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Preliminary Data Analysis

Preliminary Data Analysis. Abhinay Sawant February 4, 2009 Economics 201FS. Raw Data. Morgan Stanley (MS): January 17, 2009 – January 7, 2009 742 Days, 119 Imputed Data Points (0.04%) McDonald’s Corp. (MCD): April 17, 2009 – January 7, 2009 2,295 Days, 24,518 Imputed Data Points (2.18%)

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Preliminary Data Analysis

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  1. Preliminary Data Analysis Abhinay Sawant February 4, 2009 Economics 201FS

  2. Raw Data • Morgan Stanley (MS): • January 17, 2009 – January 7, 2009 • 742 Days, 119 Imputed Data Points (0.04%) • McDonald’s Corp. (MCD): • April 17, 2009 – January 7, 2009 • 2,295 Days, 24,518 Imputed Data Points (2.18%) • Price data available every minute from 9:35 AM to 3:59 PM for each trading day

  3. Cleaning Up the Raw Data • McDonald's Corp. (MCD): • 2008-07-21: 3:58 pm 59.75 • 2008-07-21: 3:59 pm 59.79 • 2008-07-22: 9:35 am 0.001 • 2008-07-22: 9:36 am 0.001 • 2008-07-22: 9:37 am 59.995 • 2008-07-22: 9:38 am 60.058 • Imputed data for times 9:35 am and 9:36 am

  4. MS Share Price

  5. MCD Share Price

  6. MS Signature Volatility Plot • Not intraday returns, includes overnights

  7. MS Signature Volatility Plot • Not intraday returns, includes overnights

  8. MCD Signature Volatility Plot • Not intraday returns, includes overnights

  9. MCD Signature Volatility Plot • Not intraday returns, includes overnights

  10. MS Returns • Includes overnight returns

  11. MCD Returns • Includes overnight returns

  12. MS Realized Variance

  13. MCD Realized Variance

  14. MS Jump Detection: Quad-Power Quarticity • 1% Significance Level = 69 jump days / 742 (9.30%) • 5% Significance Level = 127 jump days / 742 (17.12%) • 10% Significance Level = 171 jump days / 742 (23.05%)

  15. MCD Jump Detection: Quad-Power Quarticity • 1% Significance Level = 458 jump days / 2925 (15.66%) • 5% Significance Level = 724 jump days / 2925 (24.75%) • 10% Significance Level = 859 jump days / 2925 (29.37%)

  16. MCD Jump Detection: Quad-Power Quarticity

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