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Analysis of JNJ and KO Price Movements: RV and BP Insights

This presentation explores the price trends of Johnson & Johnson (JNJ) and Coca-Cola (KO) by analyzing price movements on a minute-to-minute basis. The mean prices are assessed, revealing significant insights into the RV (Realized Volatility) and BP (Baseline Price) metrics for both companies. Key differences in RV and BP are examined, providing a standardized comparison for future evaluations. Additionally, correlations between intraday and interday variations, and the impact of higher RV and BP, are investigated, with a focus on the benefits of differing variation techniques.

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Analysis of JNJ and KO Price Movements: RV and BP Insights

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Presentation Transcript

  1. Econ 201 Presentation 2

  2. JNJ: 2923 Days 385 Minutes/Day KO: 2924 Days 385 Minutes/Day

  3. KO Price By Minute >> mean(KOprice) ans = 52.7879

  4. JNJ Price By Minute >> mean(JNJprice) ans = 53.2906

  5. JNJ Daily Prices >> mean(JNJmean) ans = 53.2906

  6. RV

  7. RV for KO Sampling Every 11 minutes

  8. RV JNJ Sampled Every 11 Minutes

  9. BP

  10. BP KO Sampling Every 11 Minutes

  11. BP JNJ Sampling Every 11 Minutes

  12. BP Overnight JNJ

  13. BP Overnight KO

  14. Difference Between RV and BP for JNJ (Standardized)

  15. Difference Between RV and BP for KO (Standardized)

  16. Difference Between RV and BP for JNJ

  17. Difference Between RV and BP for KO

  18. Future ExaminationHow does the increased difference between RV and BP when RV and BP are high affect calculations?

  19. QP for JNJ

  20. QP for KO

  21. Z for JNJ

  22. Z for KO

  23. Continuation Examine Correlation Between Intraday and Interday Variation Examine Correlation Between RV, BP, and QP Examine Benefits of Differing Variation Techniques

  24. Following Slides for Clarification of Jump

  25. QP Term for JNJ

  26. QP Term for KO

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