1 / 32

Initial Projects

This project presents a comprehensive analysis of daily stock price data for Chevron (CVX) and IBM from October 10, 2001, to December 30, 2010. Utilizing minute-by-minute pricing data, the study identifies price adjustments due to stock splits and analyzes returns while addressing data errors and outliers. Key measures include annualized realized variance, bipower variance, and volatility signatures. The project also explores the impact of significant market events, such as the 2008 financial crisis, on stock prices. This initial exploration serves as a foundation for further research and analysis using MATLAB.

sven
Download Presentation

Initial Projects

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Initial Projects Kyu Won Choi Econ 201FS February 2, 2011

  2. Data • CVX (Chevron Corporation) • October 10, 2001 – December 30, 2010 • 2301 days • IBM (International Business Machines) • April 9, 1997 – December 30, 2010 • 3423 days • Every minute price data from 9:35 AM to 3:59 PM for each trading day (385number of pricesper trading day)

  3. CVX Not Adjusted Price

  4. CVX Not Adjusted Returns

  5. Data Errors / Outliers • Stock Split: • Sep 13, 2004 [2:1] (Yahoo Finance) • The stock price is adjusted backwards • 2008 Financial Crisis

  6. CVX Adjusted Price

  7. CVX Adjusted Returns

  8. Annualized Realized Variance (5-min returns)

  9. Annualized Bipower Variance

  10. Contribution of Jumps

  11. Annualized Realized Volatility Signature

  12. Annualized Bipower Volatility Signature

  13. Additional Variation Measures of Integrated Variance • The sub-sampled 5-min realized variance • The median variance, MedVar • The minimum variance, MinVar • The realized variance using pre-averaging • The truncated or equivalently the threshold variation (TV)

  14. Sum-sampled 5-min Realized Variance

  15. The Median Variance (MedVar)

  16. The Minimum Variance (MinVar)

  17. Realized Variance usingpre-averaging

  18. Truncated or Threshold Variation (TV)

  19. IBM Stock Price

  20. IBM Returns

  21. Data Errors / Outliers • Stock splits [2:1] • 5/28/1997 • 5/27/1999 • High Prices/Returns around July 1999 (about $139.00) • After the first quarter profit report release, price went up • Low Prices/Returns around Nov, 1999 (about $90.00) • Warning about the Year 2000 computer bug • 2008 Financial Crisis

  22. Annualized Realized Variance (5-min returns)

  23. Annualized Bipower Variance

  24. Contribution of Jumps

  25. Annualized Realized Volatility Signature

  26. Annualized Bipower Volatility Signature

  27. Sum-sampled 5-min Realized Variance

  28. The Median Variance (MedVar)

  29. The Minimum Variance (MinVar)

  30. Realized Variance usingpre-averaging

  31. Truncated or Threshold Variation (TV)

  32. Questions & Comments • First Experience with MATLAB • Getting used to it • Papers to read and study Thank you for the help!

More Related