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Analysing Stock Volume Patterns: Insights from S&P 100 Giants

This presentation delves into the volume patterns of top S&P 100 stocks like AAPL, MSFT, JPM, examining jump tests, Kolmogorov-Smirnov tests, and daily volume trends. Discover how volume impacts stock behavior.

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Analysing Stock Volume Patterns: Insights from S&P 100 Giants

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Presentation Transcript

  1. Final Presentation Siyu Zheng

  2. Continuing from last time… • Looked at volumes of largest stocks (by MCap) in S&P 100 • AAPL, CSCO, CVX, GE, IBM, JNJ, JPM, MSFT, PG, T, XOM • 3 volumes were calculated for each jump test statistic at time t • Before (summed volume t-11 to t-6) • During (summed volume t-5 to t) • After (summed volume t+1 to t+6)

  3. Density Estimates

  4. Kolmogorov–Smirnov testJump vs No Jump (1 tailed)

  5. CVX Daily Volume Pattern

  6. AAPL AAPL

  7. Kolmogorov–Smirnov testwith jump

  8. Kolmogorov–Smirnov testno jumps

  9. Mean Volume (5 minutes)

  10. Median Volume ( 5 minutes)

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