Description of dynamics of stock prices by a Langevin approach

  title={Description of dynamics of stock prices by a Langevin approach},
  author={Zi-Gang Huang and Yong Chen and Yong Zhang and Yinghai Wang},
  journal={Chinese Physics},
We have studied the Langevin description of stochastic dynamics of financial time series. A sliding-window algorithm is used for our analysis. We find that the fluctuation of stock prices can be understood from the view of a time-dependent drift force corresponding to the drift parameter in Langevin equation. It is revealed that the statistical results of the drift force estimated from financial time series can be approximately considered as a linear restoring force. We investigate the… 

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