1. Initial Data Analysis Kunal Jain February 17, 2010 Economics 201FS

2. Raw Data Amazon (AMZN):  August 1, 1997 – January 7, 2009  2,846 Days Johnson & Johnson (JNJ):  April 9, 1997 – January 7, 2009  2,923 Days Microsoft Corporation (MSFT):  April 16, 1997 – January 7, 2009  2,921 Days  2:1 Share splits February 23, 1998, March 29, 1999, Feb 18, 2003, Price data available every minute from 9:35 AM to 3:59 PM for each trading day

3. AMZN- Share Price Levels Time (Years) Share Price ($)

4. AMZN- Adjusted Log Returns Time (Years) Adjusted 1-Minute Returns 1-minute returns

5. AMZN- Realized Variation Time (Years) Realized Variance

6. AMZN- Bi-Power Variation Realized Variance Time (Years)

7. AMZN- RV & BV Realized Variance Time (Years)

8. AMZN- Volatility Signature Plot Sampling Frequency Average Annualized Realized Volatility (%)

9. AMZN- Jump Detection Tri-power Quarticity Time (Years) Z Values

10. AMZN- Jump Detection Quad-power Quarticity Time (Years) Z Values

11. AMZN- Jump Detection (Ratio Adjusted) Tri-power Quarticity Time (Years) Z Values

12. AMZN- Jump Detection (Ratio Adjusted) Quad-power Quarticity Time (Years) Z Values

13. Results- AMZN Tri-power Ratio Adjusted.95 significance.99 significance.999 significance Number of days with jumps 197215571096 Percentage69.3%54.7%38.5% Quad-power Ratio Adjusted Number of days with jumps 204416561264 Percentage71.8%58.2%44.4%

14. MSFT- Share Price Levels Time (Years) Share Price ($)

15. MSFT- Adjusted Log Returns Time (Years) Adjusted 1-Minute Returns 1-minute returns

16. MSFT- Realized Variation Time (Years) Realized Variance

17. MSFT- Bi-power Variation Realized Variance Time (Years)

18. MSFT- RV & BV Realized Variance Time (Years)

19. MSFT- Volatility Signature Plot Sampling Frequency Average Annualized Realized Volatility (%)

20. MSFT- Jump Detection Tri-power Quarticity Time (Years) Z Values

21. MSFT- Jump Detection Quad-power Quarticity Time (Years) Z Values

22. MSFT- Jump Detection (Ratio Adjusted) Tri-power Quarticity Time (Years) Z Values

23. MSFT- Jump Detection (Ratio Adjusted) Quad-power Quarticity Time (Years) Z Values

24. Results- MSFT Tri-power Ratio Adjusted.95 significance.99 significance.999 significance Number of days with jumps 1687989667 Percentage57.8%33.6%22.8% Quad-power Ratio Adjusted Number of days with jumps 17621273825 Percentage60.3%43.6%28.2%

25. JNJ- Share Price Levels Time (Years) Share Price ($)

26. JNJ- Adjusted Log Returns Time (Years) Adjusted 1-Minute Returns 1-minute returns

27. JNJ- Realized Variation Time (Years) Realized Variance

28. JNJ- Bi-power Variation Realized Variance Time (Years)

29. JNJ- RV & BV Realized Variance Time (Years)

30. JNJ- Volatility Signature Plot Sampling Frequency Average Annualized Realized Volatility (%)

31. JNJ- Jump Detection Tri-power Quarticity Time (Years) Z Values

32. JNJ- Jump Detection Quad-power Quarticity Time (Years) Z Values

33. JNJ- Jump Detection (Ratio Adjusted) Tri-power Quarticity Time (Years) Z Values

34. JNJ- Jump Detection (Ratio Adjusted) Quad-power Quarticity Time (Years) Z Values

35. Results- JNJ Tri-power Ratio Adjusted.95 significance.99 significance.999 significance Number of days with jumps 197215571096 Percentage67.5%53.3%37.5% Quad-power Ratio Adjusted Number of days with jumps 204416561264 Percentage69.9%56.7%43.3%

36. Results & Plans Experience with MATLAB  Sources of error due to computational skills  Intense Introduction Better understanding of BNS testing  AMZN and JNJ jump test results Run with i.d.d. randomly generated numbers Time interval based on volatility signature plot Additional Work and Background Reading  Refine existing results  Use other sampling frequencies to check results  Utilize more tests  Look at public announcements that relate to z-statistics