1. Derrick Hang February 24, 2010 Economics 201FS
Data Analysis II
Derrick Hang
February 24, 2010
Economics 201FS

2. Corrections: The Data Apple Inc. (AAPL):
April 16, 1997 – January 7, 2009
2,920 Days
IBM (IBM):
April 9, 1997 – January 7, 2009
2,925 Days
Proctor Gamble Co (PG):
2,924 Days *
*Absence of a day from PG was found to be on March 7, 2000; this is when PG released a warning that earnings for the rest of the fiscal year will fall short of expectations, contributing 142 to the 374 point drop in the Dow that day

3. Modifications
8 minute intervals are used so the intervals fit exactly with the 385 minutes per day window; in other words, there is no incomplete interval left over at the end of each day
i.e. to obtain the first 8-minute return you take the price level at the 1st min. and the 9th min., then the 9th and the 15th, etc.; following this sequence, we end up using the price level at the 385th and 377th min.
8 minute is consistent with the volatility signature plots presented last time, and leaves no incomplete interval at the end

4. Returns for 8-minute intervals

5. Corrected MA TP Jump test

6. Corrected MA TP Jump test
IBM
0.1% Significance Level = 75 / 2925 (2.56%)
1% Significance Level = 219 / 2925 (7.49%)
5% Significance Level = 539 / 2925 (18.43%) PG
0.1% Significance Level = 82 / 2924 (2.80%)
1% Significance Level = 223 / 2924 (7.63%)
5% Significance Level = 548 / 2924 (18.74%)
AAPL
0.1% Significance Level = 113 / 2920 (3.87%)
1% Significance Level = 305 / 2920 (10.45%)
5% Significance Level = 625 / 2920 (21.40%)

7. Corrected MA QP Jump test

8. Corrected MA QP Jump test
IBM
0.1% Significance Level = 80 / 2925 (2.74%)
1% Significance Level = 236 / 2925 (8.07%)
5% Significance Level = 559 / 2925 (19.11%) PG
0.1% Significance Level = 94 / 2924 (3.21%)
1% Significance Level = 238 / 2924 (8.14%)
5% Significance Level = 563 / 2924 (19.25%)
AAPL
0.1% Significance Level = 136 / 2920 (4.66%)
1% Significance Level = 326 / 2920 (11.16%)
5% Significance Level = 653 / 2920 (22.36%)

9. AAPL Jump Detection: Median Test
0.1% Significance Level = 65 / 2920 (2.23%)
1% Significance Level = 143 / 2920 (4.90%)
5% Significance Level = 328 / 2920 (11.23%)

10. IBM Jump Detection: Median Test
0.1% Significance Level = 57 / 2925 (1.95%)
1% Significance Level = 126 / 2925 (4.31%)
5% Significance Level = 278 / 2925 (9.50%)

11. PG Jump Detection: Median Test
0.1% Significance Level = 61 / 2924 (2.09%)
1% Significance Level = 143 / 2924 (4.89%)
5% Significance Level = 285 / 2924 (9.75%)

12. Exploring topics: Forecasting
Bayesian Forecasting with Dynamic Models using high-frequency data
Regression where every variable varies with time
Better coefficients from use of high frequency data? What time window has better predictability?
What should be the dependent: returns, prices, volatility?