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Enhancements for Data Presentation and Research Ideas in Financial Analysis

This document outlines key improvements for the upcoming presentation, including the need for comprehensive explanations on slides, integration of graphs alongside numerical data, and enhancements in visual appeal. Additionally, it presents intriguing research topics, such as exploring the correlation between stock performance and market returns, as well as examining the relationship between beta and market returns. The proposed methodologies aim to analyze stock data in conjunction with S&P data over specified periods, focusing on identifying trends and correlations relevant to financial analysis.

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Enhancements for Data Presentation and Research Ideas in Financial Analysis

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  1. Mingwei Lei March 3rd, 2010 Econ 201S Data Analysis II

  2. 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

  3. 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%)

  4. 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%)

  5. 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%)

  6. 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%)

  7. 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%)

  8. 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%)

  9. 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%)

  10. 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%)

  11. 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%)

  12. 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

  13. 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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