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Preliminary Data analysis

Preliminary Data analysis. Pat Amatyakul Econ 201 FS 4 February 2009. Data. Minute by minute stock data of BA(Boeing) and AXP (American Express) from April 9, 1997 to January 7, 2009 Total of 2923 days for Boeing Total of 2922 days for American Express

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Preliminary Data analysis

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  1. Preliminary Data analysis Pat Amatyakul Econ 201 FS 4 February 2009

  2. Data • Minute by minute stock data of BA(Boeing) and AXP (American Express) from April 9, 1997 to January 7, 2009 • Total of 2923 days for Boeing • Total of 2922 days for American Express • There are 385 observations per day from 9:35am to 3:59pm

  3. Equations • Realized Variance • Bipower Variation • Tripower Quarticity

  4. Equations(cont) • Quad-Power Quarticity • Ratio Max-adjusted z statistics

  5. Stock Prices for Boeing Mean=55.13 Min=24.75 Max=107.7

  6. Stock Prices for American Express Mean =44.44 Min=16.61 Max=65.86

  7. 5 minute log returns

  8. Realized Variance (Boeing)

  9. Realized Variance (AXP)

  10. Jump tests for Boeing

  11. Results

  12. Jump tests for American Express

  13. Results for American Express

  14. Volatility Signature for Boeing

  15. Volatility Signature for AXP

  16. Extensions • Use some other sampling frequencies to see whether the results are accurate • Finding economic events/annoucements that match the jumping days depicted by the z-statistics • Add other stocks that could be related and analyzed those as well

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