y) 2010-11-27 - 2010-12-26 2010-11-07 - 2011-01-03
Hang Seng Index Hong Kong ^HSI (Y) 2010-11-09 - 2010-12-09 2010-11-07 - 2010-12-16
Interactive Week Internet Index ^IIX (Y) 2010-11-12 - 2010-12-10 2010-11-04 - 2010-12-23
NASDAQ Computer ^IXK (Y) 2010-11-13 - 2010-12-06 2010-11-07 - 2010-12-09
Jakarta Composite ^JKSE (Y) 2010-11-06 - 2010-12-09 2010-10-23 - 2010-12-25
KOSPI Composite Index, Seoul ^KS11 (Y) 2010-11-15 - 2010-12-26 2010-10-30 - 2011-01-07
NASDAQ-100 (DRM) ^NDX (Y) 2010-11-05 - 2010-11-29 2010-11-03 - 2010-12-22
Reuters/Jefferies CRB index CRY INDEX (B) 2010-11-11 - 2010-11-22 2010-11-07 - 2010-11-26
TSEC weighted index ^TWII (Y) 2010-12-01 - 2011-01-03 2010-11-13 - 2011-01-08
Major Market Index ^XMI (Y) 2010-11-10 - 2010-11-25 2010-10-30 - 2010-12-04
Equity
Ishares Singapore Index EWS (Y) 2010-11-14 - 2010-12-12 2010-11-06 - 2010-12-25
Freeport McMoRan Copper & Gold FCX (Y) 2010-11-15 - 2010-12-17 2010-11-09 - 2010-12-27
F5 NETWORKS FFIV (Y) 2010-12-27 - 2011-03-09 2010-12-02 - 2011-04-08
INTUIT INTU (Y) 2010-11-28 - 2011-01-15 2010-11-07 - 2011-02-11
STARBUCKS SBUX (Y) 2010-11-08 - 2010-11-18 2010-11-06 - 2010-11-25
UNITED RENTALS INC URI (Y) 2010-11-09 - 2010-12-13 2010-11-02 - 2011-01-08
Commodity
Copper future (USD) HG1 COMB Comdty (B) 2010-11-09 - 2011-01-07 2010-10-31 - 2011-01-15
Corn future (CHF) C 1 COMB Comdty (B) 2010-11-18 - 2010-12-19 2010-11-08 - 2010-12-28
Cotton future (USD) CT1 COMB Comdty (B) 2010-11-12 - 2010-11-13 2010-11-08 - 2010-11-15
Palladium future (USD) PA1 COMB Comdty (B) 2010-11-12 - 2010-11-19 2010-11-10 - 2010-11-27
Silver future (CHF) SI1 COMB Comdty (B) 2010-11-13 - 2010-11-18 2010-11-08 - 2010-11-29
Sugar future (CHF) SB1 COMB Comdty (B) 2010-11-20 - 2010-12-09 2010-11-10 - 2010-12-17
Forex AUDUSD (B) 2010-11-12 - 2010-12-25 2010-10-30 - 2011-01-12
TABLE II. 25 H2 assets of the Financial Bubble Experiment as of 11 November 2010. All listed assets are candidates for H1(identified bubble phase) and H2 (identification of end of bubble phase). Quantile windows of most likely dates of the end ofthe bubble phases are shown. In the Ticker column, (B) stands for Bloomberg and (Y) for Yahoo Finance.
[1] R. Woodard, D. Sornette, M. Fedorovsky. The financial bubble experiment: advanced diagnostics and forecasts of bubbleterminations, Vol. III. (Specific URL http://arxiv.org unavailable at time of digital signature), November 2010.
[2] D. Sornette, R. Woodard, M. Fedorovsky, S. Reimann, H. Woodard, and W. X. Zhou The Financial Crisis Observatory.The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations, Vol. II–Master document.URL http://arxiv.org/abs/1005.5675. 2010.
[3] D. Sornette, R. Woodard, M. Fedorovsky, S. Reimann, H. Woodard, and W.-X. Zhou. The financial bubble experiment:advanced diagnostics and forecasts of bubble terminations. URL http://arxiv.org/abs/0911.0454, May 2010.
3
II. H1 ASSETS
We diagnose that the 2 assets in this Section (see Table I) are in a bubble phase (H1) but we do not make forecastsof likely dates of change of regime (H2). For each asset, we present a figure showing the time series of the observationsand indicate the range over which our analysis was performed (the shaded area in each figure).
