Description of dynamics of stock prices by a Langevin approach

Details Description of dynamics of stock prices by a Langevin approach Description of dynamics of stock prices by a Langevin approach

2005-11-14

arxiv.org/abs/physics/0511129v1

Chinese Physics 16, 1009 (2007)

Physics

Physics and Society

7 pages, 7 figures. Comments and suggestions are favored

Scientific paper

We present a time-dependent Langevin description of dynamics of stock prices. Based on a simple sliding-window algorithm, the fluctuation of stock prices is discussed in the view of a time-dependent linear restoring force which is the linear approximation of the drift parameter in Langevin equation estimated from the financial time series. By choosing suitable weighted factor for the linear approximation, the relation between the dynamical effect of restoring force and the autocorrelation of the financial time series is deduced. We especially analyze the daily log-returns of S$&$P 500 index from 1950 to 1999. The significance of the restoring force towards the prices evolution are investigated from its two coefficients, slope coefficient and equilibrium position. The new simple form of the restoring force obtained both from statistical and theoretical analyses suggests that the Langevin approach can effectively present the macroscopical and the detail properties of the price evolution.

Affiliated with

Also associated with

No associations

Rating

Description of dynamics of stock prices by a Langevin approach does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Description of dynamics of stock prices by a Langevin approach, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Description of dynamics of stock prices by a Langevin approach will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-218963