1. JNJ & JMP Presentation
By Hao Sun

2. Introduction Johnson & Johnson (JNJ) JP Morgan Chase & Co. (JPM)
Apr. 09, 1997 – Dec. 30, 2010
Stock Split1: June 13, 2001[2:1]
JP Morgan Chase & Co. (JPM)
Stock Splits2
Jun 15, 1998 [2:1]
Jun 12, 2000 [3:2]
1 : Yahoo! Finance
2 :

3. JNJ Price Chart

4. JNJ Inter-day Return

5. JNJ Intra-day Return (5 min.)

6. JNJ Outliers
2003, 9/11
2008, Financial Crisis
2010, Flash-Crash

7. JNJ Realized Volatility
𝑅 𝑉 𝑡 = 𝑗=0 𝑀 𝑟 𝑡,𝑗 2

8. JNJ BiPower Variation
𝐵 𝑉 𝑡 = 𝜇 1 −2 𝑀 𝑀−1 𝑗=2 𝑀 𝑟 𝑡,𝑗 𝑟 𝑡,𝑗−1 , where 𝜇 1 −2 = 𝜋 2

9. JNJ Relative Contribution of Jumps

10. JNJ Annualized RV Signature

11. JNJ Annualized BV Signature

12. Re-Introduction Johnson & Johnson (JNJ) JP Morgan Chase & Co. (JPM)
Apr. 09, 1997 – Dec. 30, 2010
Stock Split1: June 13, 2001[2:1]
JP Morgan Chase & Co. (JPM)
Stock Splits2
Jun 15, 1998 [2:1]
Jun 12, 2000 [3:2]
1 : Yahoo! Finance
2 :

13. JPM Price Chart

14. JPM Inter-day Return

15. JPM Intra-day Return (5 min.)

16. JPM Outliers 2000, Merger with Chase Manhattan Corp. 2003, 9/11
2008, Financial Crisis

17. JPM Realized Volatility
𝑅 𝑉 𝑡 = 𝑗=0 𝑀 𝑟 𝑡,𝑗 2

18. JPM BiPower Variation
𝐵 𝑉 𝑡 = 𝜇 1 −2 𝑀 𝑀−1 𝑗=2 𝑀 𝑟 𝑡,𝑗 𝑟 𝑡,𝑗−1 , where 𝜇 1 −2 = 𝜋 2

19. JPM Relative Contribution of Jumps

20. JPM Annualized RV Signature

21. JPM Annualized BV Signature

22. JPM Realized Volatility
𝑅 𝑉 𝑡 = 𝑗=0 𝑀 𝑟 𝑡,𝑗 2

23. JPM BiPower Variation
𝐵 𝑉 𝑡 = 𝜇 1 −2 𝑀 𝑀−1 𝑗=2 𝑀 𝑟 𝑡,𝑗 𝑟 𝑡,𝑗−1 , where 𝜇 1 −2 = 𝜋 2

24. JPM Sub-sampling RV
𝑅 𝑉 𝑡 = 1 5 𝑅 𝑉 𝑡 0 +𝑅 𝑉 𝑡 1 +𝑅 𝑉 𝑡 2 +𝑅 𝑉 𝑡 3 +𝑅 𝑉 𝑡 4

25. JPM MedRV
𝑅 𝑉 𝑡 = 𝜋 6−4 3 +𝜋 𝑀 𝑀−2 𝑖=2 𝑀−1 𝑚𝑒𝑑 r 𝑡,𝑖−1 , 𝑟 𝑟,𝑖 , 𝑟 𝑡,𝑖

26. JPM MinRV
𝑅 𝑉 𝑡 = 𝜋 𝜋−2 𝑀 𝑀−1 𝑖=2 𝑀 𝑚𝑖𝑛 r 𝑡,𝑖−1 , 𝑟 𝑡,𝑖 2

27. JPM Pre-Averaging RV
𝑅 𝑉 𝑡 = 𝑖=2 𝑀−1 𝑟 𝑡,𝑖 𝑟 𝑡,𝑖 𝑟 𝑡,𝑖 𝑟 𝑡,𝑖 𝑟 𝑡,𝑖

28. JPM Truncated RV
𝑅 𝑉 𝑡 = 𝑖=1 𝑀 𝑟 𝑡,𝑖 2 ×𝐼 𝑟 𝑡,𝑖 ≤4× 𝐵 𝑉 𝑡−1 𝑀

29. Valuation Comparison
JNJ
JPM

30. Thanks!