Overshoot self-correction to collapse in the S&P 500 Mar-Aug 07

[Phil Henshaw-3]

What's it look like to you?
 
The price swings in the S&P 500 over the last 4 months seem to display
the natural complex system self-controls of the financial system
'fishtailing' to the point of failure.   I've been talking about seeing
that in the decision making about future energy sources as well.    I
think this type of systemic failure is generally the consequence of
pushing self-correction mechanisms beyond their response limits.
Trying to respond to each other too little and too late amplifies and
leads to all failing at once.    I don't know how to measure that
directly, but observe the same system physics operating as in many other
dynamic disordering cascades like the onset of turbulence in flows, and
draw the conclusion from that.  
 
[in case you notice, I label the downward overshoots as occurring at the
top of the cycle, as they should be, because the overshoots are in the
rates of change]  
Link to latest quote:
http://channels.netscape.com/pf/chart_quote.jsp?TickerSymbols=%24INX
<http://channels.netscape.com/pf/chart_quote.jsp?TickerSymbols=%24INX&ti
me=6&ctype=hloc> &time=6&ctype=hloc
 
In response you want to think of it as stabilizing the pumps that are
going out of control.   You want to relieve the pressures by turning off
the pumps, and really hope someone takes a whole systems point of view
toward seeing what's next.


smaller image - http://www.synapse9.com/issues/S
<http://www.synapse9.com/issues/S&PmovementsAug07-Sm.jpg>
&PmovementsAug07-Sm.jpg
larger image -  <http://www.synapse9.com/issues/S&PmovementsAug07-L.jpg>
http://www.synapse9.com/issues/S&PmovementsAug07-L.jpg




Phil Henshaw                       ????.?? ? `?.????
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
680 Ft. Washington Ave
NY NY 10040                      
tel: [phone]                
e-mail:  <mailto:id at synapse9.com> id at synapse9.com        
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[Marcus G. Daniels]

Phil Henshaw wrote:
> What's it look like to you?
> The price swings in the S&P 500 over the last 4 months seem to display
> the natural complex system self-controls of the financial
> system 'fishtailing' to the point of failure.

Shrug.  On the left of this five year S&P 500 plot is a similar variation.

http://www.marketwatch.com/tools/quotes/intchart.asp?symb=%24SPX&time=12&freq=1&comp=&compidx=aaaaa%7E0&compind=&uf=0&ma=&maval=&lf=1&lf2=&lf3=&type=2&size=1&txtstyle=&style=&submitted=true&intflavor=basic&origurl=%2Ftools%2Fquotes%2Fintchart.asp

[Phil Henshaw-2]

The thing to notice is not where the curve goes, but that the middle
displays a kind of whole market behavior that is definately not supposed
to be there.   The markets during the period are acting as a whole (and
not supposed to do that) and showing themselves to be both strongly
motivated and undecisive as a whole, and in an amplifying way.   The
evidence is that all you learned about 'market forces' in econ 101 is
out the window.


Phil Henshaw                       ????.?? ? `?.????
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
680 Ft. Washington Ave
NY NY 10040                      
tel: [phone]                
e-mail: pfh at synapse9.com          
explorations: www.synapse9.com    

> -----Original Message-----
> From: friam-bounces at redfish.com
> [mailto:friam-bounces at redfish.com] On Behalf Of Marcus G. Daniels
> Sent: Friday, August 24, 2007 9:48 AM
> To: The Friday Morning Applied Complexity Coffee Group
> Subject: Re: [FRIAM] Overshoot self-correction to collapse in
> the S&P 500 Mar-Aug 07
>
>
> Phil Henshaw wrote:
> > What's it look like to you?
> > The price swings in the S&P 500 over the last 4 months seem
> to display
> > the natural complex system self-controls of the financial
> > system 'fishtailing' to the point of failure.
>
> Shrug.  On the left of this five year S&P 500 plot is a
> similar variation.
>

http://www.marketwatch.com/tools/quotes/intchart.asp?symb=%24SPX&time=12
&freq=1&comp=&compidx=aaaaa%7E0&compind=&uf=0&ma=&maval=&lf=1&lf2=&lf3=&
type=2&size=1&txtstyle=&style=&submitted=true&intflavor=basic&origurl=%2
Ftools%2Fquotes%2Fintchart.asp



============================================================
FRIAM Applied Complexity Group listserv
Meets Fridays 9a-11:30 at cafe at St. John's College
lectures, archives, unsubscribe, maps at http://www.friam.org

[Marcus G. Daniels]

Phil Henshaw wrote:
> The markets during the period are acting as a whole (and
> not supposed to do that) and showing themselves to be both strongly
> motivated and undecisive as a whole, and in an amplifying way.  
>  
If credit is harder to get,  say as worsened by the upcoming subprime
morgage lending rate adjustments, or improved by Federal Reserve
providing money to the banking system, that impacts liquidity which is
reflected in price variation.    I don't think it is so controversial
that the equity markets can have their own intrinsic momentum.

