Data Analysis IIDerrick Hang

February 24, 2010Economics 201FS

Corrections: The DataApple Inc. (AAPL):

April 16, 1997 – January 7, 20092,920 Days

IBM (IBM):April 9, 1997 – January 7, 20092,925 Days

Proctor Gamble Co (PG):April 9, 1997 – January 7, 20092,924 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

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

Returns for 8-minute

intervals

Corrected MA TP Jump test

Corrected MA TP Jump test

AAPL 0.1% Significance Level = 113 / 2920

(3.87%) 1% Significance Level = 305 / 2920

(10.45%) 5% Significance Level = 625 / 2920

(21.40%)

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%)

Corrected MA QP Jump test

Corrected MA QP Jump test

AAPL 0.1% Significance Level = 136 / 2920

(4.66%) 1% Significance Level = 326 / 2920

(11.16%) 5% Significance Level = 653 / 2920

(22.36%)

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 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%)

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%)

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%)

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?