A. H1 Indexes
1. MERVAL Buenos Aires
2008/02 2008/08 2009/02 2009/08 2010/02 2010/08date
800
1600
2400
3200
pric
e
last obs. price: 3311.0
last
obs
.: 20
10-1
1-10
MERV
Observed prices
FIG. 1. MERVAL Buenos Aires: Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
4
B. H1 Equities
1. AUTOZONE
2008/01 2009/01 2010/01 2011/01date
120
180
240
pric
e
last obs. price: 248.9
last
obs
.: 20
10-1
1-10
AZO
Observed prices
FIG. 2. AUTOZONE: Time series of observations (filled circles) and range over which our analysis was performed (shadedregion).
5
III. H1 & H2 ASSETS
We hypothesize that the 25 assets in this Section (see Table II) are all in a bubble phase (H1) and are likely to endwithin the quantile ranges indicated in Table II (H2).
A. H1 & H2 Indexes
1. BSE SENSEX, Bombay
2008/01 2009/01 2010/01 2011/01date
10000
15000
20000
25000
pric
e
last obs. price: 20875.7
last
obs
.: 20
10-1
1-10
20/80: 2010-11-03 - 2010-12-015/95: 2010-10-27 - 2010-12-1020/80: 2010-11-03 - 2010-12-015/95: 2010-10-27 - 2010-12-10
BSESN
Observed prices
FIG. 3. BSE SENSEX, Bombay: Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
6
2. Dow Jones-AIG Commodity Index
2008/01 2009/01 2010/01 2011/01date
100
150
200
250
pric
e last obs. price: 154.2
last
obs
.: 20
10-1
1-10
20/80: 2010-11-16 - 2010-12-045/95: 2010-11-09 - 2010-12-1020/80: 2010-11-16 - 2010-12-045/95: 2010-11-09 - 2010-12-10
DJC
Observed prices
FIG. 4. Dow Jones-AIG Commodity Index: Time series of observations (filled circles) and range over which our analysis wasperformed (shaded region).
7
3. FTSE 100
2008/01 2009/01 2010/01 2011/01date
4000
5000
6000
7000
pric
e
last obs. price: 5816.9
last
obs
.: 20
10-1
1-10
20/80: 2010-11-27 - 2010-12-265/95: 2010-11-07 - 2011-01-0320/80: 2010-11-27 - 2010-12-265/95: 2010-11-07 - 2011-01-03
FTSE
Observed prices
FIG. 5. FTSE 100: Time series of observations (filled circles) and range over which our analysis was performed (shaded region).
8
4. Hang Seng Index Hong Kong
2008/01 2009/01 2010/01 2011/01date
16000
24000
32000
pric
e
last obs. price: 24500.6
last
obs
.: 20
10-1
1-10
20/80: 2010-11-09 - 2010-12-095/95: 2010-11-07 - 2010-12-1620/80: 2010-11-09 - 2010-12-095/95: 2010-11-07 - 2010-12-16
Hang Seng
Observed prices
FIG. 6. Hang Seng Index Hong Kong: Time series of observations (filled circles) and range over which our analysis wasperformed (shaded region).
9
5. Interactive Week Internet Index
2008/01 2009/01 2010/01 2011/01date
160
240
320
pric
e
last obs. price: 312.7
last
obs
.: 20
10-1
1-10
20/80: 2010-11-12 - 2010-12-105/95: 2010-11-04 - 2010-12-2320/80: 2010-11-12 - 2010-12-105/95: 2010-11-04 - 2010-12-23
IIX
Observed prices
FIG. 7. Interactive Week Internet Index: Time series of observations (filled circles) and range over which our analysis wasperformed (shaded region).
10
6. NASDAQ Computer
2008/01 2009/01 2010/01 2011/01date
500
750
1000
1250
1500
pric
e
last obs. price: 1336.0
last
obs
.: 20
10-1
1-10
20/80: 2010-11-13 - 2010-12-065/95: 2010-11-07 - 2010-12-0920/80: 2010-11-13 - 2010-12-065/95: 2010-11-07 - 2010-12-09
IXK
Observed prices
FIG. 8. NASDAQ Computer: Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
11
7. Jakarta Composite
2008/01 2009/01 2010/01 2011/01date
1000
2000
3000
4000
pric
e
last obs. price: 3757.0
last
obs
.: 20
10-1
1-10
20/80: 2010-11-06 - 2010-12-095/95: 2010-10-23 - 2010-12-2520/80: 2010-11-06 - 2010-12-095/95: 2010-10-23 - 2010-12-25
JKSE
Observed prices
FIG. 9. Jakarta Composite: Time series of observations (filled circles) and range over which our analysis was performed (shadedregion).
