Presentation 3: Median Based Jump Test by Industry Siyu Zheng

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Presentation transcript:

Presentation 3: Median Based Jump Test by Industry Siyu Zheng

Last Time…

AAPL: RV, BV, Med RV

Tripower Quarticity, Med RQ

Max Adjusted TP vs. MedVar

5% 1% .1% 5 min 699 23.9% 431 14.8% 263 9.0% 10 min 468 16.0% 310 10.6%

5% 1% .1% 5 min 666 22.8% 376 12.9% 209 7.2% 10 min 719 24.6% 476 16.3% 288 9.9%

The Stocks Conglomerates Financials Oil Pharmaceuticals Tech CL, GD, GE, HON, JNJ, KFT, MMM, PG Financials BAC, C, GS, JPM, MS, WFC Oil BHI, COP, CVX, DVN, HAL, OXY, SLB, XOM Pharmaceuticals ABT, AMGN, BMY, GILD, MDT, MRK, PFE Tech AAPL, AMZN, DELL, EMC, GOOG, HPQ, IBM, INTC,MSFT, ORCL

Tech IV estimation

Tech Jumps

Pharmaceuticals IV

Jumps in Pharmaceuticals

Next… Finish industry jump tests Use Median Test on Monte Carlo Simulations

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