Final Presentation Siyu Zheng

Continuing from last time… Looked at volumes of largest stocks (by MCap) in S&P 100 – AAPL, CSCO, CVX, GE, IBM, JNJ, JPM, MSFT, PG, T, XOM 3 volumes were calculated for each jump test statistic at time t – Before (summed volume t-11 to t-6) – During (summed volume t-5 to t) – After (summed volume t+1 to t+6)

Density Estimates

Kolmogorov–Smirnov test Jump vs No Jump (1 tailed) BeforeDuringAfter AAPL CSCO CVX GE IBM JNJ JPM MSFT PG T XOM0.0000

Daily Volume Pattern CVX

AAPL

Kolmogorov–Smirnov test with jump Before - DuringDuring – After (1 tailed)Before – After (1 tailed) AAPL CSCO CVX GE IBM JNJ JPM MSFT PG T XOM

Kolmogorov–Smirnov test no jumps Before - DuringDuring - AfterBefore - After AAPL CSCO CVX GE IBM JNJ JPM MSFT PG T XOM

Mean Volume (5 minutes) BeforeDuringAfter JumpNo JumpJumpNo JumpJumpNo Jump AAPL 339,450132,480368,620132,800282,440133,780 CSCO 1,156,200613,4201,288,300614,680991,300618,720 CVX 86,02155,05590,75455,79471,86355,844 GE 422,330210,000433,530212,120344,750212,770 IBM 178,38075,356183,87075,712141,76075,901 JNJ 139,27072,320132,48073,182105,40073,178 JPM 175,58089,123183,61090,166143,09090,331 MSFT 1,376,000659,0701,575,100664,2101,258,700668,110 PG 89,77850,13693,02350,76273,79350,829 T 189,34091,154197,11092,146154,31092,241 XOM 208,230133,350225,080134,990166,99013,523

Median Volume ( 5 minutes) BeforeDuringAfter JumpNo JumpJumpNo JumpJumpNo Jump AAPL 174,20078,800184,47979,200137,59479,413 CSCO 947,100463,0001,034,500464,370795,100465,110 CVX 57,42339,50061,85939,80059,75939,800 GE 306,550167,996312,203168,499242,250168,600 IBM 121,50055,500132,10055,700102,40055,800 JNJ 96,00055,00087,60055,20069,10055,200 JPM 129,05069,700137,44069,900100,60069,900 MSFT 1,093,100508,9321,186,900510,709903,100511,203 PG 63,80636,80667,70037,00052,40937,000 T 126,510611,789126,36062,18699,25062,200 XOM 162,100107,400171,775107,900132,083108,000