1. High-Frequency Analysis of WFC and PFE
Sean Puneky

2. Assumptions
All data has been scrubbed to remove any day where more than 10% of the values from that day were flagged as invalid
All returns are log returns
Inter-day returns were replaced with the returns from the minute before

3. Minute-by-Minute PFE Price

4. Minute-by-Minute WFC Price

5. Daily Returns: PFE

6. Daily Returns: WFC

7. Background Math & Theory
Realized Variance
Volatility Signature Plot
Plot of Realized Volatility vs. Time Measured Over

8. Volatility Signature Plot: WFC

9. Volatility Signature Plot: WFC
1-60 minute plot
1-30 day plot

10. Volatility Signature Plot: WFC
WFC Volatility Plot Data 1 5 10 60
1440
7200
14400
43200

11. Volatility Signature Plot: PFE

12. Volatility Signature Plot: PFE
1-60 minute plot
1-30 day plot

13. Volatility Signature Plot: PFE
PFE Volatility Plot Data 1 5 10 60
1440
7200
14400
43200
0.6026