Predicting Stock Prices
Perhaps one of the most obvious applications of time-series analysis is forecasting the direction of markets. Given enough historical data, you should be able to predict the future performance of a given equity or market, right? As you’ll find out later in this chapter, the problem of forecasting markets is exceptionally difficult. If it were as easy as throwing a neural network at the problem, everybody would be doing it. Despite the challenges, attempting to forecast stock prices is a good exercise in time-series analysis and a good demonstration of the pitfalls of putting too much faith in a model.
In this example, you’ll be working with the historical stock data for 30 companies in the Dow Jones Industrial Average ...
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