JNJ & JMP Presentation By Hao Sun

Introduction Johnson & Johnson (JNJ) JP Morgan Chase & Co. (JPM) Apr. 09, 1997 – Dec. 30, 2010 Stock Split1: June 13, 2001[2:1] JP Morgan Chase & Co. (JPM) Stock Splits2 Jun 15, 1998 [2:1] Jun 12, 2000 [3:2] 1 : Yahoo! Finance 2 : http://www.splitpredicting.com/content/1/1011/en/jpm-_-stock-split-screener-for-jp-morgan-stock.html

JNJ Price Chart

JNJ Inter-day Return

JNJ Intra-day Return (5 min.)

JNJ Outliers 2003, 9/11 2008, Financial Crisis 2010, Flash-Crash

JNJ Realized Volatility 𝑅 𝑉 𝑡 = 𝑗=0 𝑀 𝑟 𝑡,𝑗 2

JNJ BiPower Variation 𝐵 𝑉 𝑡 = 𝜇 1 −2 𝑀 𝑀−1 𝑗=2 𝑀 𝑟 𝑡,𝑗 𝑟 𝑡,𝑗−1 , where 𝜇 1 −2 = 𝜋 2

JNJ Relative Contribution of Jumps

JNJ Annualized RV Signature

JNJ Annualized BV Signature

Re-Introduction Johnson & Johnson (JNJ) JP Morgan Chase & Co. (JPM) Apr. 09, 1997 – Dec. 30, 2010 Stock Split1: June 13, 2001[2:1] JP Morgan Chase & Co. (JPM) Stock Splits2 Jun 15, 1998 [2:1] Jun 12, 2000 [3:2] 1 : Yahoo! Finance 2 : http://www.splitpredicting.com/content/1/1011/en/jpm-_-stock-split-screener-for-jp-morgan-stock.html

JPM Price Chart

JPM Inter-day Return

JPM Intra-day Return (5 min.)

JPM Outliers 2000, Merger with Chase Manhattan Corp. 2003, 9/11 2008, Financial Crisis

JPM Realized Volatility 𝑅 𝑉 𝑡 = 𝑗=0 𝑀 𝑟 𝑡,𝑗 2

JPM BiPower Variation 𝐵 𝑉 𝑡 = 𝜇 1 −2 𝑀 𝑀−1 𝑗=2 𝑀 𝑟 𝑡,𝑗 𝑟 𝑡,𝑗−1 , where 𝜇 1 −2 = 𝜋 2

JPM Relative Contribution of Jumps

JPM Annualized RV Signature

JPM Annualized BV Signature

JPM Realized Volatility 𝑅 𝑉 𝑡 = 𝑗=0 𝑀 𝑟 𝑡,𝑗 2

JPM BiPower Variation 𝐵 𝑉 𝑡 = 𝜇 1 −2 𝑀 𝑀−1 𝑗=2 𝑀 𝑟 𝑡,𝑗 𝑟 𝑡,𝑗−1 , where 𝜇 1 −2 = 𝜋 2

JPM Sub-sampling RV 𝑅 𝑉 𝑡 = 1 5 𝑅 𝑉 𝑡 0 +𝑅 𝑉 𝑡 1 +𝑅 𝑉 𝑡 2 +𝑅 𝑉 𝑡 3 +𝑅 𝑉 𝑡 4

JPM MedRV 𝑅 𝑉 𝑡 = 𝜋 6−4 3 +𝜋 𝑀 𝑀−2 𝑖=2 𝑀−1 𝑚𝑒𝑑 r 𝑡,𝑖−1 , 𝑟 𝑟,𝑖 , 𝑟 𝑡,𝑖+1 2

JPM MinRV 𝑅 𝑉 𝑡 = 𝜋 𝜋−2 𝑀 𝑀−1 𝑖=2 𝑀 𝑚𝑖𝑛 r 𝑡,𝑖−1 , 𝑟 𝑡,𝑖 2

JPM Pre-Averaging RV 𝑅 𝑉 𝑡 = 𝑖=2 𝑀−1 𝑟 𝑡,𝑖 0 + 𝑟 𝑡,𝑖 1 + 𝑟 𝑡,𝑖 2 + 𝑟 𝑡,𝑖 3 + 𝑟 𝑡,𝑖 4 5

JPM Truncated RV 𝑅 𝑉 𝑡 = 𝑖=1 𝑀 𝑟 𝑡,𝑖 2 ×𝐼 𝑟 𝑡,𝑖 ≤4× 𝐵 𝑉 𝑡−1 𝑀

Valuation Comparison JNJ JPM

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