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摘要翻译：
在标准普尔500指数和美国九岁儿童数量变化率之间的线性联系已经被发现。报税表以过去十二个月内每月报税表的总和表示。具体年龄人口的变化率用移动平均数表示。1990年1月至2003年12月期间由美国人口普查局提供的每月人口普查估计数描述。1990年之前的四年是使用8年前转移的17岁儿童的估计数来描述的。标准普尔500指数在2003年以后的几个月，包括2007年以后的几个月的收益预测，是利用1990年至2003年间3岁儿童的数量提前6年移动和人均实际GDP的季度估计得出的。可对2007年以后的时期作出预测。2007年和2009年的预测回报率有两次大幅下降，2008年有一次强劲反弹。同样地，标准普尔500指数应该会在2007年和2009年跌至一年前的水平。标准普尔500指数收益率与9岁人口之间的潜在联系被检验为协整。恩格尔-格兰杰和约翰森检验证明了这些变量之间存在长期均衡（协整）关系。这就做出了有效的标准统计估计。预测和观察指标之间的相关性，包括均方根差、线性回归和VAR显示，当预测使用7岁而不是9岁时，在两年的水平上有很好的预测准确性。1992年至2003年期间的观测与预测收益率之间的均方根差仅为0.09，同期观测序列的标准差为0.12，朴素（随机游走）均方根差为0.18。
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英文标题：
《Exact prediction of S&P 500 returns》
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作者：
Ivan O. Kitov, Oleg I. Kitov
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
A linear link between S&P 500 return and the change rate of the number of nine-year-olds in the USA has been found. The return is represented by a sum of monthly returns during previous twelve months. The change rate of the specific age population is represented by moving averages. The period between January 1990 and December 2003 is described by monthly population intercensal estimates as provided by the US Census Bureau. Four years before 1990 are described using the estimates of the number of 17 year-olds shifted 8 years back. The prediction of S&P 500 returns for the months after 2003, including those beyond 2007, are obtained using the number of 3 year-olds between 1990 and 2003 shifted by 6 years ahead and quarterly estimates of real GDP per capita. A prediction is available for the period beyond 2007. There are two sharp drops in the predicted returns - in 2007 and 2009, and one strong rally in 2008. Equivalently, S&P 500 index should drop in 2007 and 2009 to the level observed one year before. Potential link between S&P 500 returns and 9-year-old population is tested for cointegration. The Engle-Granger and Johansen tests demonstrate the presence of a long-term equilibrium (cointegrating) relation between these variables. This makes valid standard statistical estimates. Correlation between the predicted and observed indices, including RMS difference, linear regression, and VAR demonstrate good prediction accuracy at two-year horizon, when the prediction uses 7-year-olds instead of 9-year-olds. The RMS difference between the observed and predicted returns for the period between 1992 and 2003 is only 0.09 with standard deviation of the observed series for the same period of 0.12 and the naive (random walk) RMS deference of 0.18.
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PDF链接：
https://arxiv.org/pdf/0811.0376
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