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## PowerPoint Slideshow about 'Data Analysis II' - coye

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Presentation Transcript

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

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%)

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%)

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%)

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%)

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%)

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%)

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%)

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%)

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%)

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

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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