I've heard that stock prices are random. But I know if the price is 15 at one tick, the next price has a range that hovers around 15 because it won't randomly hit 15,000,000 in the next tick.
Fist, how could I go about finding the answer to that question myself? I was thinking of downloading historical tick data on Apple Inc. and running this regression in Stata
reg price time
then doing a newey test. Would I need to include volume? And what lag is normally used for this?
Second, to find an answer about stocks in general, would I have to look at every stock? Or is a random sample good enough?
I looked at some research from the top google results of "is there autocorrelation in stock prices". But it was a little over my head. What I managed to gather is that at least for stock returns yes, there is, in large diversified portfolios. Any further light and knowledge is appreciated.