{
  "annotation_id": "ec139729-2e5d-447c-a36f-40eb29330de1",
  "date_created": "2026-03-02T18:01:04.163000Z",
  "date_modified": "2026-03-02T18:01:04.163000Z",
  "file_hash": "a7b4495080d7f5e1bce11b4aa7fce6180f9ca446854241f4a6a651085da422ab",
  "private": false,
  "record": {
    "abstract": "We present a time-dependent Langevin description of dynamics of stock prices.\nBased on a simple sliding-window algorithm, the fluctuation of stock prices is\ndiscussed in the view of a time-dependent linear restoring force which is the\nlinear approximation of the drift parameter in Langevin equation estimated from\nthe financial time series. By choosing suitable weighted factor for the linear\napproximation, the relation between the dynamical effect of restoring force and\nthe autocorrelation of the financial time series is deduced. We especially\nanalyze the daily log-returns of S$\u0026$P 500 index from 1950 to 1999. The\nsignificance of the restoring force towards the prices evolution are\ninvestigated from its two coefficients, slope coefficient and equilibrium\nposition. The new simple form of the restoring force obtained both from\nstatistical and theoretical analyses suggests that the Langevin approach can\neffectively present the macroscopical and the detail properties of the price\nevolution.",
    "arxiv_id": "physics/0511129",
    "authors": [
      "Zi-Gang Huang",
      "Yong Chen",
      "Yong Zhang",
      "Ying-Hai Wang"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "journal_ref": "Chinese Physics 16, 1009 (2007)",
    "title": "Description of dynamics of stock prices by a Langevin approach",
    "url": "https://arxiv.org/abs/physics/0511129"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "4065debb-82be-466c-87cd-a68d818a12fb",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}