The capital flow of stock market studies based on epidemic model with double delays

doi:10.1016/j.physa.2019.03.098

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	The capital flow of stock market studies based on epidemic model with double delays
	Zhou, Qi 1; Sun, Shaolong 2,3,4; Liu, Qian 1
	2019-07-15
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
卷号	526 页码:18
摘要	Herd behaviour, or contagion behaviour, has been proven to exist in the Chinese stock markets. Based on that, this paper seeks to discover the implied mechanism that represents how capital flowed in the market by using an epidemic model. First, we apply the Lyapunov function to prove the locally asymptotical stability and globally asymptotical stability of the epidemic model that is constructed. Second, we use the CSAD (cross-sectional absolute deviation of returns) method to test for the existence of herd behaviour in China's stock markets. Finally, starting with the risk-free interest rate, we analyse each parameter of the financial epidemic model. We conclude that a case such as the endemic equilibrium (theta > 1) exists in the corresponding epidemic model of China's stock markets, and the local equilibrium and global equilibrium are included. The herd behaviour provides us evidence for further studying the funds' contagion behaviour. We find that when the effective infectious rate of funds (lambda) 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 (gamma) ranges from 0.005 to 0.03. In addition, the study of the delay items shows that the first delay item contributes greatly to the stability of the equilibrium point, and thus we can control the size of the delay items with the policy change in order to achieve the purpose of macro-economic regulation. The result of the parameter inversion algorithm has no difference from the simulation results. It shows clearly that the application of the Bayesian neural network on parameter inversion is feasible. (C) 2019 Elsevier B.V. All rights reserved.
关键词	Epidemic model Fund contagion Herd behaviour Parameter inversion
DOI	10.1016/j.physa.2019.03.098
语种	英语
资助项目	National Natural Science Foundation of China[71501176]
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000474503800069
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35055
专题	中国科学院数学与系统科学研究院
通讯作者	Sun, Shaolong
作者单位	1.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Guangzhou 510275, Guangdong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 4.City Univ Hong Kong, Sch Data Sci, Kowloon, Tat Chee Ave, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Zhou, Qi,Sun, Shaolong,Liu, Qian. The capital flow of stock market studies based on epidemic model with double delays[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2019,526:18.
APA	Zhou, Qi,Sun, Shaolong,&Liu, Qian.(2019).The capital flow of stock market studies based on epidemic model with double delays.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,526,18.
MLA	Zhou, Qi,et al."The capital flow of stock market studies based on epidemic model with double delays".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 526(2019):18.