1. Jump Processes and Trading Volume
Siyu Zheng

2. Lee Mykland Test Checks for jumps at individual observation
Test statistic:
where
Lee and Mykland suggest K to be between
Choose to sample at 5 minute level and K=50

3. CVX Jump Detection
Jumps have exponential distribution, critical value = 4.60
Counted 605 Jumps in minute intervals
Jumps detected .441% of time

4. CVX Volume

5. Test statistic and Volume

6. Simple Regression
OLS showed slight significance in a negative correlation between volume and test statistic.
R-Square:
Parameter on Volume: e-7
p-value: 0.054

7. Volume lagged

8. Difference in volume distribution
T-statistic: 9.156
P-value: 0.00
No Jumps
Jumps
median
39700
62600
mean
54858
87418
Std Dev
50446
68158

9. Next Steps Adjusting for daily volatility trends
Using returns from similar times in previous days for test statistic
Including relevant regressors
Dummy variables for jumps
Volatlity