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Analysis of Trading Volumes in S&P 100 Stocks and Jump Tests

This presentation delves into analyzing trading volumes of top S&P 100 stocks and conducting jump tests to examine market dynamics. Calculated volumes before, during, and after jumps reveal insights. The study includes Kolmogorov–Smirnov tests for volume patterns of specific stocks like CVX and AAPL.

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Analysis of Trading Volumes in S&P 100 Stocks and Jump Tests

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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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