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Econ 201 Presentation 2

Explore the impact of RV, BP, and QP on financial market calculations and correlations, examining intraday and interday variations with JNJ and KO data.

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Econ 201 Presentation 2

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  1. Econ 201 Presentation 2

  2. JNJ: 2923 Days 385 Minutes/Day KO: 2924 Days 385 Minutes/Day

  3. KO Price By Minute >> mean(KOprice) ans = 52.7879

  4. JNJ Price By Minute >> mean(JNJprice) ans = 53.2906

  5. JNJ Daily Prices >> mean(JNJmean) ans = 53.2906

  6. RV

  7. RV for KO Sampling Every 11 minutes

  8. RV JNJ Sampled Every 11 Minutes

  9. BP

  10. BP KO Sampling Every 11 Minutes

  11. BP JNJ Sampling Every 11 Minutes

  12. BP Overnight JNJ

  13. BP Overnight KO

  14. Difference Between RV and BP for JNJ (Standardized)

  15. Difference Between RV and BP for KO (Standardized)

  16. Difference Between RV and BP for JNJ

  17. Difference Between RV and BP for KO

  18. Future ExaminationHow does the increased difference between RV and BP when RV and BP are high affect calculations?

  19. QP for JNJ

  20. QP for KO

  21. Z for JNJ

  22. Z for KO

  23. Continuation Examine Correlation Between Intraday and Interday Variation Examine Correlation Between RV, BP, and QP Examine Benefits of Differing Variation Techniques

  24. Following Slides for Clarification of Jump

  25. QP Term for JNJ

  26. QP Term for KO

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