Sornette和周炜星2003.12.5发文，预测中国房地产泡沫在2008.8破裂

论文递交于2003.12.5，http://arxiv.org/abs/cond-mat/0312149
     可惜，周炜星和Sornette好像没有进行更多的研究。文章发表后，周炜星可能结束了在UCLA的博士后研究工作。当然，因为时间相隔太过遥远（差4年10个月），Sornette和周炜星谦虚地说，预测不准。
文中说2003年底，2001年的上证指数泡沫的去泡沫过程结束，2004年迎来上涨。
文中指出中国人投资渠道有限，除了股市就是房市，所以2002 - 2003是泡沫的第一波。
牛B的是，Sornette和周炜星的分析认为，2003年底的房价虽然有泡沫，但是以后的上涨将更为疯狂，直到2008.80这个指数式增长的“变盘临界点窗口”。
文中一些数据很有意思。再次证实的“奥运兜底保险”产生的道德风险，使得国际投机商，在2008.8.8以前，疯狂推高中国需要进口的商品。
    底牌被人猜准了，真是麻烦。“奥运前经济不减速”底牌被猜中，后来，“保8”底牌也被猜中。再后来，2010.11.12 - 2011.3“放弃保8”的底牌，好像又被猜中了，TNNGX。

进入WTO后，虽然中国房地产是否有泡沫（在2003年11月这么说的2003.12.5发表，但是大部分数据只到2003年11月），还处于争论中，但是很多人认为，2003年底，部分地区存在房地产泡沫。16万人口的浙江诸暨，120平米的房子，2002.9 - 2003.9，从16.5万（1375/平米），涨到了30万（2500/平米）。

注：刚查了一下，2011年，诸暨城内，大概7000到12000一个平方，基本是2003翻番，2006-2007翻番，2009-2010翻番。6 - 8倍（2009- 2010，可以看作对于2008年被美帝次贷危机中断了的泡沫旅程的补涨）。

2009.3 - 2011.5，终于走完了吧本来“应该在2008年走完的超指数式增长旅程”

诸暨是周炜星的老家。

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周炜星，华东理工大学商学院教授，博导，浙江诸暨人。2001年5月华东理工大学毕业，获工学博士学位。2001年6月至2004年5月在美国加利福尼亚大学洛杉矶分校师从Sornette教授进行博士后研究。已在Journal of Macroeconomics、Quantitative Finance、Physical Review E、Physica A、Proceedings of the Royal Society B等国际学术期刊上发表文章三十余篇，科研成果在国际上有广泛影响，研究成果曾被国际著名学术性媒体New Scientists、Financial Times、Physics World、News@Nature、Science Now等报道，在《参考消息》上也曾转发报道。

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http://arxiv.org/abs/cond-mat/0312149
Antibubble and Prediction of China's stock market and Real-Estate
Authors: W.-X. Zhou (UCLA), D. Sornette (UCLA and CNRS-Univ. Nice)
(Submitted on 5 Dec 2003)
Abstract: We document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue that the current stock market antibubble is sustained by a contemporary active unsustainable real-estate bubble in China. The characteristic parameters of the antibubble have exhibited remarkable stability over one year (Oct. 2002-Oct. 2003). Many tests, including predictability over different horizons and time periods, confirm the high significance of the antibubble detection. We predict that the Chinese stock market will stop its negative trend around the end of 2003 and start going up, appreciating by at least 25% in the following 6 months. Notwithstanding the immature nature of the Chinese equity market and the strong influence of government policy, we have found maybe even stronger imprints of herding than in other mature markets. This is maybe due indeed to the immaturity of the Chinese market which seems to attract short-term investors more interested in fast gains than in long-term investments, thus promoting speculative herding.

6.3 Direction of capital flow:
impact of a growing real estate bubble
The total amounts of Chinese household saving deposits were 64,332.4 billion
yuan by the end of 2000, 73,762.4 billion yuan by 2001 and 86,910.65 billion
yuan by 2002 and reached 108,000 billion yuan by the end of September 2003
8 . Over the long run, higher savings tend to increase domestic investment [66]
but is also channelled in the stock market and in real estate. Indeed, there
is not many alternative investments for individuals, the two main investment
channels being the stock market and the real estate market.
Before the start of the 2001 antibubble, the increasing savings and the wealth
effect [65] from market capitalization gains fed investments in real estate.
After the crash and due to the continuing overall bearish nature of the Chinese
stock market, there is less new capital attracted to the stock market. Available
capital is thus finding other channels, the main one being in real estate. In
addition, China’s property market is boosted and is expected to continuously
increasing in the coming decade after the successes of Beijing’s bid for the
2008 Olympic Games, of Shanghai’s bid for the 2010 World Expo, and of
8 Monthly historical data back to 1999 are available on the web site of the People’s
Bank of China at http://www.pbc.gov.cn/english/baogaoyutongjishuju/
22
China’s entry to WTO. Although there are controversies on the existence
of a real-estate bubble in China, it is accepted widely that regional bubbles
exist. In Zhuji City (Zhejiang Province), which has a population of about 0.16
million people, the price of a 120 M2 house almost doubled over one year from
September 2002 to September 2003 from U165,000 RMB to about U300,000
RMB.
进入WTO后，虽然中国房地产是否有泡沫，还处于争论中，但是很多人认为，地区泡沫存在。16万人口的浙江诸暨的120平米的房子，2002.9 - 2003.9，从16.5万（1375/平米），涨到了30万（2500/平米）。

注：刚查了一下，2011年，诸暨城内，大概7000到12000一个平方，基本是2003翻番，2006-2007翻番，2009-2010翻番。6 - 8倍。诸暨是周炜星的老家。

In Xinzhuang of Shanghai, the house price in a same uptown roared
from U2,800 /M2 in November 2002 to U5,400/M2 in October 2003.

