The Behavioral Finance Studies Based On Epidemic Model With Two Delays

Based on the Epidemic Model, this paper researches the financial epidemic model of China Securities Market, and discusses the operation law of China Securities Market(Shenzhen and Shanghai) and macro law of funds contagion flow by combining the epidemic model with double delays with Behavioral Finance. Firstly, we apply Liapunov Function to prove the locally asymptotical stability and globally asymptotically stability of the epidemic model constructed; secondly, we use CSAD(cross-sectional absolute deviation of returns) to test the existence of herd behavior in China Securities Market; then, starting with risk-free interest rate, we analyze each parameter of financial epidemic model; finally, using Bayesian neural network for inversion of differential transmission model’s parameter values. We conclude that a case like endemic equilibrium(θ>1) exists in the corresponding epidemic model of China Securities Market, and local equilibrium and global equilibrium are included. The herd behavior provides us evidence for further studying the funds contagion behavior. We find that when the effective infectious rate of funds(λ) equals 0.08(a special economic node), its value corresponds to the capital saturation level(i = 15%); we also find that in the case of normal market fluctuations, the removal rate of funds(?) range from 0.005 to 0.03. Besides, the study on delay items shows that the first delay item contributes great to the stability of equilibrium point, so we can control the size of delay items with the change of policy to achieve the purpose of macro-economic regulation. The result of the parameter inversion algorithm is basically identical with the simulation result, it shows clearly that the application of Bayesian neural network in parameter inversion algorithm has certain feasibility.