Presentation 5 Siyu Zheng.

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Presentation transcript:

Presentation 5 Siyu Zheng

From last time… Adjusted Lee-Mykland jump testing method Sampled at 5 minute intervals Divided day in 5 blocks of equal size Calculated BV from within each block

Lee Mykland Jump Test Jumps detected: 321/131775 0.244%

Volume (CVX)

Summed daily volume data seems unreliable. Removed post 2007 data for analysis. 2007-2009 1999-2006

mean: 142163.3 mean: 143647.9 mean: 142811.5

Mean: 186457.9

Mean: 130785.8

mean: 206355.5

Leading Volume = 155025.83 + 0.2403365*Lagging Volume R-square = 0.0214 Lagging volume p value = 0.0087

Leading Volume = 1.0675539*Lagging Volume P value < 0.0001

Create a volume ratio No jumps Mean: 1.43 95% for mean 1.424 - 1.453 1.716 – 2.154