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High Frequency Data Analysis. Sharon Lee Econ 201 FS February 4, 2009. Data. Procter & Gamble (PG) Number of observations: 1,125,739 April 9, 1997 – January 7, 2009 Oracle Corp (ORCL) Number of observations: 1,124,200 From April 16, 1997 – January 7, 2009 From 9:35 am – 3:59 pm each day

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high frequency data analysis

High Frequency Data Analysis

Sharon Lee

Econ 201 FS

February 4, 2009

slide2
Data
  • Procter & Gamble (PG)
    • Number of observations: 1,125,739
    • April 9, 1997 – January 7, 2009
  • Oracle Corp (ORCL)
    • Number of observations: 1,124,200
    • From April 16, 1997 – January 7, 2009
  • From 9:35 am – 3:59 pm each day
  • 385 observations per day
  • Price data sampled at one minute
pg jump test
PG Jump Test

Jumps at 1%: 160

Jumps at 0.1%: 56

orcl jump test
ORCL Jump Test

Jumps at 1%: 210

Jumps at 0.1%: 68