1. Presentation 5
Siyu Zheng

2. From last time… Adjusted Lee-Mykland jump testing method
Sampled at 5 minute intervals
Divided day in 5 blocks of equal size
Calculated BV from within each block

3. Lee Mykland Jump Test
Jumps detected: 321/131775
0.244%

4. Volume (CVX)

5. Summed daily volume data seems unreliable.
Removed post 2007 data for analysis.

6. mean:
mean:
mean:

7. Mean:

8. Mean:

9. mean:

11. Leading Volume = 155025.83 + 0.2403365*Lagging Volume
R-square =
Lagging volume p value =

12. Leading Volume = 1.0675539*Lagging Volume
P value <

13. Create a volume ratio No jumps Mean: 1.43 95% for mean 1.424 - 1.453
1.716 – 2.154