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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 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,

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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

  • 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,

  • Johnson & Johnson (JNJ):

    • April 9, 1997 – January 7, 2009

    • 2,923 Days

  • Price data available every minute from 9:35 AM to 3:59 PM for each trading day


Amzn log returns
AMZN- Log Returns

  • 10-minute returns excluding overnight returns


Amzn realized variation
AMZN- Realized Variation


Amzn bi power variation
AMZN- Bi-Power Variation


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


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



Msft rv bv
MSFT- RV & BV


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

  • 10-minute returns excluding overnight returns


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

  • 10-minute returns excluding overnight returns



Jnj rv bv
JNJ- RV & BV


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


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



Amzn median based test
AMZN- Median Based Test

AMZN- Median Based Z-test



Msft median based test
MSFT- Median Based Test

MSFT- Median Based Z-test



Jnj median based test
JNJ- Median Based Test



Further research and extensions
Further Research and Extensions

  • Lee Mykland 2006- Jumps in Financial Markets

    • Expand upon Van Tassel 2007- early morning effect in conjunction with “Earnings Surprise”

    • Associated with Overnight “Earnings Surprise”/ Analyst Opinion changes

      • Downgrade/Upgrade

    • Sector Based Approach

    • Gordon Growth Model

    • Capital Asset Pricing Model


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