A Three‐Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index
提出一个包含休眠、爆炸和崩溃三种状态的投机行为模型，用标普500指数验证其解释力，并基于模型构建交易规则，获得比现有模型和买入持有策略更高的夏普比率和期末财富。
We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy. Copyright 2005 Royal Economic Society.