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High-Frequency Analysis of WFC and PFE

High-Frequency Analysis of WFC and PFE. Sean Puneky. Assumptions. All data has been scrubbed to remove any day where more than 10% of the values from that day were flagged as invalid All returns are log returns Inter-day returns were replaced with the returns from the minute before.

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High-Frequency Analysis of WFC and PFE

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  1. High-Frequency Analysis of WFC and PFE Sean Puneky

  2. Assumptions • All data has been scrubbed to remove any day where more than 10% of the values from that day were flagged as invalid • All returns are log returns • Inter-day returns were replaced with the returns from the minute before

  3. Minute-by-Minute PFE Price

  4. Minute-by-Minute WFC Price

  5. Daily Returns: PFE

  6. Daily Returns: WFC

  7. Background Math & Theory • Realized Variance • Volatility Signature Plot • Plot of Realized Volatility vs. Time Measured Over

  8. Volatility Signature Plot: WFC

  9. Volatility Signature Plot: WFC 1-60 minute plot 1-30 day plot

  10. Volatility Signature Plot: WFC

  11. Volatility Signature Plot: PFE

  12. Volatility Signature Plot: PFE 1-60 minute plot 1-30 day plot

  13. Volatility Signature Plot: PFE

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