Description of dynamics of stock prices by a Langevin approach

Chinese Physics

Volumn 16, Issue 4, 2007, Pages 975-983

  Huang, Zi Gang ^a   Chen, Yong ^a   Zhang, Yong ^b   Wang, Ying Hai ^a  

^a LANZHOU UNIVERSITY   (China)

^b HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Autocorrelation; Drift parameter; Financial time series; Langevin approach

Indexed keywords

APPROXIMATION THEORY; AUTOCORRELATION; FINANCIAL DATA PROCESSING; RANDOM PROCESSES; STOCHASTIC MODELS;

DRIFT PARAMETERS; FINANCIAL TIME SERIES; LANGEVIN APPROACH; SLOPE COEFFICIENT;

TIME SERIES ANALYSIS;

EID: 34250167962     PISSN: 10091963     EISSN: 17414199     Source Type: Journal    
DOI: 10.1088/1009-1963/16/4/019     Document Type: Article

References (35)

1. Bachelier L 1900 Ann. Sci. cole Norm. Suppl. 3 21
2. Pareto V 1927 Manuel d'Economie Politique (Paris: Marcel Giard)
3. Lévy P 1937 Théorie de l'Addition des Variables Aléatoires (Paris: Gauthier-Villars)
4. Mandelbrot B B 1963 J. Business 36 294
5. Mao X M, Sun K and Ouyang Q 2002 Chin. Phys. 11 1106
6. Qiu T, Zheng B, Ren F and Trimper S 2006 Phys. Rev. E 73 065103
7. Matengna R N and Stanley H E 1971 An Introduction to Econophysics (New York: Oxford University Press)
8. Zhang Y C 1999 Physica A 269 30
9. Liu Y, Gopikrishnan P, Cizeau P, Meyer M, Peng C K and Stanley H E 1999 Phys. Rev. E 60 1390
10. Gopikrishnan P, Plerou V, NunesAmaral L A, Meyer M and Stanley H E 1999 Phys. Rev. E 60 5305
11. Fama E 1970 J. Finance 25 383
12. LeBaron B 1992 J. Business 65 199
13. Boguna M and Masoliver J 2004 Eur. Phys. J. B 40 347
14. Ohira T, Sazuka N, Marumo K, Shimizu T, Takayasu M and Takayasu H 2002 Physica A 308 368
15. Sazuka N, Ohira T, Marumo K, Shimizu T, Takayasu M and Takayasu H 2003 Physica A 324 366
16. Zhou G Z, Su Z B, Hao B L and Yu L 1980 Acta Phys. Sin. 29 961 (in Chinese)
17. Yang H J, Zhuo Y Z and Wu X Z 1994 Acta Phys. Sin. 43 539 (in Chinese)
18. Zhan Y, Zhao T J, Yu H and Song Y L 2002 Chin. Phys. 11 624
19. Wang X Y and Meng Q Y 2004 Acta Phys. Sin. 53 388 (in Chinese)
20. Hull J and White A 1990 Rev. Financ. Stud. 3 573
21. Cox J C, Ingersoll J E and Ross S A 1985 Econometrica 53 385
22. Fouque J P, Papanicolaou G and Sircar K R 2000 Derivatives in Financial Markets with Stochastic Volatility (Cambridge: Cambridge University Press)
23. Hull J and White A 1987 J. Financ. 42 281
24. Heston S L 1993 Rev. Financ. Stud. 6 327
25. Cox J C, Ingersoll J E and Ross S A 1985 Econometrica 53 363
26. Feller W 1951 Ann. Math. 54 173
27. Risken H 1984 The Fokker - Planck Equation (Berlin: Springer)
28. Friedrich R, Peinke J and Renner Ch 2000 Phys. Rev. Lett. 84 5224
29. Ivanova K, Ausloos M and Takayasu H [cond-mat/0301268]
30. Sura P and Barsugli J 2002 Phys. Lett. A. 305 304
31. Richmond P 2001 Eur. Phys. J. B 20 523
32. Anteneodo C and Riera R 2005 Phys. Rev. E 72 026106
33. Wang C J, Chen S B and Mei D C 2006 Chin. Phys. 15 1435
34. Neter J, Wasserman W and Kutner M H 1983 Applied Linear Regression Models (Irwin, IL: McGraw-Hill)
35. Seber G A F 1977 Linear Regression Analysis (New York: Wiley)