Preliminary Data Analysis Angela Ryu Economics 201FS Honors Junior Workshop: Finance Duke University February 10, 2010
Data XOM (Exxon Mobile) GOOG (Google) WMT (Wal-Mart) Dec 1 1999 – Jan 7 2009 (2264 days) GOOG (Google) Aug 20 2004 – Jan 7 2009 (1093 days) WMT (Wal-Mart) Apr 9 1997 – Jan 7 2009 (2921 days)
Getting hands dirty… Prices, Log Returns, Spotting Outliers Realized Volatility Bipower / Tripower / Quadpower Variation Z-scores Huang-Tauchen (2005)
vs. Prices XOM GOOG WMT It has increased over the time span, but of course it dropped during the financial crisis last year.
vs. Log Returns (5 min) Adjusted data, interday returns are not considered. XOM: Beginning in late October, early November the log returns changes drastically… Also in early feb. 2000 there was a relatively high change in log returns. GOOG: Late Feb.2006 ~ and again, starting Oct 2008. WMT: relatively high change in log returns, maybe due to fast expansion and growth in market share of walmart.
vs. RV (5 min, daily)
vs. BV (5 min, daily)
vs. RV & BV (5 min, daily)
Volatility Signature Plot
vs. TP (5 min, daily)
vs. QP (5 min, daily)
XOM: Jump Detection using Z-score (5 min) Test Fractions of days over sig. level Zlog, TP, 0.95 0.1767 Zlog, TP, 0.99 0.0892 Zlog, TP, 0.999 0.0420 ZRJ, TP, 0.95 0.1480 ZRJ, TP, 0.99 0.0623 ZRJ, TP, 0.999 0.0221
GOOG: Jump Detection using Z-score (5 min) Test Fractions of days over sig. level Zlog, TP, 0.95 0.2351 Zlog, TP, 0.99 0.1226 Zlog, TP, 0.999 0.0631 ZRJ, TP, 0.95 0.2068 ZRJ, TP, 0.99 0.0961 ZRJ, TP, 0.999 0.0375
WMT: Jump Detection using Z-score (5 min) Test Fractions of days over sig. level Zlog, TP, 0.95 0.2372 Zlog, TP, 0.99 0.1287 Zlog, TP, 0.999 0.0681 ZRJ, TP, 0.95 0.2081 ZRJ, TP, 0.99 0.0965 ZRJ, TP, 0.999 0.0421
GOOG: Kernel Density (5 min) Mean: 0.7643 ; Variance: 1.8278 ( ~N(0,1)?)
Results & Plans Got more used to MATLAB more efficient data analysis Better understanding in volatility measures Possible interests: RCOV, Volatility Risk Premium Background Reading
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