[Phil Henshaw-2]

Well, the counter example shows no systemicity at all, so perfectly well behaved.  Markets are not supposd to display, as the example, emergent systemicity of any kind, let alone dramatic self-destructive behavior....
Sent from my Verizon Wireless BlackBerry

-----Original Message-----
From: "Marcus G. Daniels" <[hidden email]>

Date: Fri, 24 Aug 2007 07:47:41
To:The Friday Morning Applied Complexity Coffee Group <friam at redfish.com>
Subject: Re: [FRIAM] Overshoot self-correction to collapse in the S&P 500
 Mar-Aug 07


Phil Henshaw wrote:
> What's it look like to you?
> The price swings in the S&P 500 over the last 4 months seem to display
> the natural complex system self-controls of the financial
> system 'fishtailing' to the point of failure.

Shrug.  On the left of this five year S&P 500 plot is a similar variation.

http://www.marketwatch.com/tools/quotes/intchart.asp?symb=%24SPX&time=12&freq=1&comp=&compidx=aaaaa%7E0&compind=&uf=0&ma=&maval=&lf=1&lf2=&lf3=&type=2&size=1&txtstyle=&style=&submitted=true&intflavor=basic&origurl=%2Ftools%2Fquotes%2Fintchart.asp



============================================================
FRIAM Applied Complexity Group listserv
Meets Fridays 9a-11:30 at cafe at St. John's College
lectures, archives, unsubscribe, maps at http://www.friam.org

[Marcus G. Daniels]

sy at synapse9.com wrote:
> Well, the counter example shows no systemicity at all, so perfectly well behaved.  Markets are not supposd to display, as the example, emergent systemicity of any kind, let alone dramatic self-destructive behavior....
>  
I suggest you get a time series trading dataset and state exactly what
you think the dynamic signature is and what you think it is caused by.  
Then filter the data down to periods at and after a finite period after
those causes (e.g. news events), and look for the signature for a finite
period of time within which you posit the signature should occur.    Do
the same for all other times and see how often the signature occurs,
taking care not to double count overlapping periods, which could easily
if you defined the signature to merely occur `someday'.   You should see
enrichment of the signature to the cause.    If you see it for both the
`caused' and `non-caused' periods, then all you have is a story.

Marcus

[Phil Henshaw-2]

I do take your point, but just because independent behaviors of emergent natural systems are not susceptible to deterministic analysis of the usual sort doesn't mean they're not observable, dangerous and generally predictable by other more general means, right?


Sent from my Verizon Wireless BlackBerry

-----Original Message-----
From: "Marcus G. Daniels" <[hidden email]>

Date: Sun, 26 Aug 2007 14:50:43
To:The Friday Morning Applied Complexity Coffee Group <friam at redfish.com>
Subject: Re: [FRIAM] Overshoot self-correction to collapse in the
 S&P 500Mar-Aug 07


sy at synapse9.com wrote:
> Well, the counter example shows no systemicity at all, so perfectly well behaved.  Markets are not supposd to display, as the example, emergent systemicity of any kind, let alone dramatic self-destructive behavior....
>  
I suggest you get a time series trading dataset and state exactly what
you think the dynamic signature is and what you think it is caused by.  
Then filter the data down to periods at and after a finite period after
those causes (e.g. news events), and look for the signature for a finite
period of time within which you posit the signature should occur.    Do
the same for all other times and see how often the signature occurs,
taking care not to double count overlapping periods, which could easily
if you defined the signature to merely occur `someday'.   You should see
enrichment of the signature to the cause.    If you see it for both the
`caused' and `non-caused' periods, then all you have is a story.

Marcus

============================================================
FRIAM Applied Complexity Group listserv
Meets Fridays 9a-11:30 at cafe at St. John's College
lectures, archives, unsubscribe, maps at http://www.friam.org

[Marcus G. Daniels]

sy at synapse9.com wrote:
> just because independent behaviors of emergent natural systems are not susceptible to deterministic analysis of the usual sort doesn't mean they're not observable, dangerous and generally predictable by other more general means
In a high-dimensional dynamical system characterized by a single summary
statistic, like an index price of widely held stocks, the standard for
`that's really weird but I know why' gets more strict, not less.  
Occam's razor would point toward those few factors shared by all of the
components of the system that enter into this summary statistic.  One
class of factors are the intrinsic properties of the system (having
many, potentially reinforcing, instances).  Another class of factors are
common perturbations to the whole system.    Unless the time series
phenomena occurs all of time in many sorts of contexts, it seems to me
that external perturbations are the sort of explanation to be seeking.  
Otherwise, convincing evidence of an intrinsic explanation would be a
price prediction algorithm based only on price with odds of success
sufficient to make money!