You can tell a stock time series by certain characteristics:
1) There are more jumps down than up. (Maybe not in Pharma, but in general). If there's a gap up, chances are it's on earnings day.
2) Upward movements tend to be accompanied by lower volatility, and downwards by higher.
3) There's a lot of nothing-happened days, and a lot more large jumps than you'd expect in a random walk.
I've also spent a bunch of time generating random walks, and it's true that some look realistic, but they often fall into this trap that stock returns are not normally distributed.
I also wrote a number of random trading backtests, and it's frightening how few times you need to click the "recalculate" button to get a thing that looks like a money printing machine.
1) There are more jumps down than up. (Maybe not in Pharma, but in general). If there's a gap up, chances are it's on earnings day.
2) Upward movements tend to be accompanied by lower volatility, and downwards by higher.
3) There's a lot of nothing-happened days, and a lot more large jumps than you'd expect in a random walk.
I've also spent a bunch of time generating random walks, and it's true that some look realistic, but they often fall into this trap that stock returns are not normally distributed.
I also wrote a number of random trading backtests, and it's frightening how few times you need to click the "recalculate" button to get a thing that looks like a money printing machine.