Data analysis ii
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Mingwei Lei March 3 rd , 2010 Econ 201S. Data Analysis II. Things to Improve on From Last Presentation. Explain everything on slides Include graphs as well as numerical results Improve the visual presentation of the slides More ideas for research. VZ: Tests Using TP Quarticity. Z TP

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Data Analysis II

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Data analysis ii

Mingwei Lei

March 3rd, 2010

Econ 201S

Data Analysis II


Things to improve on from last presentation

Things to Improve on From Last Presentation

  • Explain everything on slides

  • Include graphs as well as numerical results

  • Improve the visual presentation of the slides

  • More ideas for research


Vz tests using tp quarticity

VZ: Tests Using TP Quarticity

ZTP

0.1% - 208 (9.83%)

1% - 335 (15.8%)

5% - 503 (23.8%)

ZTP , l

0.1% - 137 (6.47%)

1% - 274 (12.9%)

5% - 472 (22.3%)

ZTP , lm

0.1% - 125 (5.90%)

1% - 247 (11.7%)

5% - 452 (21.4%)


Vz tests using qp quarticity

VZ: Tests Using QP Quarticity

ZQP

0.1% - 233 (11.0%)

1% - 369 (17.4%)

5% - 576 (27.2%)

ZQP, l

0.1% - 208 (9.83%)

1% - 335 (15.8%)

5% - 503 (23.8%)

ZQP, lm

0.1% - 208 (9.83%)

1% - 335 (15.8%)

5% - 503 (23.8%)


Hpq tests using tp quarticity

HPQ: Tests Using TP Quarticity

ZTP

0.1% - 312 (10.7%)

1% - 490 (16.7%)

5% - 746 (25.5%)

ZTP, l

0.1% - 231 (7.90%)

1% - 445 (15.2%)

5% - 760 (26.0%)

ZTP, lm

0.1% - 211 (7.22%)

1% - 427 (14.6%)

5% - 743 (25.4%)


Hpq tests using qp quarticity

HPQ: Tests Using QP Quarticity

ZQP

0.1% - 401 (13.7%)

1% - 618 (21.1%)

5% - 914 (31.3%)

ZQP, l

0.1% - 326 (11.1%)

1% - 525 (18.0%)

5% - 844 (28.9%)

ZQP, lm

0.1% - 251 (8.58%)

1% - 464 (15.9%)

5% - 784 (26.8%)


Ko tests using tp quarticity

KO: Tests Using TP Quarticity

ZTP

0.1% - 281 (9.61%)

1% - 452 (15.4%)

5% - 706 (24.1%)

ZTP, l

0.1% - 211 (7.21%)

1% - 419 (14.3%)

5% - 733 (25.0%)

ZTP, lm

0.1% - 192 (6.57%)

1% - 395 (13.5%)

5% - 708 (24.2%)


Ko tests using qp quarticity

KO: Tests Using QP Quarticity

ZQP

0.1% - 418 (14.3%)

1% - 647 (22.1%)

5% - 947 (32.4%)

ZQP, l

0.1% - 289 (9.88%)

1% - 494 (16.9%)

5% - 819 (28.0%)

ZQP, lm

0.1% - 220 (7.52%)

1% - 428 (14.6%)

5% - 751 (25.7%)


Vz jump detection median test using tp quarticity

VZ Jump Detection: Median Test Using TP Quarticity

  • Results:

  • 0.1% level – 30/2117 (1.42%)

  • 1% level – 75/2117 (3.31%)

  • 5% level – 186/2117 (8.79%)


Hpq jump detection median test using tp quarticity

HPQ Jump Detection: Median Test Using TP Quarticity

  • Results:

  • 0.1% level – 56/2924 (1.9%)

  • 1% level – 115/2924 (3.93%)

  • 5% level – 279/2924 (9.54%)


Ko jump detection median test using tp quarticity

KO Jump Detection: Median Test Using TP Quarticity

  • Results:

  • 0.1% level – 33/2924 (1.13%)

  • 1% level – 107/2924 (3.66%)

  • 5% level – 261/2924 (8.93%)


A possible research topic

A Possible Research Topic

  • It is sometimes said that correlations between stocks increases when the market is tanking

  • The goal is to explore the empirical relationship between coefficient of correlation between various stocks of similar industries and market returns

  • Process:

    • Match up individual stocks’ data and S&P data

    • Partition data into periods to be analyzed (by week, by month, etc.)

    • Calculate the market returns for each period

    • Calculate the coefficient of correlation of returns (hourly, daily, etc) between stocks for each period

    • Plot coefficient of correlation against returns and find a relationship


Another possible research topic

Another Possible Research Topic

  • Find relationship between beta and market returns

  • Process:

    • Match up individual stocks’ data and S&P data

    • Partition data into periods to be analyzed (by week, by month, etc.)

    • Calculate time variant realized betas over periods

    • Calculate the market returns for each period

    • Plot realized betas vs. market returns and find a relationship


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