As an emerging financial instrument, the risk of asset price bubbles is becoming more and more prominent and has a far-reaching impact on the global financial market. Based on the ADF model and PSY algorithm, the study constructs an asset price bubble identification model, explores the formation mechanism of asset price bubbles in the financial market, the contagion effect of asset price bubbles in the inter-market, and ultimately puts forward suggestions for targeted regulatory strategies. In the numerical simulation of the formation mechanism of asset price bubbles, both Bubble 1 and Bubble 2 experience 10 periods, and the peaks of the two bubbles appear at t=14 and t=34.5, respectively. The rate of rise of asset prices is slower than the rate of decline, and the impact on the financial market is greater when the financial asset bubble bursts. There is a two-way bidirectional contagion effect between the three markets of stock, bond, and property. Therefore, regulation of asset price bubbles should focus on improving the stock market trading system, publicizing and educating, and restricting real estate loans.