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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

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
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