Initial data analysis
Download
1 / 36

Initial Data Analysis - PowerPoint PPT Presentation


  • 79 Views
  • Uploaded on

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

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about ' Initial Data Analysis' - brendan-welch


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
Initial data analysis

Initial Data Analysis

Kunal Jain

February 17, 2010

Economics 201FS


Raw data
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


Amzn share price levels
AMZN- Share Price Levels

Share Price ($)

Time (Years)


Amzn adjusted log returns
AMZN- Adjusted Log Returns

Adjusted 1-Minute Returns

Time (Years)

  • 1-minute returns


Amzn realized variation
AMZN- Realized Variation

Realized Variance

Time (Years)


Amzn bi power variation
AMZN- Bi-Power Variation

Realized Variance

Time (Years)


Amzn rv bv
AMZN- RV & BV

Realized Variance

Time (Years)


Amzn volatility signature plot
AMZN- Volatility Signature Plot

Average Annualized Realized Volatility (%)

Sampling Frequency


Amzn jump detection
AMZN- Jump Detection

Tri-power Quarticity

Z Values

Time (Years)


Amzn jump detection1
AMZN- Jump Detection

Quad-power Quarticity

Z Values

Time (Years)


Amzn jump detection ratio adjusted
AMZN- Jump Detection (Ratio Adjusted)

Tri-power Quarticity

Z Values

Time (Years)


Amzn jump detection ratio adjusted1
AMZN- Jump Detection (Ratio Adjusted)

Quad-power Quarticity

Z Values

Time (Years)



Msft share price levels
MSFT- Share Price Levels

Share Price ($)

Time (Years)


Msft adjusted log returns
MSFT- Adjusted Log Returns

Adjusted 1-Minute Returns

Time (Years)

  • 1-minute returns


Msft realized variation
MSFT- Realized Variation

Realized Variance

Time (Years)


Msft bi power variation
MSFT- Bi-power Variation

Realized Variance

Time (Years)


Msft rv bv
MSFT- RV & BV

Realized Variance

Time (Years)


Msft volatility signature plot
MSFT- Volatility Signature Plot

Average Annualized Realized Volatility (%)

Sampling Frequency


Msft jump detection
MSFT- Jump Detection

Tri-power Quarticity

Z Values

Time (Years)


Msft jump detection1
MSFT- Jump Detection

Quad-power Quarticity

Z Values

Time (Years)


Msft jump detection ratio adjusted
MSFT- Jump Detection (Ratio Adjusted)

Tri-power Quarticity

Z Values

Time (Years)


Msft jump detection ratio adjusted1
MSFT- Jump Detection (Ratio Adjusted)

Quad-power Quarticity

Z Values

Time (Years)



Jnj share price levels
JNJ- Share Price Levels

Share Price ($)

Time (Years)


Jnj adjusted log returns
JNJ- Adjusted Log Returns

Adjusted 1-Minute Returns

Time (Years)

  • 1-minute returns


Jnj realized variation
JNJ- Realized Variation

Realized Variance

Time (Years)


Jnj bi power variation
JNJ- Bi-power Variation

Realized Variance

Time (Years)


Jnj rv bv
JNJ- RV & BV

Realized Variance

Time (Years)


Jnj volatility signature plot
JNJ- Volatility Signature Plot

Average Annualized Realized Volatility (%)

Sampling Frequency


Jnj jump detection
JNJ- Jump Detection

Tri-power Quarticity

Z Values

Time (Years)


Jnj jump detection1
JNJ- Jump Detection

Quad-power Quarticity

Z Values

Time (Years)


Jnj jump detection ratio adjusted
JNJ- Jump Detection (Ratio Adjusted)

Tri-power Quarticity

Z Values

Time (Years)


Jnj jump detection ratio adjusted1
JNJ- Jump Detection (Ratio Adjusted)

Quad-power Quarticity

Z Values

Time (Years)



Results plans
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


ad