Financial time series analysis (FTSA) involves working with asset valuation over time, such as currency exchange or stock market prices. FTSA addresses a particular feature, the uncertainty in words of the famous American financier J. P. Morgan, when asked what the stock market will do, he replied:
"It will fluctuate."
The uncertainty of financial time series states that the volatility of a stock price cannot be directly observable. In fact, Louis Bachelier's Theory of Speculation (1900) postulated that prices ﬂuctuate randomly.
In the following screenshot, we can see the time series of Apple Inc. Historical stock prices for the last 3 months. In fact, simple random processes can create a time series, which will closely resemble this real-time series. The random walk model is considered in FTSA as a statistical model for the movement of logged stock prices:
We can download the Apple Inc. Historical Stock Prices from the Nasdaq website, http://www.nasdaq.com/symbol/aapl...