人大经济论坛 › 标签 › Prediction

标签: Prediction经管大学堂：名校名师名课

相关帖子	版块	作者	回复/查看	最后发表

数据挖掘权威教材－The Elements of Statistical Learning: Data Mining, Inference, and Predi	数据分析与数据挖掘	eijuhz 2008-10-23	65 19563	shunzi97_2001 2016-9-8 15:42:31
Adaptive Business Intelligence	数据分析与数据挖掘	Toyotomi 2013-4-1	8 3407	jjxm20060807 2016-3-19 18:58:26
[下载]Ph.D. dissertation: Time Series Data Mining: Identifying Temporal Patterns f	计量经济学与统计软件	hanszhu 2005-4-19	6 5423	Nicolle 2014-11-18 01:38:22
千金求Identification for Prediction and Decision	计量经济学与统计软件	mog2005 2008-3-28	8 5782	yyc1989 2014-1-10 11:16:50
Mixed frequency models Bayesian approaches to estimation and prediction - [!reward_solved!]	求助成功区	q82h2 2013-7-28	2 1440	q82h2 2013-7-28 09:30:38
Attitude and prediction of behavior - [!reward_solved!]	求助成功区	husteconyy 2013-3-24	1 1049	Toyotomi 2013-3-24 17:01:54
A comparison - [!reward_solved!]	求助成功区	moujian918 2013-2-27	13 1719	iverson-cp3 2013-3-1 11:19:07
张老师，急急请教多元线性回归疑惑。谢谢！	统计软件培训班VIP答疑区	yourweily 2013-1-26	9 2506	张文彤 2013-2-1 12:51:03
谁有event prediction and bootstrap in time series	EViews专版	kantdisciple 2008-4-29	2 2617	tmg3081 2012-12-18 21:53:43
[求助]sarima的prediction	Stata专版	mickytt 2008-10-26	2 2975	linlivv 2012-4-1 00:52:15
真希望有谁有Stephen J. Taylor的Asset Price Dynamics, Volatility, and Prediction	计量经济学与统计软件	qwqwqw 2008-2-27	5 3925	michelletao 2012-1-16 00:26:26
The Elements of Statistical Learning Data Mining, Inference, and Prediction	计量经济学与统计软件	ccpoo 2007-5-5	19 8573	DavidLung 2011-11-24 03:01:45
Optimal Adjustment of Attributes in Cross-Sectional Prediction Models(PPT)	金融学（理论版）	achilles_wx 2006-9-20	0 3039	achilles_wx 2011-10-26 00:54:11
[下载]Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction	金融学（理论版）	diviny 2009-4-15	0 2250	diviny 2009-4-15 20:40:00
[分享]Finite Mixture of ARMA-GARCH Model for Stock Price Prediction	金融学（理论版）	智能xyz 2009-3-23	0 2067	智能xyz 2009-3-23 18:29:00
[下载]Prediction Market Survey Paper	行为经济学与实验经济学	analysismath 2008-9-29	1 4138	derte 2008-10-13 18:00:00
Statistics and Econometric Models Volume 1, General Concepts, Estimation, Predic	计量经济学与统计软件	shikelang 2008-10-6	3 2653	zhougeyao 2008-10-6 16:25:00
The Gravity model and prediction of *	世界经济与国际贸易	qtech 2008-9-25	0 2447	qtech 2008-9-25 23:36:00
Asset Price Dynamics, Volatility, and Prediction_Stephen J. Taylor_Princeton Uni	金融学（理论版）	lwddz 2008-8-15	0 6640	lwddz 2008-8-15 17:31:00
[讨论]Can I use SEM equation for prediction	计量经济学与统计软件	winamos 2005-10-31	0 2157	winamos 2005-10-31 02:23:00

更多...

