Huang, Zi-Gang; Chen, Yong; Zhang, Yong; Wang, Ying-Hai - arXiv.org - 2005
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...