High-Frequency Analysis of WFC and PFE Sean Puneky

Assumptions All data has been scrubbed to remove any day where more than 10% of the values from that day were flagged as invalid All returns are log returns Inter-day returns were replaced with the returns from the minute before

Minute-by-Minute PFE Price

Minute-by-Minute WFC Price

Daily Returns: PFE

Daily Returns: WFC

Background Math & Theory Realized Variance Volatility Signature Plot Plot of Realized Volatility vs. Time Measured Over

Volatility Signature Plot: WFC

Volatility Signature Plot: WFC 1-60 minute plot 1-30 day plot

Volatility Signature Plot: WFC WFC Volatility Plot Data 1 5 10 60 1440 7200 14400 43200 0.625718 0.45635 0.426106 0.382108 0.372767 0.334278 0.327363 0.264132

Volatility Signature Plot: PFE

Volatility Signature Plot: PFE 1-60 minute plot 1-30 day plot

Volatility Signature Plot: PFE PFE Volatility Plot Data 1 5 10 60 1440 7200 14400 43200 0.87613 0.676694 0.628163 0.6026 0.648476 0.66228 0.682585 0.896002