12
8. KOSPI Composite Index, Seoul
2008/01 2009/01 2010/01 2011/01date
800
1200
1600
2000
pric
e
last obs. price: 1967.8
last
obs
.: 20
10-1
1-10
20/80: 2010-11-15 - 2010-12-265/95: 2010-10-30 - 2011-01-0720/80: 2010-11-15 - 2010-12-265/95: 2010-10-30 - 2011-01-07
KS11
Observed prices
FIG. 10. KOSPI Composite Index, Seoul: Time series of observations (filled circles) and range over which our analysis wasperformed (shaded region).
13
9. NASDAQ-100 (DRM)
2008/01 2009/01 2010/01 2011/01date
1000
1500
2000
2500
pric
e
last obs. price: 2187.7
last
obs
.: 20
10-1
1-10
20/80: 2010-11-05 - 2010-11-295/95: 2010-11-03 - 2010-12-2220/80: 2010-11-05 - 2010-11-295/95: 2010-11-03 - 2010-12-22
NDX
Observed prices
FIG. 11. NASDAQ-100 (DRM): Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
14
10. Reuters/Jefferies CRB index
2008/02 2008/08 2009/02 2009/08 2010/02 2010/08date
200
300
400
500
pric
e
last obs. price: 317.1
last
obs
.: 20
10-1
1-10
20/80: 2010-11-11 - 2010-11-225/95: 2010-11-07 - 2010-11-2620/80: 2010-11-11 - 2010-11-225/95: 2010-11-07 - 2010-11-26
RJ CRB
Observed prices
FIG. 12. Reuters/Jefferies CRB index: Time series of observations (filled circles) and range over which our analysis wasperformed (shaded region).
15
11. TSEC weighted index
2008/01 2009/01 2010/01 2011/01date
4000
6000
8000
10000
pric
e
last obs. price: 8450.6
last
obs
.: 20
10-1
1-10
20/80: 2010-12-01 - 2011-01-035/95: 2010-11-13 - 2011-01-0820/80: 2010-12-01 - 2011-01-035/95: 2010-11-13 - 2011-01-08
TWII
Observed prices
FIG. 13. TSEC weighted index: Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
16
12. Major Market Index
2008/01 2009/01 2010/01 2011/01date
750
1000
1250
1500
pric
e
last obs. price: 1245.2
last
obs
.: 20
10-1
1-10
20/80: 2010-11-10 - 2010-11-255/95: 2010-10-30 - 2010-12-0420/80: 2010-11-10 - 2010-11-255/95: 2010-10-30 - 2010-12-04
XMI
Observed prices
FIG. 14. Major Market Index: Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
17
B. H1 & H2 Equities
1. Ishares Singapore Index
2008/01 2009/01 2010/01 2011/01date
8
12
16
pric
e
last obs. price: 14.4
last
obs
.: 20
10-1
1-10
20/80: 2010-11-14 - 2010-12-125/95: 2010-11-06 - 2010-12-2520/80: 2010-11-14 - 2010-12-125/95: 2010-11-06 - 2010-12-25
EWS
Observed prices
FIG. 15. Ishares Singapore Index: Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
18
2. Freeport McMoRan Copper & Gold
2008/01 2009/01 2010/01 2011/01date
40
80
120
pric
e
last obs. price: 104.3
last
obs
.: 20
10-1
1-10
20/80: 2010-11-15 - 2010-12-175/95: 2010-11-09 - 2010-12-2720/80: 2010-11-15 - 2010-12-175/95: 2010-11-09 - 2010-12-27
FCX
Observed prices
FIG. 16. Freeport McMoRan Copper & Gold: Time series of observations (filled circles) and range over which our analysis wasperformed (shaded region).
19
3. F5 NETWORKS
2008/01 2009/01 2010/01 2011/01date
50
100
150
pric
e
last obs. price: 122.9
last
obs
.: 20
10-1
1-10
20/80: 2010-12-27 - 2011-03-095/95: 2010-12-02 - 2011-04-0820/80: 2010-12-27 - 2011-03-095/95: 2010-12-02 - 2011-04-08
FFIV
Observed prices
FIG. 17. F5 NETWORKS: Time series of observations (filled circles) and range over which our analysis was performed (shadedregion).
20
4. INTUIT
2008/05 2008/11 2009/05 2009/11 2010/05 2010/11date
20
30
40
50
pric
e
last obs. price: 48.8
last
obs
.: 20
10-1
1-10
20/80: 2010-11-28 - 2011-01-155/95: 2010-11-07 - 2011-02-1120/80: 2010-11-28 - 2011-01-155/95: 2010-11-07 - 2011-02-11
INTU
Observed prices
FIG. 18. INTUIT: Time series of observations (filled circles) and range over which our analysis was performed (shaded region).