上海莘庄，2002.11 - 2003.10，从2800人民币/平米，涨到了5400/平米。

The Shanghai House Price Composite Index in October 2001 had a yearly growth
of 27.8%. This growth rate is even a little bit higher than in London, where
an unsustainable real-estate bubble may be in store [42].
Figure 12 shows the evolution of the Shanghai House Price Composite Index
for different months 9 with its fit to a pure power law (1). The inset
shows the monthly growth rate. The fast increasing growth of the growth rate
means that, not only the housing prices are growing fast, they are growing
super-exponentially超级指数式增长: not only is the growth rate large, it is growing and its
growth is accelerating在加速! These are the ingredients for the future development
a finite-time singularity [68,14,69], announcing a tipping point and a strong
change of regime, possible a crash. However, since the estimated critical time
tc = 2008.80 is far from the present time, this estimate is unreliable.由于预估的临界点在2008.8，即2008年9月，离现在太遥远了，所以这个预估的临界点，是不可靠的。 It just
implies that the house price will continue to roar at a high speed and probably
increasing acceleration in the near future. 这仅仅是预示着在接下去一段时间，房价会继续狂飙，而且是以更快的速度狂飙。We need to wait for more data to accumulate before a better timing of the end of this speculative bubble can be obtained. 我们需要等待更多的数据，才能更好地得出投机泡沫的临界点。Further evidence of the existence of a speculative real-estate bubble
is found in the load and mortgage reported by the People’s Bank of China
[67]. The super-exponential acceleration of real-estate prices reflected in the
fast growth rate shown in Fig. 12 strongly suggests that a real-estate bubble
is on its way in Shanghai and many other regions in China.
We should add that, in the recent two years, the Chinese real-estate market
has been fuelled by foreign capitals as well. Foreign speculators’s expectation
of a Renminbi appreciation led an inflow of dozens of billions of US dollars
(the “hot” money) in 2003. Part of the foreign capital are deposits in China’
banks and the remaining is invested in China. If Renminbi appreciates, one
can expect that the Chinese stock and property markets will further fuel a
bull phase, as occurred in Japan in the second half of the 1980’s. As the price
skyrockets, the positive feedback provided by the increasing attraction of the
real-estate market for foreigners will eventually result in an unsustainable
bubble [14,15,43]. Our previous work has shown in several other contexts the
strong positive feedbacks resulting from foreign capital fluxes (see [43] and
references therein).
9 Monthly historical data back to August 2000 are available on the web site of
Shanghai Real Estate Appraisers Association at http://www.valuer.org.cn/scjg/.
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.50 .75 2002 .25 .50 .75 2003 .25 .50 .75 2004
6.6
6.65
6.7
6.75
6.8
6.85
6.9
6.95
7
7.05
7.1
t
ln(HPCI)
.50 .75 2002 .25 .50 .75 2003 .25 .50 .75 2004
0.05
0.1
0.15
0.2
0.25
0.3
t
Yearly growth rate
Fig. 12. Shanghai House Price Composite Index as a function of time and its fit to
(1) with I(t) being the logarithm of house price composite index. The parameters
are respectively tc = 2008.80, m = −3.00, A = 6.42, and B = 74.1. The inset gives
the yearly growth rate.
7 Concluding remarks
In summary, we have identified an antibubble in the Chinese stock market
which started in August 2001 after the crash in June 2001. The crash was
probably the outcome of an instability maturing during the development of a
bubble from May 1999 to June 2001 and was triggered by a significant policy
announcement. It gave birth to the ensuing antibubble. This antibubble exhibits
the hallmarks previously identified in other antibubble regimes in the
last two decades, both in western and emergent markets. These signatures
comprise a power law relaxation decorated with significant log-periodic undulations.
The Chinese antibubble exhibits universal as well as idiosyncratic
features when compared with other known stock market antibubbles. The antibubble
in China’s equity market may be linked to the rapid development
of an ongoing property bubble in China, and vice-versa. The real-estate bubble
that we have clearly identified is in turn fuelled by available capital from
China’s individual investors and commercial banks as well as increasing influx
for foreign speculators. Our work shows that there is evident herding behaviors
among stock traders in China in spite of the fact that the Chinese equity market
is still immature and very much influence by government policy. Actually,
we have found maybe even stronger imprints of herding that in other mature
markets, probably due to the immaturity of the Chinese market which seems
to attract short-term investors more interested in fast gains than in long-term
investments.