相关日志

分享 Is This A 2007 Redux?: insight 2013-7-21 17:32; Is This A 2007 Redux? Submitted by Tyler Durden on 07/20/2013 17:06 -0400 Ben Bernanke Bond China Eurozone Federal Reserve Goldilocks Gross Domestic Product Guest Post John Hussman Market Timing Price Action Reality Recession Submitted by Lance Roberts of Street Talk Live blog , I read a very interesting prediction from noted market bull Jeff Saut who, in an interview with Eric King of King World News , stated that: "For the past two and a half months I have targeted tomorrow, July 19th, as the intermediate-top on both my quantitative timing and technical models. So I think tomorrow is the potential turning point for the first meaningful decline of the year. I have been raising cash for the past few weeks and I think this correction in the stock market will be roughly 10% to 12%. It's just a question of, is this thing going to end with a whimper, or is it going to end with a bang? The shorts have been absolutely destroyed here. We could see a blue-heat move that carries the SP 500 somewhere between 1,700 and 1,730. That would be the ideal pattern, but they don't operate the market for my benefit so you have to take what they give you. I don't think anybody can time the market on a consistent basis, but if you listen to the message of the stock market you sure as heck can decide when you should be 'playing hard' and when you should not be playing as hard, and so I'm not playing that hard right here." Whether, or not, Jeff is right about the exact date of the market top it does bring attention to the recent correction and subsequent rally to new highs. Was that correction just a pullback in an ongoing upward bullish trend or is the beginning of a more major topping process much as we saw in 2007? The chart below shows the price action of the market from 2003-2008 as compared to 2009 top. The interesting thing about the historical price action is the potential timing of the Federal Reserve's "tapering" of the current bond buying scheme. The market advance prior to 2008 which was driven by excess liquidity derived from the credit boom cycle - the current advance has been driven almost entirely by the liquidity pushed into the system by the Federal Reserve. The extraction of that liquidity could well mark the top of the current cyclical bull advance later this year or in early 2014. It is not just price patterns that have me concerned but rather other similarities between these two advances that should be noted as well. Leverage The next chart below is the amount of leverage in the financial system as measured by the level of margin debt. Margin debt has currently risen to an all-time high during the current liquidity cycle much the same as was witnessed prior to the financial crisis. As you can see spikes in margin debt, as market exuberance begins to form, generally takes place near market peaks. The current spike in margin debt to record levels is not necessarily a sign of good things to come. Valuations Market valuations have been expanding over the last couple of quarters as prices have been artificially inflated while earnings growth has deteriorated. The result has been a push of market valuations, as measured by P/E ratios, to levels in excess of those witnessed at the prior market peak. The chart below shows reported trailing twelve month price-earnings ratios for the seven quarters leading up to the peak in earnings. While valuation measures are historically horrible market timing devices, especially when the market is being pushed by liquidity, they do give some insight as to extremes. I should not have to remind you that post the peak in reported earnings in 2007 they fell sharply to a low of just $6.86 per share by March of 2009. Of course, at the peak in 2007, the economy was growing, there was no threat of recession, housing related issues were "contained" and Bernanke calmly explained that we were in a "goldilocks economy." Just six months later the economy was in a recession and the financial crisis had set upon us. While I am not saying that the same thing is about to happen - what does concern me is the extreme amount of confidence that currently exists that we have once again entered into that same "goldilocks" state. Earnings Of course, you cannot really discuss P/E ratios without discussing the trend and trajectory of earnings. Reported earnings were steadily rising as we entered into the peak of valuations in 2007. At that time the belief was that market prices would continue to rise along with earnings. The problem was that belief was quickly shattered as the initial waves of the recession began to set in. Currently, that same belief is once again largely prevalent. The chart below shows the historical trend of reported trailing twelve months earnings per share versus the stock market. Despite the fact that earnings have been stagnating for several quarters now; the belief is that at just any moment the economy will kick into gear and earnings will play catchup with rapidly rising valuations. This has historically been a losing proposition. Valuation excesses tend to be mean reverting through a fall in the numerator rather than a rise in the denominator. Economic Growth Looking at earnings, valuations and price are all important to whether or not we are currently near a peak in the financial markets. However, ultimately, it is the economy that will drive all of these issues in the future. The chart below shows annualized growth rates of quarterly real GDP for the periods of 2004 through 2007 and 2009 to present. The importance here is that in both cases the actual rate of economic growth peaked near the middle of the economic cycle and then began to wane. The polynomial trend lines shows this a little more clearly. Of course, as stated above, despite clear evidence that the economy was beginning to struggle the inherent belief by most mainstream analysts and economists was that the "soft patch" would quickly recover. Unfortunately, that was not the case. The impact of the recession in the Eurozone, and the slowdown in China, is clearly impacting corporate earnings and revenue which puts the current market at risk. Is This A Market Top? Mr. Saut's very bold prediction that we are likely making a market top currently is certainly attention grabbing. The reality, however, is that the current "liquidity driven exuberance" could keep the markets "irrational" longer than logic, technicals or fundamentals would dictate. Are we likely forming a market top? It is very possible. We saw the same type of market action towards the last two market peaks. However, it will only be known for sure in hindsight. The many similarities between the last cyclical bull market cycle and what we are currently experiencing should be at least raising some warning flags for investors. The levels of speculation, leverage, price extensions, duration of the rally, earnings trends and valuations are all at levels that have historically led to not so pleasant outcomes. John Hussman summed it up well recently when he stated: "Given the present evidence, however, my real concern is that much like the rolling tops of 2000 and 2007, each pleasant breeze here lulls investors into complacency – but in the face of overvalued, overbought, over bullish conditions that, from a cyclical and secular standpoint, should probably have them wide-eyed with terror. We can't rule out that the bough will sway for a while longer despite the weight, but we won't embrace the situation by putting our own baby on the twigs. It's quite crowded up there already." Average: 4.636365 Your rating: None Average: 4.6 ( 11 votes) !-- -- Tweet !-- - advertisements - .AR_2 .ob_empty {display: none;} .AR_2 .rec-link {color: #565656;text-decoration: none;font-size: 12px;} .AR_2 .rec-link:hover {color: #565656;text-decoration: underline;font-size: 12px;} .AR_2 {float: left;width:50%} .AR_2 li {list-style: none outside none !important;font-size: 10px;padding-bottom: 10px;line-height: 13px;margin:0;} .AR_2 .ob_org_header {color: #000000;text-decoration:bold; margin-left: 0px; font-size:14px;line-height:35px;} .AR_3 .rec-link {color: #565656;text-decoration: none;font-size: 12px;} .AR_3 .rec-link:hover {color: #565656;text-decoration: underline;font-size: 12px;} .AR_3 .rec-src-link {font-size: 12px;} .AR_3 li {padding-bottom: 10px;list-style: none outside none !important;font-size: 10px;line-height: 13px;margin:0;} .AR_3 .ob_dual_left, .AR_3 .ob_dual_right {float: left;padding-bottom: 0;padding-left: 2%;padding-top: 0;} .AR_3 .ob_org_header {color: #000000; text-decoration:bold; margin-left: 0px; font-size:14px;line-height:35px;} .AR_3 .ob_ads_header {color: #000000; text-decoration:bold; margin-left: 0px; font-size:14px;line-height:35px;} -- - advertisements - Login or register to post comments 11948 reads Printer-friendly version Send to friend Similar Articles You Might Enjoy: Guest Post: 2011 - Catch-22 Year In Review Guest Post: Bad Moon Rising Guest Post: 2012 - The Year Of Living Dangerously Guest Post: Illusion Of Recovery - Feelings Versus Facts Guest Post: Epic Fail - Part One; 个人分类: market|13 次阅读|0 个评论