21
5. STARBUCKS
2008/02 2008/08 2009/02 2009/08 2010/02 2010/08date
10
20
30
40
pric
e
last obs. price: 30.5
last
obs
.: 20
10-1
1-10
20/80: 2010-11-08 - 2010-11-185/95: 2010-11-06 - 2010-11-2520/80: 2010-11-08 - 2010-11-185/95: 2010-11-06 - 2010-11-25
SBUX
Observed prices
FIG. 19. STARBUCKS: Time series of observations (filled circles) and range over which our analysis was performed (shadedregion).
22
6. UNITED RENTALS INC
2008/01 2009/01 2010/01 2011/01date
10
20
30
pric
e
last obs. price: 20.2
last
obs
.: 20
10-1
1-09
20/80: 2010-11-10 - 2010-12-135/95: 2010-10-31 - 2011-01-0520/80: 2010-11-10 - 2010-12-135/95: 2010-10-31 - 2011-01-05
URI
Observed prices
FIG. 20. UNITED RENTALS INC: Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
23
C. H1 & H2 Commodities
1. Copper future (USD)
2008/01 2009/01 2010/01 2011/01date
1
2
3
4
5
pric
e
last obs. price: 3.97
last
obs
.: 20
10-1
1-10
20/80: 2010-11-09 - 2011-01-075/95: 2010-10-31 - 2011-01-1520/80: 2010-11-09 - 2011-01-075/95: 2010-10-31 - 2011-01-15
Copper future - USD
Observed prices
FIG. 21. Copper future (USD): Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
24
2. Corn future (CHF)
2008/01 2009/01 2010/01 2011/01date
3.0
4.5
6.0
7.5
pric
e
last obs. price: 5.52
last
obs
.: 20
10-1
1-10
20/80: 2010-11-18 - 2010-12-195/95: 2010-11-08 - 2010-12-2820/80: 2010-11-18 - 2010-12-195/95: 2010-11-08 - 2010-12-28
Corn future - CHF
Observed prices
FIG. 22. Corn future (CHF): Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
25
3. Cotton future (USD)
2008/02 2008/08 2009/02 2009/08 2010/02 2010/08date
0.5
1.0
1.5
pric
e
last obs. price: 1.46
last
obs
.: 20
10-1
1-10
20/80: 2010-11-12 - 2010-11-135/95: 2010-11-08 - 2010-11-1520/80: 2010-11-12 - 2010-11-135/95: 2010-11-08 - 2010-11-15
Cotton future - USD
Observed prices
FIG. 23. Cotton future (USD): Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
26
4. Palladium future (USD)
2008/02 2008/08 2009/02 2009/08 2010/02 2010/08date
250
500
750
pric
e
last obs. price: 696.8
last
obs
.: 20
10-1
1-10
20/80: 2010-11-12 - 2010-11-195/95: 2010-11-10 - 2010-11-2720/80: 2010-11-12 - 2010-11-195/95: 2010-11-10 - 2010-11-27
Palladium future - USD
Observed prices
FIG. 24. Palladium future (USD): Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
27
5. Silver future (CHF)
2008/02 2008/08 2009/02 2009/08 2010/02 2010/08date
16
24
32
pric
e
last obs. price: 26.2
last
obs
.: 20
10-1
1-10
20/80: 2010-11-13 - 2010-11-185/95: 2010-11-08 - 2010-11-2920/80: 2010-11-13 - 2010-11-185/95: 2010-11-08 - 2010-11-29
Silver future - CHF
Observed prices
FIG. 25. Silver future (CHF): Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
28
6. Sugar future (CHF)
2008/01 2009/01 2010/01 2011/01date
0.16
0.24
0.32
pric
e
last obs. price: 0.320
last
obs
.: 20
10-1
1-10
20/80: 2010-11-20 - 2010-12-095/95: 2010-11-10 - 2010-12-1720/80: 2010-11-20 - 2010-12-095/95: 2010-11-10 - 2010-12-17
Sugar future - CHF
Observed prices
FIG. 26. Sugar future (CHF): Time series of observations (filled circles) and range over which our analysis was performed(shaded region).
29
D. H1 & H2 Foreign Exchange
1. AUDUSD
2008/01 2009/01 2010/01 2011/01date
0.6
0.8
1.0
pric
e
last obs. price: 1.00
last
obs
.: 20
10-1
1-10
20/80: 2010-11-12 - 2010-12-255/95: 2010-10-30 - 2011-01-1220/80: 2010-11-12 - 2010-12-255/95: 2010-10-30 - 2011-01-12
AUDUSD
Observed prices
FIG. 27. AUDUSD: Time series of observations (filled circles) and range over which our analysis was performed (shaded region).