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Initial Data Analysis

Initial Data Analysis. Kunal Jain February 17, 2010 Economics 201FS. Raw Data. Amazon (AMZN): August 1, 1997 – January 7, 2009 2,846 Days Johnson & Johnson (JNJ): April 9, 1997 – January 7, 2009 2,923 Days Microsoft Corporation (MSFT): April 16, 1997 – January 7, 2009 2,921 Days

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Initial Data Analysis

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  1. Initial Data Analysis Kunal Jain February 17, 2010 Economics 201FS

  2. Raw Data • Amazon (AMZN): • August 1, 1997 – January 7, 2009 • 2,846 Days • Johnson & Johnson (JNJ): • April 9, 1997 – January 7, 2009 • 2,923 Days • Microsoft Corporation (MSFT): • April 16, 1997 – January 7, 2009 • 2,921 Days • 2:1 Share splits • February 23, 1998, March 29, 1999, Feb 18, 2003, • Price data available every minute from 9:35 AM to 3:59 PM for each trading day

  3. AMZN- Share Price Levels Share Price ($) Time (Years)

  4. AMZN- Adjusted Log Returns Adjusted 1-Minute Returns Time (Years) • 1-minute returns

  5. AMZN- Realized Variation Realized Variance Time (Years)

  6. AMZN- Bi-Power Variation Realized Variance Time (Years)

  7. AMZN- RV & BV Realized Variance Time (Years)

  8. AMZN- Volatility Signature Plot Average Annualized Realized Volatility (%) Sampling Frequency

  9. AMZN- Jump Detection Tri-power Quarticity Z Values Time (Years)

  10. AMZN- Jump Detection Quad-power Quarticity Z Values Time (Years)

  11. AMZN- Jump Detection (Ratio Adjusted) Tri-power Quarticity Z Values Time (Years)

  12. AMZN- Jump Detection (Ratio Adjusted) Quad-power Quarticity Z Values Time (Years)

  13. Results- AMZN

  14. MSFT- Share Price Levels Share Price ($) Time (Years)

  15. MSFT- Adjusted Log Returns Adjusted 1-Minute Returns Time (Years) • 1-minute returns

  16. MSFT- Realized Variation Realized Variance Time (Years)

  17. MSFT- Bi-power Variation Realized Variance Time (Years)

  18. MSFT- RV & BV Realized Variance Time (Years)

  19. MSFT- Volatility Signature Plot Average Annualized Realized Volatility (%) Sampling Frequency

  20. MSFT- Jump Detection Tri-power Quarticity Z Values Time (Years)

  21. MSFT- Jump Detection Quad-power Quarticity Z Values Time (Years)

  22. MSFT- Jump Detection (Ratio Adjusted) Tri-power Quarticity Z Values Time (Years)

  23. MSFT- Jump Detection (Ratio Adjusted) Quad-power Quarticity Z Values Time (Years)

  24. Results- MSFT

  25. JNJ- Share Price Levels Share Price ($) Time (Years)

  26. JNJ- Adjusted Log Returns Adjusted 1-Minute Returns Time (Years) • 1-minute returns

  27. JNJ- Realized Variation Realized Variance Time (Years)

  28. JNJ- Bi-power Variation Realized Variance Time (Years)

  29. JNJ- RV & BV Realized Variance Time (Years)

  30. JNJ- Volatility Signature Plot Average Annualized Realized Volatility (%) Sampling Frequency

  31. JNJ- Jump Detection Tri-power Quarticity Z Values Time (Years)

  32. JNJ- Jump Detection Quad-power Quarticity Z Values Time (Years)

  33. JNJ- Jump Detection (Ratio Adjusted) Tri-power Quarticity Z Values Time (Years)

  34. JNJ- Jump Detection (Ratio Adjusted) Quad-power Quarticity Z Values Time (Years)

  35. Results- JNJ

  36. Results & Plans • Experience with MATLAB • Sources of error due to computational skills • Intense Introduction • Better understanding of BNS testing • AMZN and JNJ jump test results • Run with i.d.d. randomly generated numbers • Time interval based on volatility signature plot • Additional Work and Background Reading • Refine existing results • Use other sampling frequencies to check results • Utilize more tests • Look at public announcements that relate to z-statistics

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