Presentation 2 Siyu Zheng

Stocks JPM 2923 days CSCO 2921 days CVX 1804 days

Jump Test Tri Power Quarticity

Jumps CSCO 5 minute TP QP Max Ratio TP Max Ratio QP 5% 723 774 26.5% 528 18.1% 555 1% 411 470 16.1% 202 6.9% 234 0.1% 210 264 9.0% 69 2.4% 77

Jumps CSCO 11 minute TP QP Max Ratio TP Max Ratio QP 5% 680 749 25.6% 447 15.3% 466 1% 452 511 17.5% 181 6.2% 202 0.1% 287 333 11.4% 46 1.7% 55

The Difference?

CVX

Jumps Detection 5 minute JPM CSCO CVX 5% 67 2.29% 39 1.34% 36 2.00% 1% 20 0.68% 12 0.41% 9 0.50% 0.1% 0.31% 3 0.10% 0.17%

Jump Detection 10 minute JPM CSCO CVX 5% 181 6.19% 156 5.3% 88 4.88% 1% 78 2.67% 61 2.1% 42 2.32% 0.1% 31 1.06% 25 0.86% 18 1.00%