Preliminary Data analysis Pat Amatyakul Econ 201 FS 4 February 2009

Data Minute by minute stock data of BA(Boeing) and AXP (American Express) from April 9, 1997 to January 7, 2009 Total of 2923 days for Boeing Total of 2922 days for American Express There are 385 observations per day from 9:35am to 3:59pm

Equations Realized Variance Bipower Variation Tripower Quarticity

Equations(cont) Quad-Power Quarticity Ratio Max-adjusted z statistics

Stock Prices for Boeing Mean=55.13 Min=24.75 Max=107.7

Stock Prices for American Express Mean =44.44 Min=16.61 Max=65.86

5 minute log returns

Realized Variance (Boeing)

Realized Variance (AXP)

Jump tests for Boeing

Results Tripower.95 significance.99 significance.999significance Number of days with jumps Percentage Quadpower Number of days with jumps Percentage

Jump tests for American Express

Tripower.95significance.99significance.999significance Number of days with jumps Percentage Quadpower Number of days with jumps Percentage Results for American Express

Volatility Signature for Boeing

Volatility Signature for AXP

Extensions Use some other sampling frequencies to see whether the results are accurate Finding economic events/annoucements that match the jumping days depicted by the z- statistics Add other stocks that could be related and analyzed those as well