中国物理B ›› 2007, Vol. 16 ›› Issue (4): 975-983.doi: 10.1088/1009-1963/16/4/019
张勇1, 黄子罡2, 陈勇2, 汪映海2
Huang Zi-Gang(黄子罡)a), Chen Yong(陈勇)a), Zhang Yong(张勇)b), and Wang Ying-Hai(汪映海)a)
摘要: 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 significance of this linear restoring force to the prices evolution from its two coefficients, the equilibrium position and the slope coefficient. The daily log-returns of S&P 500 index from 1950 to 1999 are especially analysed. The new simple form of the restoring force obtained both from mathematical and numerical analyses suggests that the Langevin approach can effectively present not only the macroscopical but also the detailed properties of the price evolution.
中图分类号: (Stochastic analysis methods)