1. Presentation 3: Median Based Jump Test by Industry Siyu Zheng

2. Last Time…

3. AAPL: RV, BV, Med RV

4. Tripower Quarticity, Med RQ

5. Max Adjusted TP vs. MedVar

6. 5% 1%
.1%
5 min
699
23.9%
431
14.8%
263
9.0%
10 min
468
16.0%
310
10.6%

7. 5% 1%
.1%
5 min
666
22.8%
376
12.9%
209
7.2%
10 min
719
24.6%
476
16.3%
288
9.9%

8. The Stocks Conglomerates Financials Oil Pharmaceuticals Tech
CL, GD, GE, HON, JNJ, KFT, MMM, PG
Financials
BAC, C, GS, JPM, MS, WFC
Oil
BHI, COP, CVX, DVN, HAL, OXY, SLB, XOM
Pharmaceuticals
ABT, AMGN, BMY, GILD, MDT, MRK, PFE
Tech
AAPL, AMZN, DELL, EMC, GOOG, HPQ, IBM, INTC,MSFT, ORCL

9. Tech IV estimation

10. Tech Jumps

11. Pharmaceuticals IV

12. Jumps in Pharmaceuticals

13. Next… Finish industry jump tests
Use Median Test on Monte Carlo Simulations