A Random Walk down the Stock Market
For the first post of this blog, I think it is apt to start with a random walk down the stock market. People in the market should be of no stranger to the Random Walk Hypothesis (RWH) . The concept of random walk could be traced back to Jules Regnault, a French broker in the 1800s. The term was later popularised by the book, A Random Walk Down Wall Street , written by Burton Malkiel. It is a financial theory that suggests stock prices evolve randomly and thus cannot be predicted by past trend. In this post, I put the RWH to test by constructing a Long Short-Term Memory (LSTM) model to predict stock price movement (up or down) one day ahead. The data used in this analysis was obtained from Kaggle . It contains stock market information of securities listed on the two US stock exchanges, NASDAQ and NYSE. The Date, Open, Low, High, Close, Adjusted Close and Volume of each trading day was provided for each stock. For this anal