1. Preliminary Data analysis Pat Amatyakul Econ 201 FS 4 February 2009

2. Data Minute by minute stock data of BA(Boeing) and AXP (American Express) from April 9, 1997 to January 7, 2009 Total of 2923 days for Boeing Total of 2922 days for American Express There are 385 observations per day from 9:35am to 3:59pm

3. Equations Realized Variance Bipower Variation Tripower Quarticity

4. Equations(cont) Quad-Power Quarticity Ratio Max-adjusted z statistics

5. Stock Prices for Boeing Mean=55.13 Min=24.75 Max=107.7

6. Stock Prices for American Express Mean =44.44 Min=16.61 Max=65.86

7. 5 minute log returns

8. Realized Variance (Boeing)

9. Realized Variance (AXP)

10. Jump tests for Boeing

11. Results Tripower.95 significance.99 significance.999significance Number of days with jumps 49416442 Percentage16.905.611.44 Quadpower Number of days with jumps 40211026 Percentage13.753.760.89

12. Jump tests for American Express

13. Tripower.95significance.99significance.999significance Number of days with jumps 38614642 Percentage13.215.001.44 Quadpower Number of days with jumps 45019249 Percentage15.46.571.68 Results for American Express

14. Volatility Signature for Boeing

15. Volatility Signature for AXP

16. Extensions Use some other sampling frequencies to see whether the results are accurate Finding economic events/annoucements that match the jumping days depicted by the z- statistics Add other stocks that could be related and analyzed those as well