1 / 36

Initial Data Analysis

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

parley
Download Presentation

Initial Data Analysis

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. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript


  1. Initial Data Analysis Kunal Jain February 17, 2010 Economics 201FS

  2. 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

  3. AMZN- Share Price Levels Share Price ($) Time (Years)

  4. AMZN- Adjusted Log Returns Adjusted 1-Minute Returns Time (Years) • 1-minute returns

  5. AMZN- Realized Variation Realized Variance Time (Years)

  6. AMZN- Bi-Power Variation Realized Variance Time (Years)

  7. AMZN- RV & BV Realized Variance Time (Years)

  8. AMZN- Volatility Signature Plot Average Annualized Realized Volatility (%) Sampling Frequency

  9. AMZN- Jump Detection Tri-power Quarticity Z Values Time (Years)

  10. AMZN- Jump Detection Quad-power Quarticity Z Values Time (Years)

  11. AMZN- Jump Detection (Ratio Adjusted) Tri-power Quarticity Z Values Time (Years)

  12. AMZN- Jump Detection (Ratio Adjusted) Quad-power Quarticity Z Values Time (Years)

  13. Results- AMZN

  14. MSFT- Share Price Levels Share Price ($) Time (Years)

  15. MSFT- Adjusted Log Returns Adjusted 1-Minute Returns Time (Years) • 1-minute returns

  16. MSFT- Realized Variation Realized Variance Time (Years)

  17. MSFT- Bi-power Variation Realized Variance Time (Years)

  18. MSFT- RV & BV Realized Variance Time (Years)

  19. MSFT- Volatility Signature Plot Average Annualized Realized Volatility (%) Sampling Frequency

  20. MSFT- Jump Detection Tri-power Quarticity Z Values Time (Years)

  21. MSFT- Jump Detection Quad-power Quarticity Z Values Time (Years)

  22. MSFT- Jump Detection (Ratio Adjusted) Tri-power Quarticity Z Values Time (Years)

  23. MSFT- Jump Detection (Ratio Adjusted) Quad-power Quarticity Z Values Time (Years)

  24. Results- MSFT

  25. JNJ- Share Price Levels Share Price ($) Time (Years)

  26. JNJ- Adjusted Log Returns Adjusted 1-Minute Returns Time (Years) • 1-minute returns

  27. JNJ- Realized Variation Realized Variance Time (Years)

  28. JNJ- Bi-power Variation Realized Variance Time (Years)

  29. JNJ- RV & BV Realized Variance Time (Years)

  30. JNJ- Volatility Signature Plot Average Annualized Realized Volatility (%) Sampling Frequency

  31. JNJ- Jump Detection Tri-power Quarticity Z Values Time (Years)

  32. JNJ- Jump Detection Quad-power Quarticity Z Values Time (Years)

  33. JNJ- Jump Detection (Ratio Adjusted) Tri-power Quarticity Z Values Time (Years)

  34. JNJ- Jump Detection (Ratio Adjusted) Quad-power Quarticity Z Values Time (Years)

  35. Results- JNJ

  36. 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

More Related