The SIR Model Of Investor Behavior And Empirical Analysis

In the field of behavioral finance, the research about the influence of the market that investment behavior of investors in the stock market is the current hot issues. However, so far, about the stock market volatility model based on investor behavior to infect research is almost a blank state. The major innovations of this paper is to combine biology, dynamics, finance, statistics, and so on discipline to research the stock market funds flow model on the base of behavioral finance, and be more accurate to analysis the decision-making behavior of investors real investment.In this thesis, under the theory of behavioral finance、infectious disease modeling ideas and methods for reference, the stock market funds is divided into three categories:Watching money(5), invest money(Ⅰ)and exit money(R), establish the SIR model between the flow of different kinds of money, to transmission simulation based on investor behavior of Chinese stock market’s cash flow problems, through the knowledge of the differential equation of dynamics system, qualitative analysis was carried out on the stability of balance model, theoretically obtained threshold value theory of the SIR model about stock fluctuation. And do the empirical studies to model and results using the Shanghai composite index. The results showed that, model of infection rate and removal rate, the size of the input rate θ and the ratio of the change is consistent with the condition of stocks dl, and comply with the threshold value theorem. Finally, do the correlation and causal analysis for 9 and dl, the results show that the two variables have the more strong associated relation, and dl is the Granger reason why θ changes. It shows that using the SIR model to fit the change the stock market not only has the very strong feasibility and practical significance, and has more innovation and application value.